8QLYHUVLW\ RI :DVKLQJWRQ :LQWHU 
'HSDUWPHQW RI (FRQRPLFV (ULF =LYRW


(FRQRPLFV 

)LQDO ([DP

7KLV LV D FORVHG ERRN DQG FORVHG QRWH H[DP +RZHYHU \RX DUH DOORZHG RQH SDJH RI KDQGZULWWHQ

QRWHV $QVZHU DOO TXHVWLRQV DQG ZULWH DOO DQVZHUV LQ D EOXH ERRN 7RWDO SRLQWV 



, 3RUWIROLR 7KHRU\  SRLQWV


 ULVN\ DVVHWV DQG D ULVNIUHH
 &RQVLGHU WKH SUREOHP RI DOORFDWLQJ ZHDOWK EHWZHHQ D FROOHFWLRQ RI

DVVHW 7ELOO XQGHU WKH DVVXPSWLRQ WKDW LQYHVWRUV RQO\ FDUH DERXW PD[LPL]LQJ SRUWIROLR H[SHFWHG
UHWXUQ DQG PLQLPL]LQJ SRUWIROLR YDULDQFH 8VH WKH JUDSK EHORZ WR DQVZHU WKH IROORZLQJ TXHVWLRQV




D 0DUN RQ WKH JUDSK WKH VHW RI HIILFLHQW SRUWIROLRV IRU WKH ULVN\ DVVHWV RQO\ WUDQVIHU WKH JUDSK WR
\RXU EOXH ERRN  %ULHIO\ GHVFULEH KRZ \RX ZRXOG FRPSXWH WKLV VHW XVLQJ ([FHO  SWV


E 0DUN RQ WKH JUDSK WKH VHW RI HIILFLHQW SRUWIROLRV WKDW LQFOXGH ULVN\ DVVHWV DQG D VLQJOH ULVNIUHH
DVVHW WUDQVIHU WKH JUDSK WR \RXU EOXH ERRN  %ULHIO\ GHVFULEH KRZ \RX ZRXOG FRPSXWH WKLV VHW
XVLQJ ([FHO  SWV


,, &$30  SRLQWV


 &RQVLGHU WKH &$30 UHJUHVVLRQ


# 7 .   #9  71    9 %
9 1 9


a LLG 1    DQG #9 LV LQGHSHQGHQW RI  IRU DOO 9

9 9




ZKHUH # GHQRWHV WKH UHWXUQ RQ DQ DVVHW RU SRUWIROLR #9 GHQRWHV WKH UHWXUQ RQ WKH PDUNHW
9


SRUWIROLR SUR[\ DQG 71 GHQRWHV WKH ULVNIUHH 7ELOO UDWH /HW a ,3/ a GHQRWH WKH H[SHFWHG UHWXUQV
 
RQ WKH DVVHW DQG WKH PDUNHW UHVSHFWLYHO\ DQG OHW  ,3/  GHQRWH WKH YDULDQFHV RI WKH DVVHW DQG

# GHQRWH WKH FRYDULDQFH EHWZHHQ WKH DVVHW DQG WKH PDUNHW
WKH PDUNHW UHVSHFWLYHO\ )LQDOO\ OHW
. DQG  LQ WKH &$30 UHJUHVVLRQ" :KDW UHVWULFWLRQ GRHV WKH &$30
D :KDW LV WKH LQWHUSUHWDWLRQ RI

."
SODFH RQ WKH YDOXH RI  SWV


 LQ WKH &$30 UHJUHVVLRQ"  SWV
E :KDW LV WKH LQWHUSUHWDWLRQ RI 9




F 8VLQJ WKH &$30 UHJUHVVLRQ FRPSXWH (>#9@ DQG YDU #9   SWV


G 8VLQJ WKH H[SUHVVLRQ IRU YDU #9  ZKDW LV WKH SURSRUWLRQ RI WKH YDULDQFH RI WKH DVVHW GXH WR WKH
YDULDELOLW\ LQ WKH PDUNHW UHWXUQ DQG ZKDW LV WKH SURSRUWLRQ XQH[SODLQHG E\ YDULDELOLW\ LQ WKH
PDUNHW"  SWV


 7KH IROORZLQJ RXWSXW LV EDVHG RQ HVWLPDWLQJ WKH &$30 UHJUHVVLRQ IRU ,%0 DQG DQ HTXDOO\

ZHLJKWHG SRUWIROLR RI  VWRFNV XVLQJ PRQWKO\ UHWXUQ GDWD RYHU WKH SHULRG -DQXDU\  WR
'HFHPEHU 


#,%0  7I # 
  
#  71   YDU ,%0 
 


# 7 # 
  
#  71 

 YDU 5479 
5479 1

 


. DQG  DQG ZKDW DUH
D )RU ,%0 DQG WKH SRUWIROLR RI  VWRFNV ZKDW DUH WKH HVWLPDWHG YDOXHV RI

WKH HVWLPDWHG VWDQGDUG HUURUV IRU WKHVH HVWLPDWHV"  SWV


E ,V WKH EHWD IRU WKH SRUWIROLR HVWLPDWHG PRUH SUHFLVHO\ WKDQ WKH EHWD IRU ,%0" :K\ RU ZK\ QRW"

 SWV


F )RU HDFK UHJUHVVLRQ ZKDW LV WKH SURSRUWLRQ RI PDUNHW RU V\VWHPDWLF ULVN DQG ZKDW LV WKH

SURSRUWLRQ RI ILUP VSHFLILF RU XQV\VWHPDWLF ULVN" :K\ VKRXOG WKH SRUWIROLR KDYH D JUHDWHU
SURSRUWLRQ RI V\VWHPDWLF ULVN DQG VPDOOHU YDOXH RI 6'  WKDQ ,%0"  SWV


G %DVHG RQ WKH UHJUHVVLRQ HVWLPDWHV GRHV WKH &$30 DSSHDU WR KROG IRU ,%0 DQG WKH SRUWIROLR"

-XVWLI\ \RXU DQVZHU  SWV


,,, 5HWXUQ &DOFXODWLRQV  SRLQWV


 &RQVLGHU D SRUWIROLR RI  ULVN\ VWRFNV GHQRWHG E\ $ % DQG & VD\ $SSOH %RHLQJ DQG &RFD
# # DQG # GHQRWH WKH PRQWKO\ UHWXUQV RQ WKHVH VWRFN DQG LW LV DVVXPHG WKDW WKHVH
&ROD  /HW
UHWXUQV DUH MRLQWO\ QRUPDOO\ GLVWULEXWHG ZLWK PHDQV a  L
L $%&  YDULDQFHV $%& DQG
L L


C M  &RQVLGHU IRUPLQJ D SRUWIROLR RI WKHVH VWRFNV ZKHUH [ VKDUH

FRYDULDQFHV L $%& DQG L
LM L


RI ZHDOWK LQYHVWHG LQ DVVHW L VXFK WKDW [  [  [ 

D :KDW LV WKH H[SHFWHG UHWXUQ RQ WKH SRUWIROLR"  SWV
E :KDW LV WKH YDULDQFH RI WKH SRUWIROLR UHWXUQ"  SWV
F :KDW LV WKH SUREDELOLW\ GLVWULEXWLRQ IRU WKH SRUWIROLR UHWXUQ"  SWV
 7KURXJKRXW WKH FRXUVH ZH KDYH PDGH WKH DVVXPSWLRQ WKDW WKH FRQWLQXRXVO\ FRPSRXQGHG

UHWXUQV RQ ULVN\ DVVHWV HJ VWRFNV DUH QRUPDOO\ GLVWULEXWHG %DVHG RQ WKH GDWD DQDO\VLV ZH KDYH
GRQH LQ WKH ODEV DQG LQ FODVV LV WKLV D EHOLHYDEOH DVVXPSWLRQ" %ULHIO\ MXVWLI\ \RXU DQVZHU  SWV


 &RQVLGHU WKH IROORZLQJ PRQWKO\ GDWD IRU 0LFURVRIW VWRFN RYHU WKH SHULRG 'HFHPEHU 

WKURXJK 'HFHPEHU 




(QG RI 0RQWK 3ULFH 'DWD IRU 0LFURVRIW 6WRFN


'HFHPEHU  


-DQXDU\  


)HEUXDU\  


0DUFK  


$SULO  


0D\  


-XQH  


-XO\  


$XJXVW  


6HSWHPEHU  


2FWREHU  


1RYHPEHU  


'HFHPEHU  



D 8VLQJ WKH GDWD LQ WKH WDEOH ZKDW LV WKH FRQWLQXRXVO\ FRPSRXQGHG PRQWKO\ UHWXUQ EHWZHHQ

'HFHPEHU  DQG -DQXDU\ "  SWV


E $VVXPLQJ WKDW WKH FRQWLQXRXVO\ FRPSRXQGHG PRQWKO\ UHWXUQ \RX FRPSXWHG LQ SDUW D LV WKH
VDPH IRU  PRQWKV ZKDW LV WKH FRQWLQXRXVO\ FRPSRXQGHG DQQXDO UHWXUQ"  SWV


F 8VLQJ WKH GDWD LQ WKH WDEOH FRPSXWH WKH DFWXDO DQQXDO FRQWLQXRXVO\ FRPSRXQGHG UHWXUQ
EHWZHHQ 'HFHPEHU  DQG 'HFHPEHU  &RPSDUH ZLWK \RXU UHVXOW LQ SDUW E   SWV


,9 $UELWUDJH  SRLQWV


DUELWUDJH RSSRUWXQLW\"
D :KDW LV DQ  SWV


E *LYH D VLPSOH H[DPSOH RI DQ DUELWUDJH RSSRUWXQLW\  SWV