Not a political statement, the only way I could remember macro attribution breakdown: NRABIA Net Contributions Risk Free Asset Asset Categories (pure indexing) Benchmarks (passive investment in managers’ style indexes) Individual Managers (impact of active mana Allocation Effects (plug figure if managers deviate from policy) Anybody else got stupid ways they remember some of the more non-intuitive stuff?
nice
brilliant
CFASniper Wrote: ------------------------------------------------------- > brilliant A member of National Rifle Association?
This is awesome
deriv108 Wrote: ------------------------------------------------------- > CFASniper Wrote: > -------------------------------------------------- > ----- > > brilliant > > A member of National Rifle Association? Not at all, my friend. I am not even in the US of A. I only snipe the CFA exams…not people or animals.
alas, can’t claim ownership of this one, but its v. useful, read it elsewhere on af: for the taylor rule, think ET: expected - target s.t. Roptimal = Rneutral + .5 (Expected gdp - Target gdp) + .5 (Expected infl - Target infl) ET
i’m sure also everyone w. Schweser has seen SAMURAI for desirable index characteristics: S = specified in advance A = appropriate M = measurable U = unambiguous R = relevant A = agreed upon by manager (i.e. “owned” in CFAI) I = investable its helped me alot
zoya Wrote: ------------------------------------------------------- > alas, can’t claim ownership of this one, but its > v. useful, read it elsewhere on af: > for the taylor rule, think ET: expected - target > > s.t. Roptimal = Rneutral + .5 (Expected gdp - > Target gdp) + .5 (Expected infl - Target infl) > > ET good one.
just thought of a good one ! how bout the four approaches to FX forecasts: PEPSI P = PPP E = Economic strength P = balance of Payments SI = Savings & Investments
“PRICS” PPP Relative Strength Capital Inflows Savings/Investment Imbalancee
zoya Wrote: ------------------------------------------------------- > i’m sure also everyone w. Schweser has seen > SAMURAI for desirable index characteristics: > S = specified in advance > A = appropriate > M = measurable > U = unambiguous > R = relevant > A = agreed upon by manager (i.e. “owned” in CFAI) > I = investable > > its helped me alot Have to say, this one is worth its weight in gold. Like hell if I can remember what the middle 5 letters are otherwise.
These are some mnemonics I use. I don’t know about anyone else, but I find mnemonics to be the best when they are in the form of a saying or a story, and have a prompt as to what the question is inside of the mnemonic. This may or may not help anyone - I just know it helps me remember things. [note to moderators: I read over the terms and conditions, if any of this is inappropriate, I apologize and please delete this post. I find some of the mnemonics I remember the best are rather lewd] For calculating the components of implementation shortfall: “I ‘MISSED the CHANCE’ to ‘SEE’ the ‘BOO’'BIES” MTOC = (c - b)/b … MTOC = (cancellation - bench)/(bench) * (# not filled)/(# ordered) “I ‘DELAYED’ ‘ONE DAY to SEE’ the ‘BOO’BIES’” Delay Costs = (1day c - b)/b … Delay Costs = (1 day close - bench)/(bench) * (#filled)/(#ordered) “I ‘REALIZED my LOSS’ when I ‘EXECUTED’ ‘ONE DAY later and SAW’ the ‘BOOB’” Realized Loss = (execution - 1 day c)/b Realized Loss = (execution - 1 day close)/bench * (#filled)/(#ordered) Types of Common Benchmarks: For this one, I remember a little saying I made up. “Society has some COMMON BENCHMARKS for success with women. I have my own CUSTOM: In this UNIVERSE, there are BROADS with true STYLE. ABSOLUTEly, you gotta RETURN those that’re just MODELs” Custom - Custom Benchmark Universe - Manager Universe Broads - Broad Market Indices Style - Style Indices Absolute - Absolute Return - Returns Based Model - Factor Model 4 characteristics of algorithmic trading: “Algorithms are made by nerds, and nerds have sex with girlfriends. When you have sex with your girlfriend, you’re often going through the motions according to SET RULES. It has the potential to turn what’s BIG INTO SMALL. Yet it’s less RISKy, less EXPENSIVE, and doesn’t IMPACT and cause drama in your life” Automates according to set rules Breaks big orders into small orders Minimizes trading cost and risk Minimizes market impact Types of Moral Hazard: Does anyone here follow hockey? For this one, I think of a stereotypical lazy Russian hockey player. “They don’t give enough effort” - Insufficient Effort “They are a puck hog” - Self Dealing “They give up the easy play to make the spectacular play” - Investing in Extravagant Projects “They aren’t a team player - make the team adjust to them” - Entrenchment Types of stress tests: "I get stressed out when I’m either working as an ANALYST or dating a MODEL. At work, I could deal with the stress by either doing my own STYLE or ACTUALly blow up at everyone. When dating, you can ‘PUSH her away - it’s a FACT she’ll come back’, you can GUARD your heart against LOSS, or you can wonder, “what the WORST CASE SCENARIO if I dump her”? Scenario Analysis - Stylized Scenarios - Actual Extreme Events Stressing Models - Factor Push - Max loss optimization - Worst case scenario Issues arising from recommending alternative investments: I live in China, which is an ALTERNATIVE INVESTMENT in human capital. In China, people love CS; but there’s also a number of STD that people get from soliciting prostitutes. In CS (counterstrike) it’s important to Communicate Suitability (I don’t like CS, it’s not a suitable game to me) When soliciting a prostitute, some common troubles are: Size mismatch Tax (the money you pay) Decision (do I really want to do this?) Communication with Clients Suitability to Portfolio Size of Position Needed Tax Issues Decision risk Sources of Excess return in Int’l bond investing: When Americans go abroad, many times people say we do things to EXCESS. We eat lots of fatty fast food, we drink alot, and we are promiscuous. MCD - BAC - ASS M-C-D - BA - CA - SS (This one is goofy because you need to split apart the ‘BA’ and ‘CA’) Market Selection Currency Selection Duration Management Investing outside a BENCHMARK that’s APPROPRIATE Credit Analysis Sector Selection What to look for when filling in the Risk part of the IPS for an individual: “Liquidity 2 FIST” Liquidity Needs Relative to Port. (2-3% is small) Flexibility Goal Importance Size of Portfolio Time Horizon Due Diligence Checkpoints for Alternative Investments: “People Descending down a checklist” People Descend PEOPDSD Assess Persistence of Market Opportunity Assess Edge in getting that Opportunity Assess Organization Assess People Assess Deal Structure and Terms Assess Service Providers Assess Documents Biases in Hedge Fund Indices: “Those hedge fund guys are a bunch of conservatives. Conservatives think even PBS is biased!” PBS Popularity Bias Backfill Bias Survivorship Bias
mthmchris Wrote: ------------------------------------------------------- > > When Americans go abroad, many times people say we > do things to EXCESS. We eat lots of fatty fast > food, we drink alot, and we are promiscuous. > MCD - BAC - ASS > M-C-D - BA - CA - SS > (This one is goofy because you need to split apart > the ‘BA’ and ‘CA’) > Market Selection > Currency Selection > Duration Management > Investing outside a BENCHMARK that’s APPROPRIATE > Credit Analysis > Sector Selection > Brilliant stuff. This one I remember by using McDonalds (MCD) Sells Chicken Internationally Market Selection Currency Selection Duration Management Sector Allocation Credit Analysis Investing outside the benchmark that’s appropriate
bump. brilliant!
For the taylor rule, if you get confused on which one goes first, forecast or trend, just think of the alphabet, F comes before T
for micro attrib i think PB=peanut butter=portfolio-benchmark. Works for pure sector allocation weights works for within sector returns works for interaction effect for weights and returns Samurai = benchmark delhi = asset classes c-putter = emergin market risk ocraps = traps in forecasting
zoya, feel free to use the “ET rule”, it was meant to be spread and I don’t know if I was the first to think of it
So this isn’t a pneumonic in a sense but those of us who constantly flub the Return requirement calc, I think of TIT(s) (tee hee hee… I said a dirty word!) Taxes - are you incorporating taxes in all the numbers? Are they all pre or after tax? Have you taken away the taxes or alternatively given tax breaks where they are due? Inflation - are some of those expenses/inflows subject to inflation? Are you adjusting it right either inflating or (perhaps in a rare case) de-inflating it? Which leads us to… Time - are the balances, inflows and outflows in the right time? Are you using this years income for next years return needs (in which case adjust)? Are you accounting for changes through time for the portfolio? Are there returns on the portfolio that you havent thought of? TIT…
i dont know why, but I have a strong feeling Pure Sector Allocation will be tested. Call me crazy, but its the only formula where you are comparing Benchmark Sector return against Benchmark Total Return and this is the only time in GPE it shows up. my first boss was lame and drove a Saab. I remember Pure Sector by remembering PSAWWWWBBBB (as is pshhhawwwww except psaaawwwwbbbb (p is silentish)) PSA= PSAWWBB= PSA = (Wi-Wb) (Bmark Sec- Bmark Total) Also remember the easy ones are: Market Return- WiMi Security Selection Return (same formula here and in International Bmark comparison)- I remember this as SWRR. I just repeated SWRR over and over again and it works. Security Selection= Wi x (Ri-Rb) Currency Component is always a pain. Unfortunately thats the only way I remember it, is that its a pain and requires a longer process. I followed the CFAI way (Schweser seems easier, but I went CFAI way) and memorized three columns (you should probably not continue reading if you memorized the Schweser way). The first column is “Return in base currency”, the 2nd column is"Return in Local Currency", 3rd column is Currency allocation ( or simply the difference from the two columns). Line up the rows and calculate portfolio weighted averages. --------- Then there is the comparing the portfolio return to the International Benchmark. R= International Benchmark Return + Market Allocation Contribution + Security Selection Contribution (same formula as before) + Yield component + Currency Allocation Contribution International Benchmark return is easy- returns in period 0 and 1 should be given to calculate. -------- Market Allocation Contribution- I memorized MWWR over and over in my head for this one. M= (Wi-Wb) Rmarket ---------------------- Security Selection is the same again at SWRR S= Wi (Ri-Rb) ---- Currency Allocation Contribution is always a pain. I also have a feeling they may test the portion of the Currency Contribution Allocation return where you have to take the Index/Benchmark return and convert it into base currency return by dividing it by the relevant exchange rate and then calculating the base return. For example ( is base) Yen/ ratio is 100 at period 1 and 103 in period 2. Yen Index in period 1 is 120 an 105 in period 2. To calculate the return in $ in the first column for the index currency contribution, you take the applicable index return and divide it by either period 1 or period 2 exchange rate. So you would calculate the return from period 1 at (120/100= 1.2) to period 2 where the Yen Index grew to 105 and the exchange rate went to 103 so (105/103= 1.019 ). So to calculate the return of the foreign market in the base currency, calculate the return of going from 1.2 to 1.019 pr 1.019/1.2= -15.08%. Remember to weight these returns according to the Index weights before you subtract it from your portfolio currency component. Index weights to Index currency contributions and portfolio weights to portfolio contribution returns.