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Thanks for the quick response David and clarrification. Should have got my weights right :mad: !! I checked it both ways and was getting different anwers in two questions. The stress is probably getting to me! Will let you know how it goes! Thanks for all your help

Hi David I need to clarify on the portfolio variance calculation which is getting me a little worked up as I have seen a couple of different approaches and want to ensure I dont waste time in the exam. If in a question it is given the you have 10 million of asset A with 20% volatility and 40...

Thanks for the response vallerano. But the question is what is the annualised return on the trade. The trade is long 10,000 in A in which case I pay $180K and short 7,500 in B in which case I receive $180 K. Hence I would think the calculation of the annualised return on the trade should not...

Hi David 27.3. An equity-neutral hedge fund manager conducts a pair trade. On January 1st, she decides that Company A trading at $18.00 is undervalued, while Company B trading at $24.00 is overvalued. She takes a long position in 10,000 shares of Company A and a offsetting short position in...