Risk factors that should be incorporated into an ERM: Melty Liquid Chocolate SMORS Financial Factors: Market Risk Liquidity Risk Credit Risk Non-Financial: Settlement Risk Model Risk Operational Risk Regulatory Risk Soveriegn Risk
Macro attribution: ABC asset category: wi*(Ci-Rf) benchmark: wi*wij*(Bij-Ci) investment manager’s actual: wi*wij*(Aij-RBij) Micro attribution: PSI ---- “Soccer’s 4-4-3 Formation” pure sector allocation: (wpj-wbj)*(Bj-B) security selection: wbj*(Pj-Bj) alloc/selection interaction: (wpj-wbj)*(Pj-Bj) Multi-attribution: (similar to micro-attribution) market allocation: (wpj-wbj)*(Bj-B) security selection: wpj*(Pj-Bj) GPE: 123 1. Rjd=wj*pj+wj*dj+wj*cj 2. introduce Ij to get the decomposition 3. introduce Ijd=Ij+Cj to get the attribution.
Implementation Shortfall = Commisions Not Really Opportune Commisions = Cost of Commissions / (Benchmark Price * Total Order) Not filled Order = (Decision Price – Benchmark Price)/Benchmark Price * Filled Shares/Total Shares Realized Profit = (Execution Price – Decision Price)/ Benchmark Price * Filled Shares/Total Shares Opportunity Cost of missed trade = (Closing Price-Benchmark)/Benchmark * Unfilled Shares/Total Shares
These are REALLY helpful for me, anyone have any more? Perhaps Behavioral finance?