I’d like to start a list of things to calculate that we must know between now and that dreadful day. Here’s mine: Know how to calculate Initial Dollar Safety Margin and be able to calculate it after x time has gone by.
GIPS: RE income/capital returns.
Schweser didn’t cover them too much, but I would add: effective beta and knowing when it’s beneficial to add another asset class (using correlation, sharpe)
GIPS RE components: Capital employed, capital return, income return, total return
i think for 100% sure we’ll see a gips quesiton related to calculating the return on real estate. Probalby in the morning since in the morning you can carry through your answer with minimal penialization but in the afternoon if you screw up capital employed you’ll get the two return components wrong.
Tell me crazy, but I think know how to calcuate the effective interest rate when using a interest option is worth remembering.
Taylor rule
IR in its various forms, including the law of active management
Corner portfolio weigh
global and micro performance attribution.
Dollar cushion for contigent immuinzation.
ws Wrote: ------------------------------------------------------- > Tell me crazy, but I think know how to calcuate > the effective interest rate when using a interest > option is worth remembering. Definitely know this one, with floors and caps
With floor and caps? I HOPE NOT, i dont want to solve for swap rate taking into account option cost (it is not even in any of CFA examples)
Convert foreign cashflow to domestic cashflow
comp_sci_kid Wrote: ------------------------------------------------------- > With floor and caps? I HOPE NOT, i dont want to > solve for swap rate taking into account option > cost (it is not even in any of CFA examples) Not both; one or the other. Effective maximum borrowing rate with caps or effective minimum lending rate with floors.
hezagenius Wrote: ------------------------------------------------------- > comp_sci_kid Wrote: > -------------------------------------------------- > ----- > > With floor and caps? I HOPE NOT, i dont want to > > solve for swap rate taking into account option > > cost (it is not even in any of CFA examples) > > > Not both; one or the other. Effective maximum > borrowing rate with caps or effective minimum > lending rate with floors. FOR ONE PERIOD right?
pimp Wrote: ------------------------------------------------------- > I’d like to start a list of things to calculate > that we must know between now and that dreadful > day. Here’s mine: > > Know how to calculate Initial Dollar Safety Margin > and be able to calculate it after x time has gone > by. is this the safety margin in contingent immunization?
former trader Wrote: ------------------------------------------------------- > pimp Wrote: > -------------------------------------------------- > ----- > > I’d like to start a list of things to calculate > > that we must know between now and that dreadful > > day. Here’s mine: > > > > Know how to calculate Initial Dollar Safety > Margin > > and be able to calculate it after x time has > gone > > by. > > > is this the safety margin in contingent > immunization? i presume so
Implementation shortfall?
(1) RETURN CALCS + TIME WEIGHTED RETURN [not sure which one we’ll have to use so I inclded them all - my guess is the Modified Dietz] NO Cash Flows MV(1) - MV(0) ___________ or MV(0) Cash Flow at Begining of Period MV(1) - MV(0) + CF _______________ or MV(0) + CF Cash Flow at End of Period MV(1) - MV(0) - CF _______________ or MV(0) Oiginal Dietz MV(1)- MV(0) - CF _______________ or MV(0) + .5*CF Modified Dietz MV(1) - MV(0) - CF ____________________ or MV(0) + sum (wxCF) Time Weighted Return: eg. [(1.0+a%)(1.0+b%)(1.0+c%)]-1=TWR%