Alternative Benchmark

CFA Level III
#1

Do we need to memorize below? I know their characteristic as well as their the group’s history performace but I can’t remember individual…

PE

  • Cambridge association and Thomson Venture Economics - Custom benchmarks Commodity - Reuter Jefferies/Commodity Research Bureau (RJ/CRB) Index: - Goldman Sachs Commodity Index (GSCI) - Dow Jones-AIG Commodity Index - S&P Commodity Index

Managed Future

  • Mount Lucas Management Index (MLMI): - Dollar weighted CISDM CTA$ benchmarks - Equal weighted CISDM CTEQ benchmarks.
#2

i hope not and I really doubt it. This would be last on my list to memorise.

#3

LOS e.discuss the construction and interpretation of benchmarks and the problem of benchmark bias in alternative investment groups.

Hope group characteristic is enough.

Managed future one is not easy…

Percentage of Alternative weight is high… 5-15%.

Can be a potential bomber.

#4

I sincerely wish not…indeed i hope we don’t have to recount their performance history…that seems to me as overkill

#5

agreee. but 5~15% test will come from Alternative…

I have no idea about managed future history perf…(I only know all of them are investable, for example, Mount Lucas Management Index (MLMI))

I remember commodities have underperformed traditional investments (stocks & bonds).

For commodity index construction, two methods:

  1. World-wide production of commodity

  2. Perceived world-wide importnace

#6

Schweser: For the Exam, be ready to discuss the general properties, including the drawbacks, of alternative investment benchmarks.

ARE YOU READY?

#7

You don’t need to know the specific benchmarks.