Assume a $100 million AUM Long/Short Equity fund manager enters the following trades at the beginning and end of the year. Bought $100 million of ABC at an opening price per share of $100, beta of 1.5, current price of $110. Sold short $100 million of XYZ at an opening price of $100, beta of 1.0, current price of $105. There is a $2 per share dividend on ABC and a $1 dividend on XYZ. Borrow fee is 1%. What is the actual trading profit or loss of the fund
Assume a $100 million AUM Long/Short Equity fund manager enters the following trades at the beginning and end of the year. Bought $100 million of ABC at an opening price per share of $100, beta of 1.5, current price of $110. Sold short $100 million of XYZ at an opening price of $100, beta of 1.0, current price of $105. There is a $2 per share dividend on ABC and a $1 dividend on XYZ. Borrow fee is 1%. What is the actual trading profit or loss of the fund
Chapter15: Dividend Policy
Section: Chapter Questions
Problem 11P
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Assume a $100 million AUM Long/Short Equity fund manager enters the following trades at the beginning and end of the year. Bought $100 million of ABC at an opening price per share of $100, beta of 1.5, current price of $110. Sold short $100 million of XYZ at an opening price of $100, beta of 1.0, current price of $105. There is a $2 per share dividend on ABC and a $1 dividend on XYZ. Borrow fee is 1%. What is the actual trading profit or loss of the fund?
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