0 Voturi pozitive0 Voturi negative

5 (de) vizualizări28 pagini;laksjdf;kja;lkjsdj;flaksjdf

Dec 27, 2016

© © All Rights Reserved

PDF, TXT sau citiți online pe Scribd

;laksjdf;kja;lkjsdj;flaksjdf

© All Rights Reserved

5 (de) vizualizări

;laksjdf;kja;lkjsdj;flaksjdf

© All Rights Reserved

- Principles: Life and Work
- Principles: Life and Work
- The Intelligent Investor, Rev. Ed
- Marrying Winterborne
- The Hard Thing About Hard Things: Building a Business When There Are No Easy Answers
- Rich Dad Poor Dad: What The Rich Teach Their Kids About Money - That the Poor and Middle Class Do Not!
- MONEY Master the Game: 7 Simple Steps to Financial Freedom
- Secrets of the Millionaire Mind: Mastering the Inner Game of Wealth
- I Will Teach You to Be Rich, Second Edition: No Guilt. No Excuses. No BS. Just a 6-Week Program That Works
- Bad Blood: Secrets and Lies in a Silicon Valley Startup
- The Total Money Makeover: A Proven Plan for Financial Fitness
- The Intelligent Investor Rev Ed.
- The Intelligent Investor
- Rework
- Unshakeable: Your Financial Freedom Playbook
- Your Money or Your Life: 9 Steps to Transforming Your Relationship with Money and Achieving Financial Independence: Fully Revised and Updated for 2018
- Rich Dad's Guide to Investing: What the Rich Invest In, That the Poor and Middle Class Do Not!
- Liar's Poker: Rising Through the Wreckage on Wall Street

Sunteți pe pagina 1din 28

David E. Hampton

Hedge Fund Sciences

http://www.hedgefundsciences.com

Email: david@hedgefundsciences.com

Abstract

In this paper a single factor mean-variance Capital Asset Pricing model is derived for long short

equity investment portfolios. This model is empirically tested using a statistical arbitrage

momentum trading strategy based on Dow Jones 30 historical equity data from 1986 to 2002. This

trading strategy commonly utilized in practice by hedge funds is typically classified as systematic

statistical arbitrage within the long short equity style. The equilibrium two moment model

developed has a desirable feature in that it is leverage invariant - a useful quality if used for long

short hedge fund performance measurement where leverage may be unknown, non-constant and

which may vary widely between various long short hedge fund portfolios making alpha estimation

difficult. Alpha is modeled as a function of beta using the concept of entropy as interpreted by

Shannon[13]. The two moment equations derived constitute a general equilibrium mean-variance

model and as such long only, short only and fractional beta long/short portfolios can be priced in the

CAPM sense. The approach taken is to assume that during the life of the investment, the overall

portfolio can be represented by the returns of the two sub-portfolios represented by long and short

positions via separation with a corresponding correlation coefficient. It is shown that the expected

portfolio return model agrees with the classical CAPM for expected portfolio return[14] in the theory

of market equilibrium under conditions of risk. The same analytical technique used for the first

moment model derivation is then used to derive the CAPM variance model. The validity of this

variance model is tested at the 95 per cent confidence level by empirically simulating a variable

fractional beta long short statistical arbitrage momentum trading strategy using Dow Jones 30 daily

equity price data from 1988 to 2002. The mean-variance model is then developed further in leverage

invariant equilibrium which leads to the formulation of an analytical dynamic alpha equation. As

this function can have a maximum value as a function of beta, the usual calculus techniques are used

to derive the analytical objective function which allows the determination of the optimal

mean-variance long short beta portfolio. Minimum existence conditions are then derived which

dictate the minimum pre-requisite performance expectations for the creation of a long/Short equity

portfolio for domination of the long only market index in the mean-variance sense. Finally, since

both the mean and variance expectation equations are derived, a stochastic differential equation is

formulated and the Black-Scholes option price derived.

Keywords: Mean, Variance, Long Short, Statistical Arbitrage, Capital Asset Pricing Model, Risk, Return,

Equity Hedge, Momentum, Leverage Invariant Performance Estimation, Optimal Beta Control, Equilibrium,

Existence Conditions, Entropy, Stochastic Differential Equation, Black-Scholes Option Pricing

1

Electronic copy available at: http://ssrn.com/abstract=1071566

1

1.1

Introduction

Defining Long Short Equity Investment Space

Assumptions

1. There exist N risky equity securities and one risk-free security available for investment which are

liquid and tradeable either long or short in continuous time with zero trading costs and no cost

restrictions on either long or short positions.

2. Each equity is invested using 1/N amount of the available capital for any time t during the life of

the investment.

3. N is large enough so that at any one time the long and short sub-portfolio expected returns will be

approximately Gaussian on average if measured at medium term frequency(e.g. monthly or weekly).

4. Leverage is possible in the form of collateralization.

5. Information is assumed to exist which can be exploited by the portfolio manager to create either

alpha or alternative beta forms of alpha from trading or market timing of the underlying N

securities. The manager is assumed to be able to create any combination of the N securities, either

long or short, under the conditions of 1. and 2. above.

6. Long only, short only or long short positions can be generated at any time with only the N

underlying equities.

7. Cash equities are the only instruments assumed to exist for portfolio selection as well as the

risk-free security.

8. The N securities when held long with 1/N of the available wealth invested in each constitutes the

long only market portfolio.

Definitions

Definition 1.1 A Long short equity investment exists in long short investment space whenever there

are both long and short positions in a portfolio.

Definition 1.2 A long short equity hedge fund is an investment vehicle which is a long short equity investment, and which is managed for the pursuit of the generation of positive alpha returns or

alternative beta form of alpha returns and which may or may not be leveraged.

Definition 1.3 Trading is the process by which a manager actively creates various combinations of

long short portfolios on a regular basis e.g. daily, weekly or monthly.

Definition 1.4 Market timing describes the process by which the portfolio manager uses infrequent

decisions to trade the equities in the long term long short equity investment.

Definition 1.5 Alpha refers to the expected returns which can be attributed to portfolio manager equity

selection skill if positive and which are made possible by either trading or timing as defined.

2

Electronic copy available at: http://ssrn.com/abstract=1071566

Definition 1.6 The long short equity portfolio (without leverage) space is bounded by integer beta

values of -1 and +1

1.0 < < 1.0

(1.1)

Proof: Assume the portfolio is long only and that there is no active trading of the risky assets. This

involves matching exactly the holdings of the risky assets to the holdings of the underlying market

index. As

cov(rp , rm )

=

(1.2)

m2

then due to the effect of matching the underlying holdings exactly, the correlation of returns of the

long only portfolio and the underlying market index will equal one. Hence

p,m =

Cov(rp , rm )

= 1.0

p m

(1.3)

it follows that

Cov(rp , rm ) = m p

(1.4)

and as

p = m

=

cov(rp , rm )

= 1.0

m2

(1.5)

(1.6)

Similarly, if the investor holds a short only portfolio, exactly matching the composition of the long

only market index, but in this case holding every risky asset short as opposed to long in exactly the

same proportions, then

Cov(rp , rm )

p,m =

= 1.0

(1.7)

p m

So

=

cov(rp , rm )

= 1.0

m2

(1.8)

QED

Long Short investment space therefore exists between these two extremes by definition of their

existence, hence

Proposition 1.7 The long short sub-portfolio separation theorem: If NL and by inference NS are

non-integer, then there exists two sub-portfolios at any one time - the long sub-portfolio and the short

sub-portfolio.

The long short portfolio models as reviewed in the literature [9][5][2][7] do not tend to extend upon

the Capital Asset Pricing Model in long short equity investment space. Considering the importance

of the CAPM in investment pricing, this paper is an attempt to enlarge the concept of the CAPM

into the general setting of long short mean-variance investment space.

3

The key model derivation technique used in this paper hinges on using a linear substitution approach

between a measure of the the degree of longness of the portfolio L to the portfolios . The

technique is to firstly mathematically model the expected portfolio performance as a linear function

of L which is made possible by the fact that L can only take value between 0 and 1 and therefore

possesses the desirable quality of being a linear multiplicative operator on the independent model

variables. Since we assume a linear correspondence between L and , so the model equations

derived can also be estimated as functions of by direct substitution using the L / relationship.

2.1

The returns of each equally weighted long and short sub-portfolio can be measured as being the

average percentage return for the period considered for each security.

Definition 2.1 The long sub-portfolio expected return at time t

NL

1 X

E(rL , t) =

rL , i

NL

(2.1)

i=1

Definition 2.2 The short sub-portfolio expected return at time t

E(rS , t) =

NS

1 X

rS , j

NS

(2.2)

j=1

under the condition

NL + NS = N

(2.3)

Definition 2.3 The long sub-portfolio expected return over the total return period of measurement

E(rL ) =

E(rL , t)

(2.4)

t=0

for t, where 0 t

Definition 2.4 The short sub-portfolio expected return over time period

E(rS ) =

E(rS , t)

(2.5)

t=0

for t, where 0 t

Definition 2.5 The long short equity portfolio expected return

E(rp ) = E(rL ) + E(rS )

(2.6)

Definition 2.6 The correlation coefficient between the long and short sub-portfolio returns over time

is

Covar(rL , rS )

=

(2.7)

V ar(rL )V ar(rS )

Proposition 2.7

= 2L 1

where

=

Cov(rp , rm )

V ar(rm )

(2.8)

(2.9)

and where L is the longness of the long short portfolio under the constraint that

L + S = 1.0

(2.10)

L = NL /N

(2.11)

0 L 1

(2.12)

NL + NS = N

(2.13)

where

and

and

Proof:

As covariance satisfies the properties of an inner product, for constants a and b and random

variables X, Y and U

Cov(aX + bY, U ) = aCov(X, U ) + bCov(Y, U )

(2.14)

and since

E(RL ) = E(RS )

(2.15)

V ar(RL ) = V ar(RS )

(2.16)

(2.17)

(2.18)

Cov(X, X) = V ar(X)

(2.19)

(2.20)

Cov(rp , rm )

= = 2L 1

V ar(rm )

(2.21)

and

So

Since

so

thus

QED

The approach to modelling the alpha availability as a function of beta in this paper is based on the

the notion of entropy being equivalent to the available degrees of freedom of choice available in

choosing the various long and short positions as a function of longness. The notion of entropy was

developed by Shannon[13] for binary information transmission systems based on initial insights by

Boltzmann.

Proposition 3.1

(L ) = 3.32M N (L log L1 + (1 L ) log(1 L )1

(3.1)

(3.2)

= 2 L 1

(3.3)

Proposition 3.2

as

Empirical studies were performed to validate the above expression using artificial price data with

known information structure in its conditional time series returns i.e. positive significant

autocorrelation. These time series which were designed not to have a drift rate during the examined

period of time and which had similar volatilities, were simulated in long short configurations using

the momentum trading model. The actively generated alphas available as a function of beta are

shown in Figure 2.0 and agree well with the entropy equation proposed.

Assume for the remainder of this paper however that alpha is a fixed amount that does not fluctuate

with beta and that it can be estimated as the amount of estimated alpha associated with the market

neutral special case. For empirical studies the market neutral alpha is readily measurable from a

selection of available market neutral strategies performance measures. However, the fact that alpha

is also a function of beta requires an iterative technique for solution which is beyond the scope of

this paper.

To correctly model the expected return on investment from a long short strategy, it is important to

correctly model the degree of risk free rate available as a function of L , and subsequently of as it

plays an integral part in the return expectation.

Proposition 4.1

RFA = (1 )rf

(4.1)

Proof: Let RFA be the risk free rate available for any given L or . Assume

RFA = RFL + RFS

(4.2)

where RFL is the available risk free return available from the long positions, and RFS is the available

risk free return available from the short positions. is the total capital available for allocation to the

long short strategy, and assuming no leverage, it follows that

( L )rf

= (1 L )rf

(4.3)

(1 L )rf

( L )rf

=

= (1 L )rf

(4.4)

RFL =

RFS =

Thus

(4.5)

QED

This risk free rate availability relationship for excess capital can be argued as follows. Assume there

is 10 million USD of funds to allocate to a long short equity strategy. In the long only case the

investor will allocate all funds to long positions so there will be no capital left for investing at the

additional risk free rate. In the case of a long short strategy with L =0.75 and =0.5, USD 7.5 M

will be allocated to long positions, and USD 2.5 M will be allocated to short positions. This leaves

an excess long side amount of USD 2.5 M, which when added to the USD 2.5 M short rebate leaves

the investor USD 5 M for investment at the risk free rate. In the case of a market neutral strategy

where L =0.5 and =0, the investor will allocate USD 5 M to long positions, and create a USD 5 M

portfolio of short positions. This will amount to an excess long side amount of USD 5 M, which

when added to the USD 5 M short sale rebate leaves the investor USD 10 M or investment at the

risk free rate. In the case of a short long strategy where L =0.25 and =-0.5, the investor will

allocate USD 2.5 M to long positions, and create a USD 7.5 M portfolio of short positions. This will

amount to an excess long side amount of USD 7.5 M, which when added to the USD 7.5 M short sale

rebate leaves the investor USD 15 M or investment at the risk free rate. Finally, for the short only

case the investor will allocate USD 0 M to long positions, and create a USD 10 M set of short

positions. This will amount to an excess long side amount of USD 10 M, which when added to the

USD 10 M short sale rebate leaves the investor USD 20 M for investment at the risk free rate. The

amounts of capital available predicted using the above argument, assuming no leverage, is seen to

agree with the model as derived.

At the foundation of the traditional CAPM model lies the concept of two mutually exclusive sources

of return, the and the .

Definition 5.1 is the component of the long short portfolio returns as previously defined

= L L + (1 L )S

(5.1)

where L is the alpha generated from the long positions and S is the alpha generated from the short

positions. The total alpha is therefore seen to contain two sources of additive underlying alpha

associated with the two sub-portfolios leading to the long short equity technique being commonly labelled

as a double-alpha strategy.

7

Definition 5.2 is the correlation of the long short portfolios return to that of the N long only

portfolio

Cov(rp , rm )

=

(5.2)

V ar(rm )

where

0.0 1.0

(5.3)

E(rp ) = + rm

(5.4)

= L L + (1 L )S

(5.5)

Proposition 5.3

Proof: Since

and considering the expected total return available for both the long and short positions in terms of

their alpha and beta components

E(RL ) = L L + L rm = L (L + rm )

(5.6)

(5.7)

(5.8)

E(rp ) =

N

1 X

i ri

N

(5.9)

i=1

Thus

E(rp ) = L (L + rm ) + (1 L )(S rm ) = (2L 1)rm + L L + (1 L )S

(5.10)

From (5.5)

E(rp ) = + (2L 1)rm = + rm

(5.11)

QED

Definition 5.4 is the component of portfolio returns generated that cannot be explained by the other

dependent variables i.e. represents a Gaussian noise component.

5.1

It has been asserted that under the restrictive assumptions of the single factor Capital Asset Pricing

Model i.e. Gaussian return expectations or quadratic utility preferences, that the total expected

return of the long short portfolio is a linear combination of four factors - the risk free rate available

RFA , manager skill based abnormal returns , returns associated with the underlying long only

market index return by a correlation coefficient , and a Gaussian noise component .

Proposition 5.5 The Expected Long Short Portfolio returns are

E(rp ) = + E(rm ) + (1 )rf +

8

(5.12)

E(rp ) rf = + (E(rm ) rf ) +

(5.13)

which is equivalent to the traditional Sharpe CAPM[14]. The expected return from an un-leveraged

long short equity strategy with the traditional CAPM assumption properties is therefore equivalent

in form to the traditional long only equity CAPM as developed by Sharpe.

Having applied the previous linear long short pricing technique using the L / substitution technique

as a successful means of deriving a CAPM for the portfolio expected return for long short equity which

matches the original Sharpe solution, the same technique will now be applied in an attempt to derive

the long short CAPM variance equation. As before, the expected properties of the long and short

positions will be derived separately, then combined together into the expected variance equation for

the portfolio. The L / substitution technique will then be used to define the portfolio variance as a

function of the portfolios beta.

6.1

Model Derivation

Proposition 6.1 The Second Moment Variance equation for long short statistical arbitrage portfolios

is as follows

( 2 1)(1 )

r2p = r2m {

+ 1}

(6.1)

2

p

And since the portfolio volatility x = x2 the volatility model for long short equity under the model

assumptions of this paper is therefore

r

( 2 1)(1 )

p = m

+1

(6.2)

2

Proof: Assuming no alpha generation possible, the volatilities of the portfolio long and short returns

can be expressed as linear functions of the market volatility using the L multiplier as

L = L m

(6.3)

S = (1 L )m

(6.4)

p2

N X

N

X

i j Cov(rij )

(6.5)

i=1 j=1

Since

Cov(XY ) = X Y XY

(6.6)

p2 =

N X

N

X

i=1 j=1

i j i j ij

(6.7)

p2 = L2 + S2 + 2L S

(6.8)

where is the average correlation coefficient between the long side and short side returns of the

portfolio assuming

NL

X

E(rL ) =

wi ri

(6.9)

i=1

E(rS ) =

NS

X

wi ri

(6.10)

i=1

thus

(6.11)

Cov(rL , rS )

L S

(6.12)

1.0 1.0

(6.13)

p2 = (L m )2 + [(1 L )m ]2 + 2L m (1 L )m

(6.14)

=

where

Hence

Therefore

2

2

2

p = (L2 m

+ (1 L )2 m

+ 2L m

(1 L )) 2

1

= m (L2 + (1 L )2 + 2L (1 L )) 2

= m (2L (L 1)(1 ) + 1)

1

2

(6.15)

(6.16)

(6.17)

As L = 21 ( + 1) and assuming that any alpha volatility is accounted for in the long short portfolio

volatility model it follows from substitution and further simplification that

r

( 2 1)(1 )

p = m

+1

(6.18)

2

Hence

2

r2 = m

{

( 2 1)(1 )

+ 1}

2

(6.19)

QED

represents a linear Capital Asset Pricing model for expected

2

volatility, where the slope factor ( 1)(1)

+ 1 is non-linear with respect to .

2

To test the volatility model proposed, it was decided to use historical backward adjusted stock data

for the Dow Jones 30 index from 1986 to 2003. The data as adjusted for splits and any dividends were

re-invested in their companys stock.

10

7.1

The statistical arbitrage portfolio model lends itself readily to empirical testing of the long short

mean variance model as presented in this paper. The statistical arbitrage model can be implemented

as a momentum model[6]. A momentum strategy is defined by the triplet (J, S, K), where J is the

ranking period (according to past J days cumulative returns), S is a skip period (set to one day

ahead for the purposes of this test) and K is a holding period (allowed to vary each day according to

new trading signals as they are generated from the ranking algorithm). Each day using the Dow

Jones cross sectional data set, stocks were sorted according to their relative ranking of average

historical returns over J previous days. Long short portfolios were formed by shorting stocks in the

top T percentile of the ranked set and by longing stocks in the bottom B percentile of the ranked

set. All stocks between the top and bottom percentile were left in their previous long or short state.

This technique can be seen to exploit short-term mean reversion tendencies of equity markets using

relative ranking[10]. This strategy is commonly used as a means of exploiting predictable

self-information in historical stock prices by statistical arbitrage managers. This particular style fits

well with the limited assumptions of the model as proposed, and can be classed as a special form of

long short equity strategy.

7.2

The assumption of this test is that the markets under investigation i.e. the Dow Jones 30 is efficient

in the semi-weak form proposed by Fama[3]. In assuming this to be the case, there should be no

alpha generated by the momentum trading strategy in any persistent fashion for any combination of

its three triplet variables. The Dow Jones 30 is indicative of a stock index holding many highly

followed, public companies and as such, is representative of the kind of stock market holding whose

constituent companies are priced efficiently by the market[11].

Long short volatility was modeled using the previously derived equation

r

( 2 1)(1 )

+1

p = m

2

(7.1)

The results as presented in the figures show that for three cases of long/short equity formation, there

is a close relationship between the the estimated portfolio volatility and that measured. This

closeness of forecast versus measured correlation is sufficient evidence to support the validity of the

model as accounted for by high coefficients of determination for each regression. As a second source

of evidence that the model is satisfactory, a hypothesis test was performed for each year in the

sample period for of the three Long Short configuration strategies presented.The hypothesis test was

formulated as

2

2

H0 : measured

= f2orecast versus H1 : measured

6= f2orecast

(7.2)

The suitable test statistic for testing the equivalence of two volatility estimates is the F-test

F =

S1

S2

(7.3)

The results were validated at the 95 percent confidence level in the tables as shown. For all of the

years simulated and for both J=5 and J=15, it was not possible to reject the null hypothesis that the

measured volatility was equivalent to the forecast volatility. The volatility model is thus acceptable

11

with validity at the 95 per cent level of confidence. Figure 9.0 shows that there is a significant

relationship between J and the alpha generated in market neutral configuration, whilst figure 10.0

demonstrates that there is no particular reason for suspecting an associated significant increase in

volatility after accounting for the any absolute alpha.

We assume that the portfolio returns are approximately Gaussian - a non-naive assumption for long

short equity hedge fund strategies due to the mixing of opposite higher co-moments eg. positive and

negative skewness in the long and short sub-portfolios. This mixing effect leads to an overall

cancelation effect in the final portfolio for higher co-moments under the assumptions proposed.

The information ratio is defined as the quotient of the first two moments of the portfolio return

distribution. Since it captures the leverage invariant nature of investment performance, it was chosen

as the appropriate measure for leverage invariant equilibrium performance pricing[4].

Definition 8.1 The Information Ratio

=

8.1

E(rp )

p

(8.1)

From the return and volatility expressions derived in this paper, the Information ratio can be

expressed as

+ E(rm ) + (1 )rf +

E(rp )

q

=

2

p

m ( 1)(1)

+1

2

(8.2)

Proposition 8.2

r

E(rp )m

( 2 + 1)(1 )

+ 1 = p + p E(rm ) + p (1 )rf

2

(8.3)

This equilibrium condition makes it possible to derive any one variable estimate in the identity if the

other variables are quantifiable.

8.2

A common requirement for analysis of long short performance data is to dynamically estimate the

amount of alpha generated by a particular long short manager or strategy. From the long short

mean-variance equilibrium identity developed, implied alpha can be calculated.

For the general long short case the implied alpha is

12

Proposition 8.3

imp

E(rp )

= E(rf rm ) +

(m

p

( 2 + 1)(1 )

+ 1) rf

2

(8.4)

For the special market neutral case when beta is zero, the implied alpha is

Proposition 8.4

impM N

E(rp )

=

m

p

(1 + )

rf

2

(8.5)

The implied alpha derived is leverage invariant and can be dynamically estimated over time. Being

leverage invariant is a useful property as very often leverage is not constant and tends to vary

significantly between various long short equity hedge fund investments.

Proposition 9.1 There may exist for certain combinations of variables within the model as derived

an optimal long short portfolio beta where 0 < < 1. This beta value is the optimum beta for the

long short equity portfolio in the mean-variance sense as it represents the beta associated with the

optimum information ratio.

Proposition 9.2

=

(E(rm ) rf )(1 + )

( + rf )(1 )

(9.1)

Proof: The information ratio as a function of beta is a continuous function, differentiable everywhere

where 0 1 and is either convex or bounded by a greater value of beta associated with passive

long or short investing as is seen in Figure 9.0 for a particular set of values. Differentiation of the

long short information ratio with respect to beta and setting the result equal to zero is therefore the

necessary and sufficient condition for locating a global maximum stationary point.

d

=0

(9.2)

d

Using the chain rule within the quotient rule and setting the result equal to zero in order to identify

the conditions corresponding to the stationary point as sought, yields the following result

1

d

=

d

( 12 ( 2 1)(1 ) + 1)

1

(1)

2 m

1

1

2

( 2 ( 1)(1)+1) 2

=0

(9.3)

On simplification and rearranging the variables as a function of , the following identity emerges

(E(rm ) rf )(1 + )

(9.4)

( + rf )(1 )

This objective function is the optimum long short portfolio beta in the sense that it will represent

the portfolio which will dominate all other long short beta portfolios in mean-variance space. QED

=

13

1

1 (E(rm ) rf )(1 + )

L = ( + 1) = {

+ 1}

2

2

( + rf )(1 )

(9.5)

S = 1 L

(9.6)

1 < L < 1

(9.7)

0 < < 1

(9.8)

and

where

and

10

Proposition 10.1

>

(E(rm ) rf )(1 + )

rf

(1 )

(10.1)

This identity defines the minimum equilibrium value of implied alpha for which a long short portfolio

should exist in the mean-variance domination sense of the market portfolio, all other terms held

constant. If this minimum condition for alpha is not met, a long short portfolios existence cannot be

justified.

Proposition 10.2

<

E(rm ) + 2rf

+ E(rm )

(10.2)

This identity allows the calculation of the maximum equilibrium value of for which a long short

portfolios existence can be justified. If this condition for does not hold, then only the long only

market portfolio is justified in providing the optimum risk adjusted returns portfolio.

Proof: These results follows directly from the optimal beta proposition, under the condition that

the < 1.0 which by definition is the property required of the leverage invariant portfolio whose

existence is warranted due to its higher information ratio (by definition of being a maximum) having

a beta different from the market portfolio. These are therefore the minima conditions required for

alpha and rho if a long short equity portfolio is to dominate the long only 1/N index portfolio in

mean-variance investment space.

QED

14

11

Since two moments have been derived for the long short equity model, this facilitates modelling the

equations in time using the two moment Gaussian stochastic differential equation (SDE) as

developed by Wiener

S

= t + t

S

(11.1)

(11.2)

where

and

r

= m

( 2 1)(1 )

+1

2

(11.3)

Since we are dealing with one dimensional stochastic Brownian motion for a long short equity

investment portfolio, S can be thought of as being the initial value of the investment. S will

therefore measure the change in the value of the investment over the time interval t. The estimates

of the first two moments allow the simulation of performance over future time periods and facilitates

confidence interval estimation for future investment performance.

12

The SDE developed in the previous section is the basis for the derivation of the Black-Scholes option

pricing formula. Since the framework of risk-neutral valuation is used for the derivation, the first

moment or expected mean return of the long short equity portfolio becomes insignificant since an

investor is risk-adverse due to the assumption of continuous delta hedging. As such, the investor will

earn the risk free rate in the risk-neutral framework and the following Black-Scholes option pricing

formula results.

C = N (d1 )Se(T t) N (d2 )K

(12.1)

where N (d1 ) and N (d2 ) are the cumulative normal distribution functions of d1 and d2 , where

d1 =

log(S/K) + (r + 2 /2)(T t)

T t

and

15

(12.2)

d2 = d1 T t

d1 =

log(S/K) + (r + 2 /2)(T t)

T t

(12.3)

(12.4)

where

r

= m

( 2 1)(1 )

+1

2

(12.5)

and

C = value of the call, t = current time, T = expiration date, S = current value of the long short

portfolio, K = strike price of the option, r = risk-free rate of interest, = the volatility of the long

short investment portfolio.

The option price of a call or put can thefore be calculated for the long short equity portfolio with

estimated portfolio volatility .

13

Concluding Remarks

Under the restrictive assumptions and definitions as introduced, capital asset pricing model

equations have been derived for both the expected mean return and variance for long short equity

hedge fund portfolios as defined. The generality of long short space as introduced implies that the

long only, short only and market neutral strategies may be modelled as special cases. An interesting

finding was that the expected mean return equation was identical in form to the CAPM as developed

by Sharpe[14] in his theory of market equilibrium under conditions of risk. The long short portfolio

variance equation which was developed using the same technique was verified empirically as being

correct at the 95 per cent level of confidence using the momentum trading strategy simulated on the

Dow Jones 30 component equities using daily historical data from 1986 to 2002.

The alpha available as a function of beta was modelled using the interpretation of entropy as

developed by Shannon[13]. This innovation which was tested using data with embedded information

was shown to hold under the restrictive assumptions of the model as described. Due to computation

difficulties of having an alpha term which is a function of beta, the alpha is assumed to be beta

invariant for the remainder of the paper to facilitate the development of further theoretical notions.

This assumption can easily be relaxed be relaxed for computational purposes as an initial estimate of

market neutral alpha can be measured from readily available market neutral manager data or

simulation. Thence an iterative process could be used to adjust the alpha available as a function of

beta.

Since any leverage employed increases expected returns proportionally to the leverage, so too the

volatility of the portfolio will increase by the same percentage amount since an increase in expected

return must be accompanied by an increase in volatility, both of which are directly proportional to

the extent of leverage applied to the long short portfolio. As a direct result, in order to correctly

appraise the performance of long short equity portfolios which may employ differing amounts of

16

leverage, a leverage invariant performance estimation technique must be used. As the information

ratio possesses the property of leverage invariance as leverage will affect the numerator and

denominator similarly by definition, the mean variance equations as derived were expressed in

equilibrium form as information ratios. This approach was then used to derive an equilibrium based

estimate of leverage invariant implied alpha.

It was shown that for various estimates of alpha, the expected information ratio of the long short

portfolio as a function of beta was non-linear due to the existence of a stationary maximum point.

Differentiating the information ratio function as a function of beta and setting the answer equal to

zero yielded an interesting result which makes the calculation of the optimal beta portfolio possible

at any time if alpha, the risk free rate, the expected return on the market market portfolio and the

correlation between the long and short sub-portfolios are known. If these independent variables can

be estimated dynamically, this implies that a manager could dynamically tilt the longness of the long

short equity portfolio to hold the optimal portfolio in the mean variance sense. This finding may

lead to a useful application for optimal control theory for long short equity portfolios. For the

optimal beta control function derived, it was noted that neither the volatility of the long short

portfolio nor the volatility of the market portfolio were of importance in the calculation of its value.

Since under the arguments of rational investors, a long short portfolio should only exist if it can

dominate the long only market portfolio in mean-variance space, so the optimal beta equation also

allows the derivation of minimum existence conditions for the four independent variables mentioned

above. This is due to the implication that the information ratio as a function of beta possesses a

maximum turning point that is greater than the information ratio for the long only market portfolio

and so must possess a beta which is less than one. The minimal existence criteria are then derived

for alpha and the correlation coefficient between the long and short sub-portfolios. The importance

of the correlation coefficient in the equations derived highlights the fact that a long short correlation

benchmark is important for informed estimation of manager performance within the long short

equity hedge fund asset class.

The SDE commonly used for asset pricing assuming Brownian motion and iid returns was modelled

using the expected return and volatility equations derived. Such a model allows portfolio value

expectations to be estimated with confidence in future time periods. Similarly value-at-risk (VaR)

can be estimated for performance control and risk budgeting implemented.

Since the SDE is the basis of the Black-Scholes[1] risk-neutral option pricing formula, so the

volatility and variance equations can be substituted directly into this formula to allow the values of

vanilla call and put options to be estimated. This pricing mechanism may help facilitate the

development of a liquid underlying derivatives market for this class of investment product for use

with dynamic portfolio insurance techniques.

17

References

[1] Fischer Black, Myron Scholes The Pricing of Options and Corporate Liabilities Journal of

Political Economy, 81 (May-June):637-54, 1973.

[2] John S. Brush. Comparisons and Combinations of Long and Long/Short Strategies Financial

Analysts Journal. , p 81, May/June 1997.

[3] Eugene Fama. A Theory of Market Prices The Journal of Finance. , 22, pp 27-59, 1958.

[4] Thomas H. Goodwin. The Information Ratio Financial Analysts Journal, July-August 1998.

[5] Bruce I. Jacobs, Kenneth N. Levy, David Starer Long-Short Portfolio Management: An Integrated Approach The Journal of Portfolio Management. p 23, Winter 1999.

[6] Robert A. Korajczyk, Ronnie Sadka Are Momentum Profits Robust to Trading Costs The

Journal of Finance,Vol LIX, p 1039, June 2004.

[7] Andrew W. Lo, Pankaj N. Patel 130/30: The New Long-Only The Journal of Portfolio

Management, p 12, Winter 2008.

[8] Harry Markowitz. Porfolio Selection The Journal of Finance, p77 , 1955.

[9] Richard O. Michaud. Are Long-Short Equity Strategies Supior? Financial Analysts Journal, p

44, November-December 1993.

[10] J.M. Poterba, L.H. Summers Mean Reversion in Stock Prices The Journal of Financial Economics, 22, pp 27-59 1988.

[11] Paul Samuelson. Why Stock Market Prices Must Fluctuate Randomly The Journal of Finance,

22, pp 27-59, 1973.

[12] Stephen E. Satchell, Christian S. Pedersen On the Foundation of Performance Measures under

Asymmetric Returns University of Cambridge working paper, 2002.

[13] Claude E. Shannon A Mathematical Theory of Communication, 1948

[14] William F. Sharpe. Capital Asset Prices: A Theory of Market Equilibrium under Conditions of

Risk The Journal of Finance. , Vol XIX, p 425, September 1964.

[15] William F. Sharpe. The Sharpe Ratio Wiley, 1974.

18

E[R p]

Beta=-2

Beta=2

1X0/Y0

Long/Short Space

1X0/Y0

Short/Long Space

Beta=-1

Beta=1

Long/Short Space

Short/Long Space

Market Neutral

Market Neutral

Short/Long Space

Long/Short Space

E[R m]

Beta=-1

Beta=1

Beta=-2

Beta=2

1X0/Y0

Long/Short Space

1X0/Y0

Short/Long Space

Figure 1: Long short investment space with the special cases shown of integer beta portfolios corresponding to market neutral, passive long or short only cases with varying degrees of leverage.

90

80

70

60

MA 4 H=0.6

MA 10 H=0.6

MA 1 H=0.6

Fitted Relationship

Alpha

50

40

30

20

10

-1.00

-0.80

-0.60

-0.40

-0.20

0

0.00

0.20

0.40

0.60

0.80

1.00

Beta

Figure 2: Alpha availability as a function of Beta - theoretical proposition and the empirical evidence.

The equation proposed is of the same form as the Shannon entropy relationship.

19

Year

1988

1989

1990

1991

1992

1993

1994

1995

1996

1997

1998

1999

2000

2001

2002

Measured

Measured Measured

Measured

Forecast

Mkt Sigma % L/S Correl

Beta

HF Sigma % HF Sigma %

12,29

-0,87

0,09

3,40

3,80

13,65

-0,79

-0,31

6,16

6,41

21,50

-0,88

-0,12

5,63

6,21

17,32

-0,70

0,10

7,81

7,35

9,46

-0,52

0,09

5,32

5,21

8,61

-0,40

0,12

5,86

5,31

10,90

-0,73

0,10

4,25

4,65

5,21

-0,02

-0,16

5,55

4,19

11,06

-0,83

-0,19

4,13

4,30

18,47

-0,82

0,01

5,98

6,10

21,57

-0,84

-0,06

6,19

6,68

13,33

-0,36

0,05

9,78

8,06

16,20

-0,43

0,04

8,72

9,14

21,32

-0,67

0,11

8,38

9,43

26,10

-0,86

-0,11

6,19

7,99

Average

Standard Deviation

15,13

5,65

-0,65

0,24

-0,02

0,13

6,22

1,72

Forecasting

Error

0,40

0,25

0,57

-0,46

-0,11

-0,55

0,40

-1,36

0,16

0,11

0,49

-1,72

0,41

1,05

1,80

6,32

1,73

0,10

0,84

H Test

Reject Ho Y/N

N

N

N

N

N

N

N

N

N

N

N

N

N

N

N

N

Table 1: Forecast and Measured Volatility and Risk Reduction for J=5, Market Neutral.

20,00

18,00

16,00

14,00

Forecast

12,00

10,00

8,00

6,00

4,00

2,00

0,00

0,00

2,00

4,00

6,00

8,00

10,00

12,00

14,00

16,00

18,00

20,00

Measured

Figure 3: Forecast and Measured Volatility Scatter Plot for J=5, Market Neutral r2 = 0.77.

20

Year

1988

1989

1990

1991

1992

1993

1994

1995

1996

1997

1998

1999

2000

2001

2002

Measured

Measured Measured

Measured

Forecast

Mkt Sigma % L/S Correl

Beta

HF Sigma % HF Sigma %

12,29

-0,76

0,61

7,83

8,68

13,65

-0,63

0,39

7,26

8,12

21,50

-0,82

0,42

10,02

11,29

17,32

-0,61

0,59

11,69

12,47

9,46

-0,67

0,57

6,04

6,79

8,61

-0,38

0,58

6,32

6,81

10,90

-0,81

0,53

6,03

6,93

5,21

-0,01

0,48

5,12

4,58

11,06

-0,74

0,28

4,86

5,43

18,47

-0,93

0,39

7,30

8,30

21,57

-0,82

0,40

9,72

11,00

13,33

-0,69

0,55

8,12

9,05

16,20

-0,20

0,65

12,79

13,63

21,32

-0,66

0,44

11,20

12,78

26,10

-0,89

0,41

10,95

12,54

Average

Standard Deviation

15,13

5,65

-0,64

0,25

0,49

0,10

8,35

2,46

Forecasting

Error

0,85

0,86

1,28

0,78

0,75

0,49

0,90

-0,54

0,57

1,00

1,28

0,93

0,84

1,58

1,59

9,23

2,78

0,88

0,49

H Test

Reject Ho Y/N

N

N

N

N

N

N

N

N

N

N

N

N

N

N

N

N

Table 2: Forecast and Measured Volatility and Risk Reduction for J=5, Long Short = 0, 5.

20,00

18,00

16,00

14,00

Forecast

12,00

10,00

8,00

6,00

4,00

2,00

0,00

0,00

2,00

4,00

6,00

8,00

10,00

12,00

14,00

16,00

18,00

20,00

Measured

Figure 4: Forecast and Measured Volatility Scatter Plot for J=5, Long Short = 0.5, r2 = 0.99.

21

Year

1988

1989

1990

1991

1992

1993

1994

1995

1996

1997

1998

1999

2000

2001

2002

Measured

Measured Measured

Measured

Forecast

Mkt Sigma % L/S Correl

Beta

HF Sigma % HF Sigma %

12,29

-0,80

-0,52

7,03

7,73

13,65

-0,86

-0,68

9,39

10,22

21,50

-0,89

-0,64

13,37

14,70

17,32

-0,92

-0,66

11,56

12,22

9,46

-0,66

-0,46

5,53

6,05

8,61

-0,55

-0,56

5,72

6,41

10,90

-0,66

-0,61

7,13

8,07

5,21

0,53

-1,31

10,14

6,14

11,06

-0,69

-0,86

9,66

10,27

18,47

-0,73

-0,92

16,78

17,63

21,57

-0,84

-0,67

14,83

15,59

13,33

-0,65

-0,78

10,77

11,48

16,20

-0,50

-0,46

9,17

10,88

21,32

-0,42

-0,63

14,44

16,63

26,10

-0,81

-0,52

13,77

15,72

Average

Standard Deviation

15,13

5,65

-0,63

0,34

-0,69

0,21

10,62

3,35

Forecasting

Error

0,69

0,83

1,33

0,66

0,52

0,70

0,94

-4,00

0,61

0,84

0,77

0,71

1,71

2,19

1,95

11,32

3,85

0,70

1,35

H Test

Reject Ho Y/N

N

N

N

N

N

N

N

N

N

N

N

N

N

N

N

N

Table 3: Forecast and Measured Volatility and Risk Reduction for J=5, Long Short = 0, 65.

20,00

18,00

16,00

14,00

Forecast

12,00

10,00

8,00

6,00

4,00

2,00

0,00

0,00

2,00

4,00

6,00

8,00

10,00

12,00

14,00

16,00

18,00

20,00

Measured

Figure 5: Forecast and Measured Volatility Scatter Plot for J=5, Long Short = 0.65, r2 = 0.95.

22

Year

1988

1989

1990

1991

1992

1993

1994

1995

1996

1997

1998

1999

2000

2001

2002

Measured

Measured Measured

Measured

Forecast

Mkt Sigma % L/S Correl

Beta

HF Sigma % HF Sigma %

12,29

-0,95

0,17

2,78

3,35

13,65

-0,77

-0,27

5,94

6,25

21,50

-0,90

-0,09

5,24

5,60

17,32

-0,80

0,04

7,08

5,96

9,46

-0,64

-0,02

4,54

4,50

8,61

-0,56

0,15

4,66

4,71

10,90

-0,82

-0,14

3,66

4,12

5,21

-0,23

-0,15

4,14

3,79

11,06

-0,67

-0,35

6,22

6,21

18,47

-0,83

-0,04

5,97

5,96

21,57

-0,81

0,13

6,96

7,77

13,33

-0,61

-0,21

7,34

6,87

16,20

-0,61

0,05

6,93

7,71

21,32

-0,68

0,00

8,04

9,03

26,10

-0,91

-0,11

5,00

6,78

Average

Standard Deviation

15,13

5,65

-0,72

0,17

-0,05

0,15

5,63

1,46

Forecasting

Error

0,57

0,31

0,35

-1,12

-0,04

0,05

0,46

-0,35

-0,01

-0,02

0,81

-0,47

0,78

0,99

1,77

5,91

1,55

0,27

0,67

H Test

Reject Ho Y/N

N

N

N

N

N

N

N

N

N

N

N

N

N

N

N

N

Table 4: Forecast and Measured Volatility and Risk Reduction for J=15, Market Neutral.

20,00

18,00

16,00

14,00

Forecast

12,00

10,00

8,00

6,00

4,00

2,00

0,00

0,00

2,00

4,00

6,00

8,00

10,00

12,00

14,00

16,00

18,00

20,00

Measured

Figure 6: Forecast and Measured Volatility Scatter Plot for J=15, Market Neutral r2 = 0.82.

23

Year

1988

1989

1990

1991

1992

1993

1994

1995

1996

1997

1998

1999

2000

2001

2002

Measured

Measured Measured

Measured

Forecast

Mkt Sigma % L/S Correl

Beta

HF Sigma % HF Sigma %

12,29

-0,71

0,66

8,44

9,37

13,65

-0,77

0,41

6,61

7,54

21,50

-0,88

0,41

9,55

10,50

17,32

-0,82

0,57

10,30

11,24

9,46

-0,64

0,49

5,68

6,28

8,61

-0,04

0,72

7,95

7,96

10,90

-0,92

0,48

5,25

6,03

5,21

-0,26

0,39

4,06

4,07

11,06

-0,74

0,25

4,83

5,25

18,47

-0,86

0,67

12,34

13,48

21,57

-0,61

0,70

15,45

17,11

13,33

-0,69

0,52

7,95

8,75

16,20

-0,53

0,43

9,21

10,47

21,32

-0,77

0,41

10,12

11,43

26,10

-0,78

0,57

14,88

17,02

Average

Standard Deviation

15,13

5,65

-0,67

0,23

0,51

0,13

8,84

3,32

Forecasting

Error

0,93

0,93

0,94

0,94

0,60

0,01

0,78

0,01

0,42

1,14

1,67

0,80

1,26

1,31

2,14

9,77

3,78

0,92

0,54

H Test

Reject Ho Y/N

N

N

N

N

N

N

N

N

N

N

N

N

N

N

N

N

Table 5: Forecast and Measured Volatility and Risk Reduction for J=15, Long Short = 0, 5.

20,00

18,00

16,00

14,00

Forecast

12,00

10,00

8,00

6,00

4,00

2,00

0,00

0,00

2,00

4,00

6,00

8,00

10,00

12,00

14,00

16,00

18,00

20,00

Measured

Figure 7: Forecast and Measured Volatility Scatter Plot for J=15, Long Short = 0.5, r2 = 0.99.

24

Year

1988

1989

1990

1991

1992

1993

1994

1995

1996

1997

1998

1999

2000

2001

2002

Measured

Measured Measured

Measured

Forecast

Mkt Sigma % L/S Correl

Beta

HF Sigma % HF Sigma %

12,29

-0,91

-0,51

6,46

7,20

13,65

-0,62

-0,63

10,07

10,29

21,50

-0,89

-0,65

13,75

15,00

17,32

-0,77

-0,79

14,39

14,66

9,46

-0,84

-0,40

4,48

5,02

8,61

-0,54

-0,33

5,20

5,31

10,90

-0,65

-0,63

7,33

8,21

5,21

0,34

-0,84

7,92

5,45

11,06

-0,62

-0,80

9,49

9,82

18,47

-0,67

-0,80

15,61

15,90

21,57

-0,73

-0,52

13,21

13,65

13,33

-0,32

-0,70

11,76

11,33

16,20

-0,65

-0,38

7,95

9,23

21,32

-0,65

-0,43

10,96

12,76

26,10

-0,85

-0,44

11,89

13,67

Average

Standard Deviation

15,13

5,65

-0,62

0,30

-0,59

0,17

10,03

3,31

Forecasting

Error

0,74

0,23

1,24

0,27

0,55

0,11

0,88

-2,47

0,33

0,29

0,45

-0,44

1,28

1,79

1,78

10,50

3,59

0,47

0,99

H Test

Reject Ho Y/N

N

N

N

N

N

N

N

N

N

N

N

N

N

N

N

N

Table 6: Forecast and Measured Volatility and Risk Reduction for J=15, Long Short = 0, 65.

20,00

18,00

16,00

14,00

Forecast

12,00

10,00

8,00

6,00

4,00

2,00

0,00

0,00

2,00

4,00

6,00

8,00

10,00

12,00

14,00

16,00

18,00

20,00

Measured

Figure 8: Forecast and Measured Volatility Scatter Plot for J=15, Long Short = 0.65, r2 = 0.93.

25

Measured

Alpha

3,83

2,79

0,13

-0,45

-1,31

-1,52

-3,56

-0,86

-2,04

-4,41

-2,78

J (lookback period)

Days

2

5

10

15

20

25

30

35

40

45

50

Measured

Measured Measured

Mkt Sigma % L/S Correl

Beta

15,13

-0,62

-0,03

15,13

-0,75

-0,07

15,13

-0,68

-0,03

15,13

-0,72

-0,05

15,13

-0,65

-0,02

15,13

-0,68

-0,02

15,13

-0,65

0,01

15,13

-0,66

-0,03

15,13

-0,66

-0,02

15,13

-0,66

-0,01

15,13

-0,65

-0,02

Measured

Forecast

Forecasting

H Test

HF Sigma % HF Sigma %

Error

Reject Ho Y/N

6,32

6,47

0,15

N

5,12

5,62

0,51

N

5,97

6,15

0,19

N

5,63

5,91

0,27

N

6,22

6,32

0,10

N

5,85

6,03

0,18

N

6,18

6,32

0,14

N

6,28

6,53

0,25

N

6,43

6,60

0,17

N

6,21

6,31

0,10

N

6,37

6,51

0,14

N

26

5,00

4,00

3,00

2,00

Alpha

1,00

0,00

2

10

15

20

25

30

35

40

45

50

-1,00

-2,00

-3,00

-4,00

-5,00

5,00

4,50

4,00

Absolute Alpha

3,50

3,00

2,50

2,00

1,50

1,00

0,50

0,00

0,15

0,51

0,19

0,27

0,10

0,18

0,14

0,25

0,17

0,10

0,14

Volatility Error

Figure 10: Measured Absolute Alpha versus Volatility Forecast Error, a=0, b=0.23, r2 =0.03.

27

6,00

5,00

4,00

Info Ratio

3,00

2,00

1,00

0

0,

28

0,

35

0,

43

0,

50

0,

58

0,

65

0,

73

0,

80

0,

88

0,

95

0,

13

0,

2

3

-0

,55

-0

,4

8

-0

,4

0

-0

,32

-0

,2

5

-0

,17

-0

,10

-0

,0

2

0,

05

-0

,6

-0

,78

-0

,70

3

-0

,85

-0

,9

-1,0

0,00

-1,00

-2,00

Beta

Figure 11: Long Short Information Ratio versus Beta, = 5, rm = 15, m = 10, = 0.7, rf = 3

28

- class5_2010.pdfÎncărcat deBikram Maharjan
- APT ExerciseÎncărcat de노긔
- BetaÎncărcat deJosann Welch
- Downside RiskÎncărcat deAntonio C S Leitao
- Mutual Fund NewÎncărcat deKapil Chauhan
- Baker Etal Low Risk Anomaly SSRN-Id2210003Încărcat deKostas Iordanidis
- Testing the CAPMÎncărcat deAhmad Hudaifah
- morningstarreport20190906085213.pdfÎncărcat deChankya
- Volatility 1Încărcat deMujeeb Ul Rahman Mrkhoso
- 1917896Încărcat deMisliSlaluAda
- Fama French 2004_CAPMÎncărcat dealexscarlat
- Project Final DraftÎncărcat deJulie Nguyen
- IA CASE ANALYISÎncărcat deMukund Bagaria
- Final Exam Solutions 2009 3 FallÎncărcat deSum Khor
- 3. Capital Cash Flows - A Simple Approach to Valuing Risky Cash Flows - Richard RubackÎncărcat deJasdeep Singh
- Transportation ModelÎncărcat desiddhant adukia
- 02_ED Penyesuaian PSAK 103 Akuntansi SalamÎncărcat deAgus Wijaya
- Investing in Hedge FundsÎncărcat deTraderCat Solaris
- AssignmentÎncărcat deRicha Mittal
- Simposium Nasional Akuntansi 9 Padang Earnings Quality:Încărcat dechepimanca
- Beta calculation and quarterly returns relations with GDPÎncărcat deleoatcit
- Business Finance ch. 6Încărcat deSheila Candelaria
- Applied Regression_HW1_JP, Savio, Leila, MohanÎncărcat deJoão Paulo Milanezi
- AlphaIndicator_DRBM_20170209.pdfÎncărcat deHalimah Mahmod
- analysis of stocks of 4 companiesÎncărcat deApurva Gupta
- EXAM_9_Formula_Sheet.pdfÎncărcat deHuyền Trân
- Connor FactorÎncărcat debitzaru
- Capital Structure DecisionsÎncărcat deuyenpham4190
- AngelTopPicks June 2018Încărcat deShampa Chattaraj
- Efficient Frontier Construction Method 1Încărcat descorn21

- University Counseling ServicesÎncărcat deAustin Justine
- B.com Accounting Finance SyllabusÎncărcat deAustin Justine
- The Revenue Cycle - Sales to Cash CollectionsÎncărcat deAustin Justine
- ___Încărcat deAustin Justine
- __Încărcat deAustin Justine
- _Încărcat deAustin Justine
- SSRN-id553561Încărcat dePuneet Mittal
- temp.txtÎncărcat deAustin Justine
- LNCE 10KÎncărcat deAustin Justine
- How to Make an Advising Appointment TutorialÎncărcat deAustin Justine
- Note for 1 ECON 2103 With Professor Gade at OSU_ KoofersÎncărcat deAustin Justine
- Business Minor RequirementsÎncărcat deAustin Justine
- BSBA Management 2016-2017Încărcat deAustin Justine
- BSBA Management Information Systems - Management Science and Computer Systems Option 2016-2017Încărcat deAustin Justine
- BSBA Management - Non-Profit Management Option 2016-2017Încărcat deAustin Justine
- BSBA Economics - Pre-Law Option 2016-2017Încărcat deAustin Justine
- BSBA Accounting 2016-2017Încărcat deAustin Justine
- BSBA Management - Human Resource Management Option 2016-2017Încărcat deAustin Justine
- Contact Information for Campus OfficesÎncărcat deAustin Justine
- 2016 Course DescriptionsÎncărcat deAustin Justine
- OSFA Scholarship Guide 2015-2016Încărcat deAustin Justine
- BSBA Management - Business Sustainability Option 2016-2017Încărcat deAustin Justine
- BSBA International Business 2016-2017Încărcat deAustin Justine
- Content ServerÎncărcat deAustin Justine
- SSRN-id2310353Încărcat deAustin Justine
- AQR Building a Better Equity Market Neutral Strategy.pdfÎncărcat decaxap

- Tacis EvalÎncărcat deAldwin Arcilla Camance
- 18.pdfÎncărcat dekarthikkanda
- Status Quo BiasÎncărcat deFuhad Ahmed
- Ch 17 Hull Fundamentals 8 the dÎncărcat dejlosam
- Latin America - Oil & Gas 2017Încărcat deGuilherme Loos
- Global DevelopmentÎncărcat deFidastro
- Alfalah Karobar FinanceÎncărcat deMaleeha Moiz
- Puerto Rico Debt ReBalancing Proposal G25Încărcat deDebtwire Municipals
- Option StrategiesÎncărcat deSatya Kumar
- Annual Report 2018 19 PgcilÎncărcat deDeepakyadav
- Shahjalal Islami Bank-Performance AnalysisÎncărcat deraihans_dhk3378
- SIR Report 2016Încărcat dePolash Datta
- Chinese Fireworks IndustryÎncărcat deSakshi Gupta
- ReviewÎncărcat deCrystal Padilla
- FIN121-ch13Încărcat deAshwin Azad
- FTX3044F+Tutorial+9+SolutionÎncărcat devrshaf001
- Week 2 Solutions to ExercisesÎncărcat deBerend van Roozendaal
- Transnational Corporation of Nigeria Plc - Rights Issue Circular - April 2013Încărcat deTransnational Corporation of Nigeria PLC
- Financial Statement Analysis Second LectureÎncărcat deDavid Obuobi Offei Kwadwo
- Share Tips Expert Commodity Report 12042011Încărcat deHardeep Yadav
- Case Analysis-Charles SchwabÎncărcat dehoney08priya
- Group of Firms Presentation 2010Încărcat deemax79
- Strategic OutsourcingÎncărcat deBinod RImal
- 44787263 Legrama v Fremont Investment and Loan Mortgage MTDÎncărcat dejulieb1231
- Dissertation Advisor ProfilesÎncărcat deumchem2
- 12785Încărcat deUJJAL SAHU
- Complaint - Comm. v. Exxon Mobil Corporation - 10-24-19Încărcat deShira Schoenberg
- Flow Chart From Real Estate Closing to ForeclosureÎncărcat deGemini Research
- Chapter 12Încărcat deCharmaine Magdangal
- Annual Report 2015 - Gul AhmedÎncărcat deNabeel Ahmed Khan

## Mult mai mult decât documente.

Descoperiți tot ce are Scribd de oferit, inclusiv cărți și cărți audio de la editori majori.

Anulați oricând.