I don’t know how helpful this is, but with Type 1 and 2 managers, i remember it as how many managers you have to deal with.
Type 1 = Only have to deal with one money grabbing portfolio manager.
Type 2 = Have to deal with two money grabbing portfolio managers.
i like this.
question a: how many futures contract to… ?
question b: Do xxxxxx xxxxxxxxxxx xxxxxx with xxxxxxx xxxxxxxxx xxxxx 5200 contracts xxxxxxxxxxx xxxxxxxxxxx .
mistakenly used the number of contracts in a !!!
HF returns are biased DOWNWARD for successful funds that are closed to new investors (i.e., popularity bias).
It could be 10 if the composite contains non-fee paying accounts.
How does this work? if a fund is successful, should returns be biased upwards?
Via dollar duration,
number of contracts to construct a hedge: (DD_T − DD_P)/ DD_f
It doesn’t work 
Delta hedge:
Net delta of the combined position = option delta + delta hedge
Short segull position = Long protective put + Short deep-OTM Call option + Short deep-OTM put option
.
Top-performing funds (popularity effect) get further cash from investors, grow, invest, grow --> momentum effect --> higher weights in value-weighted indexes.
If they are now closed to new investors, they cannot grow so fast and poorly performing funds are (relatively) “pronounced”…
Not sure why but i have 80% chance to do the miscalculation.
Rate of return for a long-short portfolio
Size of the long position = -1/ Delta
To achieve target level of beta exposure.
Calmar ratio
Sterling ratio
Downside and semi-deviation calculation
Expected bond return = risk-free rate + I,D,I,M,T Premium
Shrinkage estimator of the covariance matrix
Charitable gratuitous transfers
never heard of sterling or calmer ratios, is it in the book? arnt they just the RoMAD ratio ?
whatare the IDIMT stand for in bond return?
I’ve never heard of the Calmar or Sterling ratio - wtf are they?
Calmar ratio and Sterling ratio are mention in hedge fund session.
Yes, in curriculum (but not in schweser)
Calmar and Sterling are in a footnote in the curriculum. Definitely curveball possibilities.
How to think of this? Say if the dealer sells 100 calls, it will need to own number of shares = 100 × (Delta).
1/Delta??
Haha, that was exactly how I remember this.
They’re in the footnotes, compound annualized rate of return over abs drawdown and avg drawndown (the sterling has some other variable on the demominator that i cannot remember).
I’ve memorized the books …