@ Big ML
So how did you find the answer LOL?
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.
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 didn’t have that but there was one on CAPM and I didn’t know how to answer it.
The one with the risk free rate, the market premium and 2 volatilities??
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
> 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.
> 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
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.
I think that some information was missing from that question.
I didn’t get question related to Floor
For the RSI it was 73
I think I guessed 73 as well but it is just a guess. I couldn’t get the answer though.
What was CAPM one?
> @ 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”.
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.
and how do you calculate the beta??
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.
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
What would you consider vol 1 as - Volatility of S&P 500 or volatility of some exchange?
RSI = 83 I think
Average up was 2 and average down was 10 (final move)
so calculation was 1-100/(1+2/10)
Don’t you divide up number with avg of 10 so 18/10 = 1.8and Down 10/10 = 1