something i saw recently. interesting enough IMO. of course not schweser. analytical VAR is also called variance-covariance method, or delta-method. Why delta? Because delta could be used to transform the nonparametric nature of options (not good for analytical method) into normal distributions, as delta is option price to returns (for small variations though).
ilvino Wrote: ------------------------------------------------------- > 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. I would amedn this to: Information Ratio (According to the Fundamental Law of Active Management): IC*sq rt(IB) “Regular” Info Ratio: Excess Return / Stnd Dev of excess return
Also: The problem with hedging a MBS with a T Bond is that due to neg convexity, the MBS will not increase in price as much as the T bond when rates decrease.
JustPass Wrote: ------------------------------------------------------- > Return objective for a foundation: spending > requirement + inflation + management costs > > If set up in perpetuity our goal is to preserve > real purcahsing power. Note also that internal management costs can be included in the “spending requirement”. So like if a family sets up a foundation and then hires family members through the foundation they can classify the expense under the spending requirement. This is in contrast to external management fees, which must be included above and beyond the spending requirement.
Read the question. AM session: in the short answer boxes, read what they’re asking you to put in the space provided. Read the stinking question. Then answer what they’re asking.
Commodity Forward is a CUN ! C - Contango U - Upward Forward Curve N - Negative Roll Return Backwardation is the opposite
You can use a duration-based strategy for MBS securities if it is trading below par becasue it is likely to exhibit positive convexity.
passthismofo Wrote: ------------------------------------------------------- > mwvt9 Wrote: > -------------------------------------------------- > ----- > > delta (P/E) ^, right? > > > Oops…you’re absolutely right. My bad! delta (P/E) doesn’t make sense, shouldn’t it be %change (P/E)?? multiple expansion we want here i think, but in % terms. This question was asked in PM last year if my memory serves me correct
IR ratio for a manager who uses futures to gain market exposure is less than IR for a manger who trades in the underlying cash market because the manager who USES FUTURES makes LESS investment decisions
IPS -----> RR-TT-LL-U R - risk R - return T - time horizon T - taxes L - liquidity L - legal U - unique circumstance
itstoohot Wrote: ------------------------------------------------------- > passthismofo Wrote: > -------------------------------------------------- > ----- > > mwvt9 Wrote: > > > -------------------------------------------------- > > > ----- > > > delta (P/E) ^, right? > > > > > > Oops…you’re absolutely right. My bad! > > > delta (P/E) doesn’t make sense, shouldn’t it be > %change (P/E)?? multiple expansion we want here i > think, but in % terms. This question was asked in > PM last year if my memory serves me correct Everything in that formula is in percentages.
Real Estate GIPS Ce=Co+sum(Wi*CFi) Rc=(MV1-MVo-Ec+S)/Ce RI=(INC-EXP-INT-TAX)/Ce
Investor’s Utility Adjusted Return = Expected Return Portfolio - 0.005 * Risk Aversion Score * Portfolio Variance (Who the hell would use this?)
Annual minimum spending requirements for foundations. Individual - 5 percent Company Sponsored - 5 percent Operating - 3.3 percent + 85 percent of dividend and interest income Community - 0 percent
VAR = Expeted Return - (Z)(std dev)($Port) we are looking for 5% in the left tail (right tail for credit VAR), so use the Z-score that applies to 90% two-tailed confidence level, 1.65.
(Insert name of firm) has prepared and presented this report in compliance with the Global Investment Performance Standards (GIPS®). --Must be exactly this wording. Could make for easy points on a “name 4 things wrong” type question.
Total commodity return = collateral return + roll return + spot return *For roll return it is the futures differential minus the spot return
w/o rebalancing, classical immunization only works for a 1-time instaneneous change in i-rates. We cease to be immunized when (1) i-rates change and (2) Time passes
Currency Management Strategies: Balanced Mandate: Asset Manager also manages currency Currency Overlay: Currency managed within IPS by another currency manager Seperate Asset Class: Currency managed under its own seperate guidelines
another thing about currency overlay. CFAI says it’s a suboptimal strategy if managed in two-steps. Simultaneous management would be better.