Claw back provision: If PE sponsor received early distribution but failed to deliver the expected profit; he has to give back money.
Private equity has low liquidity and allocation to this class should be 5% or less with a plan to keep the money invested for 7-10 yrs
Adding REITs to stock / bond --> higher return --> marginally lower sd --> higher sharpe ratio Adding direct real estate investment to stock / bond --> lower return --> significantly lower sd --> higher sharpe ratio
going long a pay-fixed swap will lower your portfolio duration, while going long a pay-floating swap will increase your portfolio duration. Real estate total return = capital return + income return capital employed = BMV + sum of time weighted CFs capital return = (EMV - BMV + Sales - CapEx) / Capital employed income return = (income - NR expenses - prop taxes - interest) / Capital employed
Anything with Standard Deviation as an input is NOT an appropriate measure if data series is NOT normally distributed!!!
ilvino Wrote: ------------------------------------------------------- > going long a pay-fixed swap will lower your > portfolio duration, while going long a > pay-floating swap will increase your portfolio > duration. > > Real estate total return = capital return + income > return > capital employed = BMV + sum of time weighted CFs > capital return = (EMV - BMV + Sales - CapEx) / > Capital employed > income return = (income - NR expenses - prop taxes > - interest) / Capital employed There’s an error in the capital employed formula.
make sure if you see a GIPS compliance statement that the trademark is there and there is no mention of CFA Institute in the statement.
what is the error?
for a domestic investor, currency risk is about half the risk of foreign stocks and about twice the risk of foreign bonds.
KRochelli Wrote: ------------------------------------------------------- > for asset betas including pension, > B(e)=B(a)(D/E). so adjust the equation to make > equity Beta the same. Wait, isn’t this B(e)=B(a)*(1+D/E) ?
To clarify, Capital Employed for real estate caluclations = Initial Contribution + the sum of weighted CFs over the period Information ratio = Info Coefficient * sqr rt (# of decisions) IC measures depth of knowledge # of decisions measures investor breadth 4 types of taxes you might face on individual IPS are income, capital gains, wealth transfer, and property.
There are four main reasons not to trade bonds - “please stop bothering susan” please = Portfolio constraints stop = story disagreements bothering = buy and hold susan = seasonality the first one is the biggest cause of inefficiency in bond markets
There are eight main reasons to trade bonds - “really can cook, no salt you say?” really = relative value pick up can = credit upside cook = credit defence no = new issue trades salt = secot-rotation trades you = yield curve pickups say? = structure trades relative value pick up is the biggest reason
Distressed Debt Arbitrage = long debt and short equity of the same company.
Total Active Return = True active return + Misfit active return true = Manager return - Normal port return misfit = Normal port return - Benchmark
Macro-attribution Analysis - ARABIA A - A cash contribution R - Risk free asset A - Asset Allocation B - Benchmark I - Investment Manager A - Active Allocation r(D) = r(L) + S + r(L)*S r(D) - return in domestic currency for the investor r(L) - return in local currency S - appreciation/depreciation of local currency w.r.t domestic currency (increase/decrease in direct exchange rate (D/L) for the investor) variance(r(D)) = variance(r(L)) + variance(S) + 2*correl(r(L),S)*stdev(r(L))*stdev(S) Utility from an asset mix = E® - 0.005*R.A*stdev(E®) E® - expected return from the asset mix R.A - risk aversion factor Please note that all the figures will be in % terms. Micro-attribution Analysis Return = Sector selection contribution + within sector allocation + selection-allocation interaction Sector selection contribution = sum((w(pj) - w(Bj))*(R(Bj) - R(B))) Within sector allocation = sum((w(Bj))*(R(pj)-R(Bj))) Sector-allocation interaction = sum((w(pj) - w(Bj))*(R(pj) - R(Bj))) w(pj) - weight of the sector in portfolio w(Bj) - weight of the sector in the corresponding benchmark R(pj) - return of the sector in the portfolio R(Bj) - return of the sector benchmark R(B) - return of the total benchmark (including all sectors) These are some of the things I faced problems with. Justpass - Apologies for so many one-liners.
“I’m a long term investor” NEVER means they’re a long term investor. Asset Manager Code of Conduct C ompliance L oylaty T rading I investment analysis & advice P erf & val D isclosures “Bring whoever the f$ck you’d like to the office Christmas party” apparently does NOT include hookers who smell like antifreeze. Cadbury Report N on-executive directors O utside help available R egular stuff to discuss M eet regularly, full control S eparation of C-suite & board F ollow rules of the BOD
Increase in Age -> Lower demand for life insurance Higher risk aversion -> Higher demand for life insurance Greater initial wealth -> Lower demand for life insurance Stronger Bequest Motive -> Higher demand for life insurance
Stock-based compensation and bonuses: Complements Explicit Incentives and Implicit Incentives: Substitutes
In a non-trending market, Constant Mix outperforms Buy-and-Hold outperforms CPPI In a trending market, CPPI outperforms Buy-and-Hold outperforms Constant Mix