200606-01

Short sales have historically accounted for a small, though rising, percentage of shares outstanding

200606-02

The real benefits of market neutral emerge only when the portfolio is conceived of and constructed as a single integrated portfolio of long and short positions. In this framework, market neutral is not a two-portfolio strategy

200606-03

Investors and hedgers have long been able to short the broad equity market by selling stock index futures

200606-04

Convertible bond hedging typically involves purchasing a convertible security and shorting the stock into which it is convertible

200606-05

The trader will realize a profit equal to the difference between this credit and the cost of buying and funding the bond

200606-06

Traders have historically attached an inordinate amount of prestige to the level of their credit linehow high their loss on a trade can go before an ISMA agreement

200606-07

Ideally, a market neutral portfolio of CMOs and their hedges will experience no gains or losses resulting from interest rate movements

200606-08

A portfolios duration, like a bonds duration, can be viewed as a measure of its price risk

200606-09

Merger Arbitrage

200606-10

Portfolio Risk and Return

200606-11

As with the market neutral equity strategy, the investor is subject to Federal Reserve Board Regulation

200606-12

Investment models and processes. ACM obviously lacked the tools needed to value its complex instruments properly

200606-13

Long-Term Capital Management (LTCM) was headed by John W. Meriwether

200606-14

Robert Haghani, one of LTCMs chief traders, stated, in the aftermath of the bailout

200606-15

Could investors in ACM have known before its failure that its investment approach was less than adequate?

200606-16

Significant Tax Considerations for Taxable Investors in Market Neutral Strategies

200606-17

Investors engage in merger or risk arbitrage in anticipation of a possible corporate acquisition

200606-18

Notional principal contract (e.g., swaps, caps and floors) permit parties to reduce the cost of debt, enhance the yield on assets, and manage interest rate exposure

200606-19

Tax Treatment for Option Holders

200606-20

A straddle is defined for federal income tax purposes as offsetting positions with respect to personal property

200606-21

In many short sales, the short seller does not own the securities sold short at the time

200606-22

Exempt Organizations may incur UBTI through direct investments in securities and through their participation as limited partners in private securities partnerships

200606-23

Dividends paid by a foreign corporation that derives at least 25% of its gross income for a specified period from a trade or business within the United States

200606-24

ERISA requires that the fees paid to an ERISA fiduciary be reasonable with respect to the services performed

200606-25

A foreign corporation will constitute a PFIC with respect to a taxable year

200606-26

Is leverage achieved via derivatives? Some strategies may require derivatives to reduce portfolio risk

200606-27

Using derivatives to move the active return and risk from an investment strategys

200606-28

Fannie Mae (Federal National Mortgage Association) A corporation sponsored by the U.S. government (but owned by private shareholders) that buys and sells residential mortgages

200606-29

Residual risk - The risk of a security or portfolio that is not explained by its systematic risk

200606-30

Stock Certificates: Fancy-Looking Pieces of Paper

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Previous Issues

200605

Aren't market neutral strategies best exploited only by investors with special information?

200604

Soros understood that the British prime minister, Margaret Thatcher, wanted each British citizen to own shares in British stocks

200603

Livermore could have a line of a hundred thousand shares out on a single stock play and sleep like a baby

200602

Open symbols represent the value of investing now without the abandonment option

200601

In ten years, real options will replace NPV as the central paradigm for investment decisions

200512

Successful focus investors need a certain kind of temperament

200511

Try to design an investment strategy to achieve your objectives while not exceeding your tolerance for risk