...------------------------------------------------- Latest version: February 7, 2016 (changes from prior version shown in red) ORF 570 Special Topics in Statistics and Operations Research Course topic: Quantitative Asset Management Transcript title: Special Topics in Statistics and Operations/Quantitative Asset Management Instructor: Frank J. Fabozzi, Ph.D., CFA, Visiting Professor, ORFE Office: 207 in ORFE Building (office shared with Professor Mulvey) Office hours: 4-6pm (this time slot will also be used for presentations on special topics) Classroom: Friend 006 Course description: This course covers asset management focusing on quantitative models applied to equities and bonds (with emphasis on mortgage-backed securities). The quantitative models discussed are asset allocation models and portfolio construction models that include optimization models (mean-variance framework and extensions such as robust portfolio optimization), multi-factor risk models, risk control models, and transaction cost forecasting models. Return attribution models for performance evaluation will be covered. Model risk and model/strategy backtesting will be highlighted. Guest speakers from quantitative asset management firms are scheduled. Determination of final grade: Final exam ………………………………. 40% Design project …………………………… 25% Term paper ………………………………. 25% Problem sets ……………………………… 10% Course material and reading assignments: No textbook is required for the book. Instead...
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...9 -2 1 1 -0 0 4 REV: MAY 30, 2012 ANDRÉ PEROLD ERIK STAFFORD Harvard Management Company (2010) In February 2010, Jane Mendillo gazed out of her 16th-floor office window at a cold Boston Harbor and reflected on the set of issues facing Harvard Management Company (HMC). Since her return to HMC as CEO in July 2008, Mendillo had successfully managed the endowment through the worst financial markets crisis in a generation. But that period had brought to the fore multiple issues facing Harvard’s endowment, and she wanted the lessons from the crisis to inform the decisions at the HMC board’s next meeting. The board members would soon be reviewing its policy portfolio along with the current positioning of the endowment. They were eager for an update on a variety of related issues, highlighted during the crisis, such as the allocation of the endowment between internal and external managers, the illiquidity of much of the endowment, the effectiveness of HMC’s risk controls, and coordination with the university regarding its liquidity needs and risk tolerance. The Role of the Endowment Harvard University had been founded in 1636, and from the beginning its endowment played an important role in the financial structure of the institution. As of June 2009, the endowment totaled $25 billion. Each school within the university owned units in the endowment, much like an individual would own shares in a mutual fund, and received distributions from the endowment (“spending”)...
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...GUIDELINES TO DETERMINE ASSET IMPAIRMENT AND REPORTING OF INSURANCE RECOVERIES ASSET IMPAIRMENT STEP 1: Identify “Potential” Impairments to Capital Assets The first step in the process is to identify “potential” impairments to capital assets. Identifying “potential” impairments to capital assets may not necessarily lead to recording an impairment loss. Refer to Step 1 of Exhibit 1 for a detailed decision tree. How is asset impairment defined? As stated above, GASB Statement No. 42, paragraphs 5 and 6 define asset impairment as “a significant, unexpected decline in the service utility of a capital asset.” • Significant: The events or changes in circumstances that lead to impairments are not considered to be normal and ordinary. • Unexpected: At the time the capital asset was acquired, the event or change in circumstance would not have been expected to occur during the useful life of the asset. • Decline in service utility: A reduction in the usable capacity that at acquisition was expected to be used to provide service, as distinguished from the level of utilization. o The current usable capacity of a capital asset that is less than its original usable capacity due to normal wear and tear and expected decline in useful life is not considered to be an impairment; however, impairing events or changes in circumstances that reduce usable capacity may indicate impairment. o Decreases in utilization and existence of, or increases in, surplus...
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...cyber-attacks that has been demonstrated over the past few years through acts of cyber espionage and cyber-crime through the virtual space. In this context, the University of Dar es Salaam needs to develop policies towards cyber threats even through this has often be clustered and fragmented. Using theoretical and conceptual models this paper provides an informed understanding and critical assessment of the University of Dar es Salaam cyber security policy through addressing the following research questions: What are the IT risk management policy and systems that can be developed for the University of Dar es salaam? The primary data is collected through surveys, and interviews that are open ended and close ended. The results of the paper demonstrated that colleges and universities have been a target for cyber-attacks due to the fact that of the vast amount of computing power they possess, and they provide open access to their constituents and to the public. The research also showed that University of Dar es Salaam doesn’t have a comprehensive IT security risk management policy or guidelines that will guide the business process in the event of an IT security threat. Therefore the University needs to develop policiesthat provide roadmap for effectively protecting the availability, integrity and confidentiality of University of Dar es Salaam Information Systems. Chapter One Introduction 1. Introduction Cybercrime is one of the fast growing areas of crime. Accordingly...
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...For the exclusive use of B. Zhang, 2015. 9-104-060 REV: MARCH 28, 2005 DAVID F. HAWKINS Bond Ratings 1 The two major bond-rating services are Moody’s Investors Service, Inc., and Standard & Poor’s Corporation. These two companies rate public and private corporate bond issues, commercial paper, preferred stock, and some large debt offerings of foreign companies and governments. Other rating agencies are Duff and Phelps, and Fitch’s. The information provided by the rating agencies is one of the factors that the marketplace uses to determine the appropriate yield on debt securities. Since many institutional investors can only own bonds above a certain rating, the rating also determines who will or will not buy the issue. A bond rating may also influence the value of a company’s common equity, since some common stock rating services take bond ratings into account when they rate stocks. A committee of the rating agency is responsible for ratings. Initially, in the case of corporate bonds, the company seeking a rating for a new issue makes a presentation to the rating agency. Based on these and other data, such as company visits, a bond analyst employed by the rating agency prepares a report on the company that measures the probability of trouble or loss for the investor, especially from default and poor marketability of the bonds. In this report, the analyst assesses the likelihood of earnings declining or turning negative, the likelihood of a company’s...
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...haulage, and air freight services” (University of Phoenix, 2011, “Director’s Report”). It is important for leadership to analyze the financial statements as stockholders and creditors will base decisions on them. Managers should understand how to calculate and interpret the short-term liquidity, efficiency, debt, and coverage ratios. Short-Term Liquidity Short-term liquidity ratios help key stakeholders assess whether ABC SDN. BHD can pay its short-term obligations from operating income (Parrino, Kidwell, & Bates, 2012). The current ratio is calculated by dividing current assets by current liabilities. For 2010, the company’s current ratio was 1.39, which was calculated by dividing $29,307,990 by $21,051,890. There was a decrease of 0.37 from 2009’s current ratio of 1.76. This indicates that ABC SDN. BHD has $1.39 for every one dollar in current liabilities. The current ratio has remained steady from 2009 to 2010 and thus indicates the company is able to pay its short-term obligations as they come due. Efficiency Ratios By measuring efficiency ratios, managers measure how resourceful the company uses its assets (Parrino, Kidwell, & Bates, 2012). The asset turnover ratio indicates the amount of sales generated for every dollar in assets. ABC SDN. BHD wants to strive for increasing the asset turnover ratio as a higher turnover shows a higher efficiency (Parrino, Kidwell, & Bates). Table 1 below summarizes the asset turnover ratio and the significant decrease...
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...Summary of Harvard Management Company (2010) By: Satrio Abi and Yanuar Budi Baskoro * Harvard Management Company Introduction: Harvard Management Company is a company which built by Harvard University itself. That means HMC is a wholly owned subsidiary of Harvard University. The company built for managing the financial matter and development of the university. Because the company is wholly owned by Harvard University, the Directors of HMC is directly choosen by President and Fellow of Harvard College. The function of HMC is for managing University’s financing especially endowment. Endowment become the important income for HMC. The main job of HMC is to earn money for the endowment. The management do some investment to get the endowment funds. They have the unique ways to do the investment which is using the Hybrid Theory. This case is focusing on the endowment. * Endowment: Why endowment become so important? Because the endowment fund is used for developing the university. The fund is for establishing new research program, creating more scholarship for student and buy some new art and collection. The fund also for increasing financial aid, reducing tuition fee for students and improve facilities for learning such as hiring new profesional academic intiatives or creating new laboratorium for research. The total value of endowment for 1990 until 2009 is increased continuosly. The total value in 1990 is $4.7 billion, in 1995 is $7 billion, in 2000 is $18.3 billion...
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...International and Professional Educational; and Business, Technology and Management. * DeVry saw strong growth during the worldwide recession. * Company has strategically reduced its operating cost in segments that have seen either small improvement or losses in enrollment. * Company has strategically transitioned to support its Medical and Healthcare segments which has seen strong growth potential. * Risk factors include enrollment and public relations as the company has endured numerous class action lawsuits resulting from student dissatisfaction with curriculum content. Summary of Analysis: * Market Capitalization: $2.2 Billion on March 20, 2015 * Cash: 369.98M * Free Cash: $187.53M based on 4th Quarter of 2014 reported data * Last 12 months revenue: $1.92B * Operating Cash Flow: 266.89M * Dividends: N/A Qualitative Analysis Company Profile: What services and products do they sell and/or manufacture? DeVry Education Group is a corporation based in Downers Grove, Illinois. It was founded in 1931and it presently operates a number of for-profit higher education institutions, worldwide. It operates in three segments: Medical and Healthcare; International and Professional Educational; and Business, Technology and Management. The Medical and Healthcare segment operates American University of the Caribbean School of Medicine, Ross University School of Medicine, Ross University School of Veterinary Medicine, Chamberlain College...
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...9-201-129 REV: OCTOBER 23, 2001 Harvard Management Company (2001) In February 2001, Jack Meyer gazed out of his fifteenth floor office window at a cold Boston Harbor and reflected on the set of issues facing Harvard Management Company (HMC). The HMC Board would soon be reviewing the Policy Portfolio – the long-term asset mix that was designed to balance Harvard’s aversion to risk against its needs for long-term endowment returns. The Policy Portfolio was the cornerstone of endowment management at Harvard, the “neutral” portfolio mix that anchored the central tendency of actual asset allocations over time, as well as the benchmark against which actual performance was measured and incentive compensation was calculated. The Board was also interested in a variety of related issues, including the complexity of the investment strategies employed, the effectiveness of their risk controls, and the design and administration of their compensation systems. The Role of the Endowment Harvard University had been founded in 1636, and from the beginning its endowment played an important role in the financial structure of the institution. As of June 2000, the endowment managed by HMC totaled approximately $18.2 billion. Each of the various schools within the University owned “units” in the endowment, much like an individual would own shares in a mutual fund. Spending from the endowment was distributed pro-rata to all schools on the basis of the units each school owned. The annual spending from...
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...company assets, profit, cash flow, investments, and sales. Calculating each one for a business tells the managers of the company what direction to go and what needs to take place of becoming a successful and functional business. Evaluating the company comes with different risk to take on when running a corporation, so the company has to do a performance of evaluation. Having the initiative to compare to other business of the results to is see, what intent that the corporation need to take to meet their target. In the process management can use financial indicators to evaluate the company performance and compare it to that to other companies in their field. “Agency theory suggests that the extent to which performance measures will be used is a function of firm and manager characteristics and the "quality" of the performance measures” (Indjejikian, June 1999). Alltel was a corporation that provided wireless communication services to individuals and business customers. Through its subsidiaries, the corporation did provide wireless voice and data communication services over nearly to 12.8 million customers in 35 states, as of December 31, 2007. Now, AT&T has taken over and rebranded the Alltel stores since the beginning of 2015. In the early of 2015, over more than 70,000 former Alltel wireless customers in South Carolina has begun using new devices that work on AT&T’s network .The Federal Communications Commission approved AT&T’s acquisition of Alltel assets Sept. 20...
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...Harvard Management Company (HMC) has successfully managed Harvard University’s endowment over the last decades. The active management has added billions of dollars in value; nevertheless, CEO Jane Mendillo wants to evaluate the allocation of the portfolio before the next board meeting, looking at liquidity, risk profile, and type of management. HMC’s main objective is to preserve the real value of the endowment and its income distribution in perpetuity. In order to do this, they require annual real returns around 5.5%. The endowment has grown tremendously over the past 30 years; however at the same time, so has the endowment spending. The key question in this case is whether HMC has an appropriate method for investing and developing the endowment, considering their objectives and the University needs. Liquidity and risk is essential to HMC, and by increasing internal management of the endowment, liquidity will increase and risk might decrease. HMC should also consider reducing their dependence on U.S.-based assets. Harvard’s reliance on the endowment is increasing; between 1980 and 2009, Harvard’s endowment spending, as a percentage of the total budget, increased from 15% to 38%. Mendillo is concerned that HMC is largely exposed to illiquid assets (2009: 60% requires more than one year to liquidate), while these assets no longer offer meaningful excess returns. This might indicate that HMC should shift some investment focus, in order to include more liquid assets; also, Mendillo...
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...International Business & Economics Research Journal – March 2010 Volume 9, Number 3 121 Cost Accounting In Auto Manufacturing Companies In Germany And The United States Robert Jinkens, USA RamMohan R. Yallapragada, Fayetteville State University, USA ABSTRACT Corporate accountants are mandated to prepare and distribute financial accounting reports for external U.S.ers at end of each accounting period. However, there are no similar statutory requirements for corporate accountants to provide managers of their companies with the management accounting information necessary for decision making in their bU.S.iness operations. Cost accounting is an important integral part of management accounting. Product costing has always been a much debated issue in management accounting. The area that has generated a host of conflicting views is the allocation of overhead costs to products. Traditional absorption costing is claimed to be resulting in an unfair allocation of overhead costs to products. New approaches such as the Activity Based Costing (ABC) did not receive widespread adoption. It is being realized in management accounting field that an emerging costing method known as Resource Consumption Accounting (RCA) is a better method for product costing. It is a method adopted by the German manufacturing companies. This paper describes the German cost accounting method and also compares the German cost accounting with the cost accounting in the United States, specifically in the automobile...
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...Business Plan Executive Summary University Patents seeks to transfer technology from research universities to preexisting companies via the licensing of patents. Most universities have an office of technology transfer that is responsible for bringing the research/patents generated by the university to market. Some universities are very effective in this area (i.e., Stanford, U of Wisconsin, MIT), but most lack the work force and network to place most patents. Universities traditionally focus on the patents that will bring in substantial amounts of money, yet only 0.6% of licenses generate in excess of $1,000,000 in annual royalties. University Patents has the ability to not only assist the universities in placing technology but, due to the singular focus of the company, also increase the revenue to the university by increasing the number of licenses written. University Patents will generate income by taking a commission off each successful placement. Most patents generated by university research are not, by themselves, able to sustain a business. They are most valuable to existing companies already in a market that can use new technology to increase a product line or slightly diversify their business into a market in which they have an expertise. The small size of these patents mean that most Venture Capital (VC) firms are not interested in these patents and the universities are reluctant to spend time trying to place them. University Patents will be able to focus on these...
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...An Analysis on Ratio of Beximco Pharmaceuticals Limited Letter of Transmittal 7th April, 2013 To, Mahabuba Rahman Lecturer of Finance IBAIS University House # 21/A, Road # 16 (Old-27) Dhanmondi, Dhaka 1209 Dear Madam, Here is the recommendation report on Ratio Analysis of “BEXIMCO PHARMACEUTICALS LTD.” As you read the report, you will get some idea about the pharmaceuticals industry of Bangladesh through our concerned organization. This report contains all the necessary information about the BEXIMCO PHARMACEUTICALS LTD. as like the mission and vision, the brief about all the activities and their services they performed and some other issues as your recommendation. We collected all this necessary information by internet, book and the annual report. We, therefore, pray and hope that you will encourage our work by accepting this report and if you have any further queries about the report you can contact us. Sincerely, Accepted By On behalf of Mahabuba Rahman Executive summary Report Proper 1. Introduction:- 2.1. Origin of the Report: The report was originated in our “Introduction to Finance” course. This report is being assigned as a part of learning objective of the course FIN-217 (Introduction to Finance). It is assigned by our honorable faculty “Mahabuba Rahman”, since a report is required for this course. Our teacher assigned us for this report to test our ability of preparing a business report and to learn. 1.2. Objective: ...
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...Financial Management Unit 4 Unit 4 4.1 Introduction 4.2 Valuation of Bonds Types of Bonds 4.2.1 Irredeemable or Perpetual Bonds Valuation Of Bonds And Shares 4.2.2 Redeemable or Bonds with Maturity Period 4.2.3 Zero Coupon Bond Bondyield Measures 4.2.1 Holding Period Rate of Return 4.2.2 Current Yield 4.2.3 Yield to Maturity (YTM) 4.2.4 Bond Value Theorems 4.3 Valuation of Shares 4.3.1 Valuation of Preference Shares 4.3.2 Valuation of Ordinary Shares 4.4 Summary Solved Problems Terminal Questions Answers to SAQs and TQs 4.1 Introduction Valuation is the process of linking risk with returns to determine the worth of an asset. Assets can be real or financial; securities are called financial assets, physical assets are real assets. The ultimate goal of any individual investor is maximization of profits. Investment management is a continuous process requiring constant monitoring. The value of an asset depends on the cash flow it is expected to provide over the holding period. The fact that as on date there is no method by which prices of shares and bonds can be accurately predicted should be kept in mind by an investor before he decides to take an investment decision. The present chapter will help us to know why some Sikkim Manipal University 50 Financial Management Unit 4 securities are priced higher than others. We can design our ...
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