yilunzhao/KnowledgeMath huggingface dataset:
Topic: Portfolio Management & Strategy

After deciding to sell off its non-core assets, experts forecast that the standard deviation of returns for Dell Inc. will increase to 30% and its correlation with the market portfolio will stay the same at 0.8. The risk-free rate and the market risk premium are predicted to stay at 6% and 8% respectively. However, the market portfolio's standard deviation of returns is anticipated to drop to 15%. What is the projected return for the company after the restructuring?
Topic: Asset Classes & Derivatives

John is examining Company N utilizing the multistage residual income model. He has projected that the residual income per share will remain unchanged from year 3 onwards forever and the short-term ROE exceeds the long-term ROE. He has also calculated the profits and dividends for the upcoming three years as shown in the table below. What is the intrinsic value of Company N?

|                       | Year 1 | Year 2 | Year 3 |
|-----------------------|--------|--------|--------|
| Bt-1                  | $28.25 |        |        |
| EPS                   | $6.50  | $7.82  | $6.93  |
| Dividends per share   | $1.75  | $2.63  | $1.97  |
| Long-term ROE         | 14.5%  | 14.5%  | 14.5%  |
| Constant long-term growth | 5.5%   | 5.5%   | 5.5%   |
| Cost of equity        | 10.9%  | 10.9%  | 10.9%  |
Topic: Quantitative Analysis & Valuation

Analyst Johnson is employing a GARCH(1,1) model to calculate daily variance on daily returns(rt) : ht:=α0 + α1r2t-1 + βht-1 while α0 = 0.000003 α1 = 0.03 β = 0.94. Can you provide the estimate for the long-run annualized volatility (taking into consideration that volatility increases by the square root of time and there are 252 trading days in a year)?
Topic: Accounting

Thomas Brooks, a research analyst in a global securities firm, is crafting a research summary on Megacreator, Inc., a company that adheres to IFRS and is publicly traded. On 1 January 2016, Megacreator bought a 15% stake in Brewster Co., holding voting rights, for $300 million. Megacreator maintains a seat at the Brewster board of directors table and has a say in policy decisions. Brooks is anxious about the potential impact of goodwill impairment due to anticipated industry shifts set to take place late in 2017. He computes the impairment loss using the predicted consolidated balance sheet data depicted in Exhibit 3, assuming that Megacreator's cash-generating unit and reporting unit are identical. According to Exhibit 3, the IFRS impairment loss for Megacreator is:

|                                                 |         |
|-------------------------------------------------|---------|
| Exhibit 3. Selected Financial Data for Topmaker, Inc. ,Estimated Year Ending 31 December 2017 ($ millions) |         |
| Carrying value of cash-generating unit/reporting unit  | 15,200 |
| Recoverable amount of cash-generating unit/reporting unit  | 14,900 |
| Fair value of reporting unit       | 14,800 |
| Identifiable net assets            | 14,400 |
| Goodwill                           | 520    |
Topic: Asset Classes & Derivatives

What is the total revenue generated by the hedge fund company, Bearing, this year, considering it had $288 million in assets under management (AUM) at the end of the previous year, a 2% management fee (based on year-end AUM), 20% incentive fee calculated after the management fee, a 5% soft hurdle rate, and a high-water mark of $357 million, and its fund return for the current year is 25%?
Topic: Asset Classes & Derivatives

Assuming annual coupon payments and no accrued interest, a collection of bonds includes the following three fixed-rate bonds. Prices are given per 100 of par value. What is the modified duration of this bond portfolio?

| Bond | Maturity | Market Value Price | Coupon | Yield-to-Maturity | Modified Duration |
|------|----------|--------------------|--------|-------------------|-------------------|
| A    | 6 years  | 170,000            | 2.00%  | 4.95%             | 5.42              |
| B    | 10 years | 120,000            | 2.40%  | 4.99%             | 8.44              |
| C    | 15 years | 100,000            | 5.00%  | 5.00%             | 10.38             |
Topic: Corporate & Securities Issuance

What is the projected equity beta for a private firm using the pure-play approach and the data obtained from its publicly traded rival?

| Comparable Companies | Tax Rate (%) | Debt/Equity | Equity Beta |
| -------------------- | ------------ | ----------- | ----------- |
| Private company      | 30.0         | 1.00        | N.A.        |
| Public company       | 35.0         | 0.90        | 1.75        |
Topic: Market Analysis & Economics

If we take 2012 as the reference year for calculating GDP and the GDP deflator for the economic climate in 2013 is 102.4, what would be the unit cost of item B in 2012 in an economy consisting of two items, A and B, given the details below?

| Product | Quantity Produced in 2012 | Quantity Produced in 2013 | Product Unit Prices in 2012 | Product Unit Prices in 2013 |
|-------|-------------------------|-------------------------|---------------------------|---------------------------|
| X     | 351.0                   | 352.0                   | 13.3                          | 13.8                          |
| Y     | 179.0                   | 182.5                   | unknown                    | 11.1                          |
Topic: Asset Classes & Derivatives

In addition to contemplating the implementation of financial instruments to control interest rate risk, Sullivan is also contemplating a fresh approach for Shoreline. Sullivan calculates how many bond futures are required to shield the company's total exposure to interest rate risk. The asset portfolio has a basis point value (BPV) of 96,000, while the liability portfolio's BPV is 44,000. Based on the extra data about bond futures that Sullivan has gathered in Exhibit 1, how many five-year note futures contracts need to be sold to readjust the immunizing portfolio?

|                             | 5-Year T-Note | 10-Year T-Note |
|-----------------------------|---------------|----------------|
| Yield to maturity           | 6.02%         | 6.41%          |
| Modified duration           | 4.8           | 9.1            |
| BPV per 100,000 in par value| 47.22         | 88.41          |
| Conversion factor for cheapest-to-deliver | 0.88          | 0.90           |
Topic: Market Analysis & Economics

Assuming there is a 2.5% rise in the income of the family while G and T remain constant, what would be the adjusted equilibrium quantity?

|                               |                               |                                           |                        |
|-------------------------------|-------------------------------|-------------------------------------------|------------------------|
| An individual consumer's demand for tea |                                               | Qdt=1, 800-40Pt+0.5/+150Pc                |                        |
| Seller's supply of tea        |                                               | QSt=-516+350Pt-120W                        |                        |
|                               |                               |                                           |                        |
|                               |                               | **Legend and Initial Values**              | **Assumed Values**     |
| ad t                          |               Quantity of tea |                                           |                        |
| Pt                            | Price of tea per 100 grams    |                                           |                        |
| I                             |       Household income        |                                           | £2,400                 |
| W                             | Hourly wage rate for labor    |                                           |                        |
| Pc                            | Price of coffee per 100 grams |                                           | £22.4                  |
|                               | Equilibrium price of tea      |                                           | £30.6                  |
Topic: Asset Classes & Derivatives

If we consider the initial value of the float-adjusted market-capitalization-weighted equity index to be 100, what would be the final value considering the data for four stocks in the index?

| Stock | Shares Outstanding | % Shares in Market Float | Beginning of Period Price | End of Period Price | Dividends Per Share |
|-------|-------------------|--------------------------|---------------------------|---------------------|---------------------|
| A     | 5,000             | 90                       | 40                        | 45                  | 1.00                |
| B     | 2,000             | 100                      | 68                        | 60                  | 0.50                |
| C     | 6,000             | 70                       | 60                        | 70                  | 1.50                |
| D     | 4,000             | 40                       | 20                        | 24                  | 0.80                |
Topic: Asset Classes & Derivatives

Imagine that a limit order is listed in the stock's order book. Let's say Alex placed a day order with a limit price of $20.87 and sold 1,000 shares, with no other investors placing a buy order after his was submitted. What would be the average price for Alex's transaction?

| Buyer   | Bid Size (Number of shares) | Limit price($) | Offer size (Number of shares) | Seller   |
|---------|-----------------------------|----------------|-------------------------------|----------|
| Liam    | 7,000                       | 20.70          |                               |          |
| Debbie  | 200                         | 20.88          |                               |          |
| Philips | 400                         | 21.02          |                               |          |
| Fiona   | 300                         | 21.89          |                               |          |
|         |                             | 21.90          | 300                           | Kevin    |
|         |                             | 22.01          | 1,300                         | Veronica |
|         |                             | 22.06          | 1,500                         | Ethel    |
Topic: Accounting

What was the provision for income taxes recorded in the US GAAP income statement of the firm in Year 3, given the elements of earnings before income taxes (in $ thousands)?

|  |  |  | Year 3 | Year 2 | Year 1 |
| --- | --- | --- | --- | --- | --- |
| Earnings before income taxes: | | United States | $88,157 | $75,658 | $59,973 |
|  | | Foreign | $116,704 | $113,509 | $94,760 |
|  |  | Total | $204,861 | $189,167 | $154,733 |
| The components of the provision for income taxes are as follows ($ thousands): | | |  | | |
| Income taxes: | Current: | Federal | $30,632 | $22,031 | $18,959  |
|  | | Foreign | $28,140 | $27,961 | $22,263  |
|  | | | $58,772 | $49,992 | $41,222 |
| | Deferred: | Federal | ($4,752) | $5,138 | $2,336 |
|  | | Foreign | $124 | $1,730 | $621 |
|  | | | ($4,628) | $6,868 | $2,957 |
|  |  | Total | $54,144 | $56,860 | $44,179 |
Topic: Asset Classes & Derivatives

A takeover private equity fund intends to invest in all of Business A's preferred shares and 70% of the ordinary shares. Business A's present valuation stands at $10 million, comprising $6.5 million in debt, $2.8 million in preferred shares and $0.7 million in ordinary shares. The projected exit value in five years time is $15 million, with a predicted decrease in debt by $2.5 million and a 15% yearly return on preferred shares. What is the ratio of anticipated proceeds at exit to the funds invested?
Topic: Asset Classes & Derivatives

If Minstrel identifies an arbitrage opportunity involving a fixed-income futures contract and its related bond, and the current details on the futures contract and related bond are displayed in Exhibit 1, what would be the arbitrage profit on the bond futures contract given that the existing yearly compounded risk-free rate is 0.30%, assuming annual compounding?

|         |           |                   |      |
|---------|-----------|-------------------|------|
|         |           | Underlying Bond   |      |
| Futures Contract |   |                   |      |
| Quoted futures price | 125.00 | Quoted bond price | 112.00 |
| Conversion factor | 0.90 | Accrued interest since last coup on payment | 0.08 |
| Time remaining to contract expiration | Three months | Accrued interest at futures contract expiration |0.20 |
| Accrued interest over life of futures contract | 0.00 |   |   |
Topic: Accounting

The details for a certain business are given below. How many days does it take for that business to complete its cash conversion cycle?

|                     | $ millions |
|---------------------|------------|
| Sales               | 4,800      |
| Cost of goods sold  | 2,880      |
| Purchases           | 2,940      |
| Average receivables | 625        |
| Average inventory   | 710        |
| Average payables    | 145        |
Topic: Asset Classes & Derivatives

The modified duration of a bond collection, which consists of three fixed-rate bonds that pay annual coupons without any accrued interest, is:

| Bond | Maturity | Market Value Price | Coupon | Yield-to-Maturity | Modified Duration |
| --- | --- | --- | --- | --- | --- |
| A | 3 years | 150,000 95.0000 | 3.00% | 5.67% | 4.98 |
| B | 5 years | 110,000 90.0000 | 4.00% | 5.97% | 7.86 |
| C | 10 years | 100,000 100.0000 | 6.00% | 6.00% | 9.27 |
Topic: Quantitative Analysis & Valuation

The yield of a portfolio with four stocks is equivalent to:

| Equity | Asset Allocation (%) | Asset Class Return (%) |
|--------|----------------------|------------------------|
| Equity A | 10.0 | 3.0 |
| Equity B | 20.0 | 19.0 |
| Equity C | 55.0 | -1.0 |
| Equity D | 15.0 | 6.0 |
Topic: Market Analysis & Economics

On the following day, Roberts advises Green to take another look at her analysis on XYZ Corp. Green's study leads her to conclude that the company's shares are underpriced. She communicates her findings to Roberts, who directs her to buy 120,000 shares at $40.00 using a limit order of $42.00 at 10 a.m. The buy-side dealer implements the order for market execution as the price hits $40.50. The exclusive fee is a commission of $0.02 per share. By market close, 90,000 shares of the order were bought, with XYZ Corp ending at $42.50. The transaction was discharged at an average cost of $41.42. Information about the completed deals is given in Exhibit 1. Based on the information provided in Exhibit 1, what is the opportunity cost of buying the 90,000 shares of XYZ Corp?

| Trades | Execution  Price | Shares Executed |
|--------|------------------|-----------------|
| Trade 1 | $40.75 | 10,000 |
| Trade 2 | $41.25 | 30,000 |
| Trade 3 | $41.50 | 20,000 |
| Trade 4 | $41.75 | 30,000 |
| Total |  | 90,000 |
Topic: Portfolio Management & Strategy

Three brokers are involved in making the market for the stocks of Bright Systems. Using these rates, YNSM's trading desk carries out a market sell order for 1,100 stocks of Bright Systems. Based on Exhibit 1, what is the inside bid–ask spread for the limit order book for Bright Systems?

| Dealer | Time   Entered | Price  | Size | Dealer | Time   Entered | Price  | Size |
|--------|---------------|--------|------|--------|---------------|--------|------|
| B      | 10.10 a.m.    | $17.15 | 900  | C      | 10.11 a.m.    | $17.19 | 1,200|
| C      | 10.11 a.m.    | $17.14 | 1,500| B      | 10.10 a.m.    | $17.20 | 800  |
| A      | 10.11 a.m.    | $17.12 | 1,100| A      | 10.12 a.m.    | $17.22 | 1,100|
Topic: Asset Classes & Derivatives

What is the interest coverage ratio of the operating statement, if calculated by the more conservative interest coverage ratio method, for the corporation?

| Fiscal year end (USD  millions) | December 2018 |
|---------------------------------|---------------|
| Revenue                         | $31,218.00    |
| Cost of goods sold              | $25,454.00    |
| Sales, general, and administrative| $1,638.00    |
| Depreciation and amortization   | $441.00       |
| Operating income                | $3,685.00     |
| Interest expense                | $103.00       |
| Income before taxes             | $3,582.00     |
| Provision for income taxes      | $1,121.00     |
| Net income                      | $2,461.00     |
Topic: Corporate & Securities Issuance

A researcher is determining a historical ERP for a market based on the same data. What is the historical ERP?

| Expected inflation | 1.9% |
|---|---|
| Expected growth in the P/E | -1.2% |
| Expected income component | 1.8% |
| Expected growth in real earnings per share | 2.7% |
| Expected change in shares outstanding | 0.0% |
| Current three-month government bond yield | 0.96% |
| Long-term geometric average return of market equity index | 9.96% |
| Long-term geometric average return of short-term government bond | 3.15% |
Topic: Accounting

What is the total comprehensive income (in millions) of the firm as per the data available from the firm's financial documents?

|                                         | Emillions   |
|-----------------------------------------|-------------|
| Revenues for the year                   | 12,500      |
| Total expenses for the year             | 10,000      |
| Unrealized gains from available-for-sale securities | 1,475       |
| Loss on foreign currency translation adjustments on a foreign subsidiary | 325         |
| Dividends paid                          | 500         |
Topic: Asset Classes & Derivatives

John just got $30 million. His blueprint is to put this money at a risk-free rate of 3% and subsequently switch them into euros after six months. To safeguard against the currency risk, John opts to buy forward contracts. The rate for six-month forward is 1.10 USD/EUR, with the spot rate currently at 1.13 USD/EUR. The day-count convention being used is 30/360. If John utilizes a six-month forward contract as his risk hedge, what will his calculated annualized return in euros be?
Topic: Accounting

A researcher predicts that 20% of high-risk bonds will become insolvent. If he uses an insolvency prediction model, he discovers that 70% of the bonds will be given a "good" rating, suggesting they are less likely to become insolvent. Of the bonds that became insolvent, only 50% had a "good" rating. Use Bayes' theorem to determine the probability of insolvency given a "good" rating. (Hint, let P(A) be the probability of insolvency, P(B) be the probability of a "good" rating, P(B | A) be the likelihood of a "good" rating given insolvency, and P(A | B) be the likelihood of insolvency given a "good" rating.)
Topic: Corporate & Securities Issuance

Two years earlier, a corporation released $20 million in long-term bonds at face value with a 9 percent coupon rate. The firm plans to release another $20 million in bonds and anticipates that the new issue will be priced at face value with a 7 percent coupon rate. The firm has no other outstanding liabilities and is taxed at a rate of 40 percent. What is the proper after-tax debt cost to calculate the firm's weighted average cost of capital?
Topic: Asset Classes & Derivatives

Sagittarius Portfolio of Portfolios invests GBP 100 million in each of Gamma Hedge Fund and XYZ Hedge Fund. Sagittarius POP has a "1 and 10" fee structure. Management fees and incentive fees are calculated separately at the end of each year. After one year, net of their respective management and incentive fees, the investment in Gamma is valued at GBP80 million and the investment in XYZ is valued at GBP140 million. What is the yearly return to a shareholder in Sagittarius, after deducting fees at the portfolio of portfolios level?
Topic: Asset Classes & Derivatives

A financial analyst named Ahern from a certain investment firm recently compiled data for an equal-weighted index which includes assets A, B, and C: What is the combined return of this index?

|      | Beginning of Period Price(€) | End of Period Price(毛) | Total Dividends(€) |
|------|-------------------------------|-------------------------|---------------------|
| A    | 8.00                          | 10.00                   | 0.50                |
| B    | 22.00                         | 19.00                   | 1.20                |
| C    | 25.00                         | 25.00                   | 1.50                |
Topic: Asset Classes & Derivatives

John is getting ready to compute the intrinsic value of Company N's equity utilizing the FCFF model with an infinite growth rate of 5%. The pertinent information can be found in the table below. What's the value of Company N's equity?

| Financial Statement for Company M | $ millions |
| --- | --- |
| Net Income | 212 |
| Depreciation expense | 88 |
| Increase in inventories | 50 |
| Increase in accounts payable | 25 |
| Purchase of fixed assets | 100 |
| Increase in notes payable | 60 |
| Decrease in long-term debt | 50 |
| Interest expense | 100 |

| Additional information | |
| --- | --- |
| Tax rate | 30% |
| Beta | 0.8 |
| Before-tax cost of debt | 5% |
| D/A ratio | 40% |
| Risk-free rate | 2.4% |
| Market risk premium | 7% |
Topic: Asset Classes & Derivatives

Keeping in mind that each bond has three years left in its maturity, makes annual coupon payments, and has a BBB credit rating, when Jones constructs a binomial interest rate tree based on a 10% interest rate volatility assumption, with the present one-year rate being 1%, Panel A of Exhibit 2 gives an interest rate tree under the assumption that the benchmark yield curve drops by 30 bps. Panel B offers an interest rate tree presuming an increase in the benchmark yield curve by 30 bps. Jones concludes that the SM bond is currently being traded at an option-adjusted spread (OAS) of 13.95 bps in relation to the benchmark yield curve. Based on the data present in Exhibits 1 and 2, can you determine the effective duration for the SM bond?

| Issuer             | Coupon Rate | Price   | Bond Description        |
|--------------------|-------------|---------|-------------------------|
| Ayrault, Inc. (Al) | 5.25%       | 100.200 | Callable at par in one  |
|                    |             |         | year and two years from |
|                    |             |         | today                   |

| Exhibit 2. Binomial Interest Rate Trees | |
| --- | --- |
| Panel A Interest Rates Shift Down by 30 bps | | | | | |
| Year 0, Year 1, Year 2 | | | | | |
| | |5.1968% | |7.0037% | |
| 3.7000% | | | |5.7342% | |
| | |4.2548% | | | |
| | | | |4.6947% | |

| Panel B Interest Rates Shift Up by 30 bps | | | | | |
| Year 0, Year 1, Year 2 | | | | | |
| | |5.8605% | |7.7432% | |
| 4.3000% | | | |6.3396% | |
| | |4.7982% | | | |
| | | | |5.1904% | |
Topic: Accounting

In the year 2009, PlayJoy Ltd, a company that started operating in October of that year, bought 10,000 units of a toy costing ₤10 each in October. The toy had a good sale in October. Expecting high sales in December, PlayJoy acquired another 5,000 units at ₤11 each in November. During 2009, PlayJoy managed to sell 12,000 units each at a price of ₤15. What would be the cost of goods sold by PlayJoy under the weighted average cost method?
Topic: Portfolio Management & Strategy

XY Corporation has established a defined benefit pension plan with $150m in assets and $135m in commitments. It is predicted that: The expected annual income of the pension plan is 7.5percent, with a volatility of 10percent. The liabilities are expected to increase yearly at a rate of 5 percent and have a variation of 4.5 percent. The correlation coefficient between income from assets and liability growth is 0.7. Determine the 95% risk of surplus of the pension.