Now we wait.....

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Trotfoxtrot's picture

@ Big ML

So how did you find the answer LOL?

big ML's picture

I really didn’t think of it in those terms, I guess. Just the risk free plus a spread like any other risky debt. When I think of using a formula to find an answer I would think of a question like finding the SMM or something.

mmt's picture

There was an MCQ question on the CPPI asset mix strategy. They just gave the multiplier and floor value and that’s was it. I took a guess for this answer. How did you guys get the answer?

pupdawg82's picture

I didn’t have that but there was one on CAPM and I didn’t know how to answer it.

Trotfoxtrot's picture

@ pupdawg82

The one with the risk free rate, the market premium and 2 volatilities??

pupdawg82's picture

yes fox. That was the one.

I also missed one where we had to find RSI value. I spend 3 minutes on that but couldn’t get the answer

sao621's picture

mmt Wrote:
——————————————————-
> There was an MCQ question on the CPPI asset mix
> strategy. They just gave the multiplier and floor
> value and that’s was it. I took a guess for this
> answer. How did you guys get the answer?

I believe that problem gave you the amount invested in equities, the floor value and the multiplier. They wanted you to determine what trade you would do if equities increased by x%. You could use that initial “risky asset” allocation to calculate the total assets and then go from there.

sao621's picture

pupdawg82 Wrote:
——————————————————-
> yes fox. That was the one.
>
> I also missed one where we had to find RSI value.
> I spend 3 minutes on that but couldn’t get the
> answer

I had issues with this one too. I know the formula, but they gave you a string of pricing information. I figured out the average up move was 2 and average down was 5 but still couldn’t get an answer that matched one of the choices. I couldn’t make sense of it, so I just moved on. I did revisit it at the end, but I still couldn’t figure it out.

pupdawg82's picture

I think that some information was missing from that question.

I didn’t get question related to Floor

Trotfoxtrot's picture

For the RSI it was 73

pupdawg82's picture

I think I guessed 73 as well but it is just a guess. I couldn’t get the answer though.

What was CAPM one?

big ML's picture

Trotfoxtrot Wrote:
——————————————————-
> @ pupdawg82
>
> The one with the risk free rate, the market
> premium and 2 volatilities??

FML, I forgot about this one. Struggled with it as well. I hope it was “C”.

pupdawg82's picture

yes I marked B = 7.79 for CAPM as it was closest to 8. option C was 8.33. Risk free rate was 3.5 and Market premium was 8.

Trotfoxtrot's picture

and how do you calculate the beta??

pupdawg82's picture

God knows. I guessed 7.79 as answer.

Hopefully missing problems like CAPM, RSI wouldn’t cost us 6 months. Looks like many of us couldn’t solve them comfortably though.

Ufpasse's picture

it was Vol1/Volatily2 –> that becomes your new beta –> if less than 1 its its beta is < 1 if volatility of fund > volatility of mkt –> beta > 1

pupdawg82's picture

What would you consider vol 1 as - Volatility of S&P 500 or volatility of some exchange?

epyon96's picture

RSI = 83 I think

Average up was 2 and average down was 10 (final move)

so calculation was 1-100/(1+2/10)

pupdawg82's picture

Don’t you divide up number with avg of 10 so 18/10 = 1.8and Down 10/10 = 1

100-100/1-1.8/10?

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