P2.T8. Investment Management

Practice questions for investment management and risk management

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  1. Nicole Seaman

    P2.T8.414. Hedge fund due diligence, continued

    AIMs: Explain how due diligence can be performed on a fund’s operational environment. Explain how a fund’s business model risk and its fraud risk can be assessed. Describe elements that can be included as part of a due diligence questionnaire. Questions: 414.1. In regard to the hedge fund's operational environment, Mirable advises each of the following as true for investors during due...
    AIMs: Explain how due diligence can be performed on a fund’s operational environment. Explain how a fund’s business model risk and its fraud risk can be assessed. Describe elements that can be included as part of a due diligence questionnaire. Questions: 414.1. In regard to the hedge fund's operational environment, Mirable advises each of the following as true for investors during due...
    AIMs: Explain how due diligence can be performed on a fund’s operational environment. Explain how a fund’s business model risk and its fraud risk can be assessed. Describe elements that can be included as part of a due diligence questionnaire. Questions: 414.1. In regard to the hedge fund's...
    AIMs: Explain how due diligence can be performed on a fund’s operational environment. Explain how a fund’s business model risk and its fraud risk can be assessed. Describe elements that can be...
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    0
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    80
  2. Nicole Seaman

    P2.T8.413. Hedge fund due diligence

    Hi @Sergey Vorobyev I agree, you make an excellent point. 413.2. is poorly written: while I did not indent to imply the manager would answer "the process is complex" without further explanation, it certainly reads in a way open to that interpretation. And, for myself, if a manager wouldn't elaborate on "it's complex," not only would that be a huge red flag, it would be a dealbreaker for me. I...
    Hi @Sergey Vorobyev I agree, you make an excellent point. 413.2. is poorly written: while I did not indent to imply the manager would answer "the process is complex" without further explanation, it certainly reads in a way open to that interpretation. And, for myself, if a manager wouldn't elaborate on "it's complex," not only would that be a huge red flag, it would be a dealbreaker for me. I...
    Hi @Sergey Vorobyev I agree, you make an excellent point. 413.2. is poorly written: while I did not indent to imply the manager would answer "the process is complex" without further explanation, it certainly reads in a way open to that interpretation. And, for myself, if a manager wouldn't...
    Hi @Sergey Vorobyev I agree, you make an excellent point. 413.2. is poorly written: while I did not indent to imply the manager would answer "the process is complex" without further explanation,...
    Replies:
    6
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    162
  3. Nicole Seaman

    P2.T8.412. Hedge funds as diversifiers and agents

    AIMs: Describe the historical portfolio construction and performance trend of hedge funds compared to equity indices. Describe market events which resulted in a convergence of risk factors for different hedge fund strategies, and explain the impact of such a convergence on portfolio diversification strategies. Describe the problem of risk sharing asymmetry between principals and agents in the...
    AIMs: Describe the historical portfolio construction and performance trend of hedge funds compared to equity indices. Describe market events which resulted in a convergence of risk factors for different hedge fund strategies, and explain the impact of such a convergence on portfolio diversification strategies. Describe the problem of risk sharing asymmetry between principals and agents in the...
    AIMs: Describe the historical portfolio construction and performance trend of hedge funds compared to equity indices. Describe market events which resulted in a convergence of risk factors for different hedge fund strategies, and explain the impact of such a convergence on portfolio...
    AIMs: Describe the historical portfolio construction and performance trend of hedge funds compared to equity indices. Describe market events which resulted in a convergence of risk factors for...
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    0
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    77
  4. Nicole Seaman

    P2.T8.411. Hedge funds strategies

    AIMs: Evaluate the role of investors in shaping the hedge fund industry. Explain the relationship between risk and alpha in hedge funds. Compare and contrast the different hedge fund strategies, describe their return characteristics, and describe the inherent risks of each strategy. Questions: 411.1. According to Fung and Hsieh "the majority of managed futures funds pursue trend following...
    AIMs: Evaluate the role of investors in shaping the hedge fund industry. Explain the relationship between risk and alpha in hedge funds. Compare and contrast the different hedge fund strategies, describe their return characteristics, and describe the inherent risks of each strategy. Questions: 411.1. According to Fung and Hsieh "the majority of managed futures funds pursue trend following...
    AIMs: Evaluate the role of investors in shaping the hedge fund industry. Explain the relationship between risk and alpha in hedge funds. Compare and contrast the different hedge fund strategies, describe their return characteristics, and describe the inherent risks of each...
    AIMs: Evaluate the role of investors in shaping the hedge fund industry. Explain the relationship between risk and alpha in hedge funds. Compare and contrast the different hedge fund strategies,...
    Replies:
    0
    Views:
    84
  5. Nicole Seaman

    P2.T8.410. Fung and Hsieh on hedge funds: industry and biases

    AIMs: Describe the characteristics of hedge funds and the hedge fund industry, and compare hedge funds with mutual funds. Explain biases which are commonly found in databases of hedge funds. Explain the evolution of the hedge fund industry and describe landmark events which precipitated major changes in the development of the industry. Questions: 410.1. Your wealthy Aunt Betty has capital to...
    AIMs: Describe the characteristics of hedge funds and the hedge fund industry, and compare hedge funds with mutual funds. Explain biases which are commonly found in databases of hedge funds. Explain the evolution of the hedge fund industry and describe landmark events which precipitated major changes in the development of the industry. Questions: 410.1. Your wealthy Aunt Betty has capital to...
    AIMs: Describe the characteristics of hedge funds and the hedge fund industry, and compare hedge funds with mutual funds. Explain biases which are commonly found in databases of hedge funds. Explain the evolution of the hedge fund industry and describe landmark events which precipitated major...
    AIMs: Describe the characteristics of hedge funds and the hedge fund industry, and compare hedge funds with mutual funds. Explain biases which are commonly found in databases of hedge funds....
    Replies:
    0
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    67
  6. Nicole Seaman

    P2.T8.409. Litterman on performance measurement

    @MBK Sorry, somehow the false choice (D) which I wrote myself as a deliberately and doubly false statement (i..e., "Both only need a limited amount of data and, if achieved risk rather than potential risk is calculated, can nullify (isolate from) the impact of the manager's environment";) was somehow copied to the end of the actual Litterman text. With respect to weaknesses of Sharpe and...
    @MBK Sorry, somehow the false choice (D) which I wrote myself as a deliberately and doubly false statement (i..e., "Both only need a limited amount of data and, if achieved risk rather than potential risk is calculated, can nullify (isolate from) the impact of the manager's environment";) was somehow copied to the end of the actual Litterman text. With respect to weaknesses of Sharpe and...
    @MBK Sorry, somehow the false choice (D) which I wrote myself as a deliberately and doubly false statement (i..e., "Both only need a limited amount of data and, if achieved risk rather than potential risk is calculated, can nullify (isolate from) the impact of the manager's environment";) was...
    @MBK Sorry, somehow the false choice (D) which I wrote myself as a deliberately and doubly false statement (i..e., "Both only need a limited amount of data and, if achieved risk rather than...
    Replies:
    10
    Views:
    159
  7. Nicole Seaman

    P2.T8.408. Risk planning and budgeting

    AIMs: Define, compare and contrast VaR and tracking error as risk measures. Describe risk planning, including its objectives, effects and the participants in its development. Describe risk budgeting and the role of quantitative methods in risk budgeting. Questions: 408.1. Both value at risk (VaR) and tracking error (TE) are considered risk measures. Which of the following statements is TRUE...
    AIMs: Define, compare and contrast VaR and tracking error as risk measures. Describe risk planning, including its objectives, effects and the participants in its development. Describe risk budgeting and the role of quantitative methods in risk budgeting. Questions: 408.1. Both value at risk (VaR) and tracking error (TE) are considered risk measures. Which of the following statements is TRUE...
    AIMs: Define, compare and contrast VaR and tracking error as risk measures. Describe risk planning, including its objectives, effects and the participants in its development. Describe risk budgeting and the role of quantitative methods in risk budgeting. Questions: 408.1. Both value at risk...
    AIMs: Define, compare and contrast VaR and tracking error as risk measures. Describe risk planning, including its objectives, effects and the participants in its development. Describe risk...
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    0
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    74
  8. Nicole Seaman

    PQ-T8 P2.T8.407 Hedge fund strategies (topic review)

    Hi @Kashif Khalid I agree with you that global macro are top-down managers. But I think the reading stated that a global macro manager could employ some component of bottom-up approach, in addition to their top-down approach (which seems like the natural primary given their broad discretion across asset classses). But don't get me wrong, in terms of simplification and primary emphasis, I think...
    Hi @Kashif Khalid I agree with you that global macro are top-down managers. But I think the reading stated that a global macro manager could employ some component of bottom-up approach, in addition to their top-down approach (which seems like the natural primary given their broad discretion across asset classses). But don't get me wrong, in terms of simplification and primary emphasis, I think...
    Hi @Kashif Khalid I agree with you that global macro are top-down managers. But I think the reading stated that a global macro manager could employ some component of bottom-up approach, in addition to their top-down approach (which seems like the natural primary given their broad discretion...
    Hi @Kashif Khalid I agree with you that global macro are top-down managers. But I think the reading stated that a global macro manager could employ some component of bottom-up approach, in...
    Replies:
    4
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    206
  9. Nicole Seaman

    PQ-T8 P2.T8.406. Equity market neutral hedge funds (topic review)

    Ah I got it!Actually wasn't thinking from a hedged(post hedging)portfolio persepective,in which case what you say is bang on.Thanks a ton David!
    Ah I got it!Actually wasn't thinking from a hedged(post hedging)portfolio persepective,in which case what you say is bang on.Thanks a ton David!
    Ah I got it!Actually wasn't thinking from a hedged(post hedging)portfolio persepective,in which case what you say is bang on.Thanks a ton David!
    Ah I got it!Actually wasn't thinking from a hedged(post hedging)portfolio persepective,in which case what you say is bang on.Thanks a ton David!
    Replies:
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  10. Nicole Seaman

    PQ-T8 P2.T8.405. Style analysis and market timing (topic review)

    Thanks David,....this helps !!
    Thanks David,....this helps !!
    Thanks David,....this helps !!
    Thanks David,....this helps !!
    Replies:
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    319
  11. Nicole Seaman

    PQ-T8 P2.T8.404. Information ratio, M-squared and the significance of performance (topic review)

    Right, that's clever and seems to pencil out in agreement, nice!
    Right, that's clever and seems to pencil out in agreement, nice!
    Right, that's clever and seems to pencil out in agreement, nice!
    Right, that's clever and seems to pencil out in agreement, nice!
    Replies:
    7
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    410
  12. Nicole Seaman

    PQ-T8 P2.T8.403. Time-weighted versus dollar-weighted returns (topic review)

    Yes Thanks David.
    Yes Thanks David.
    Yes Thanks David.
    Yes Thanks David.
    Replies:
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  13. Nicole Seaman

    PQ-T8 P2.T8.402. Performance evaluation (FRM handbook) (topic review)

    Hi @fjc120 I agree with @ARKnowlto88 but if it helps: personally I like to be mindful of VaR(aX + bY) = a^2*var(X) + b^2*var(Y) + 2*a*b*cov(X,Y) which handles difference of variables when we consider that the difference simply assumes (-b); ie, a negative weighting. The second squared term is unaffected as (-b)^2*var(Y) = b^2*var(Y), but the third term becomes +2*a*(-b)*cov(X,Y). In this way,...
    Hi @fjc120 I agree with @ARKnowlto88 but if it helps: personally I like to be mindful of VaR(aX + bY) = a^2*var(X) + b^2*var(Y) + 2*a*b*cov(X,Y) which handles difference of variables when we consider that the difference simply assumes (-b); ie, a negative weighting. The second squared term is unaffected as (-b)^2*var(Y) = b^2*var(Y), but the third term becomes +2*a*(-b)*cov(X,Y). In this way,...
    Hi @fjc120 I agree with @ARKnowlto88 but if it helps: personally I like to be mindful of VaR(aX + bY) = a^2*var(X) + b^2*var(Y) + 2*a*b*cov(X,Y) which handles difference of variables when we consider that the difference simply assumes (-b); ie, a negative weighting. The second squared term is...
    Hi @fjc120 I agree with @ARKnowlto88 but if it helps: personally I like to be mindful of VaR(aX + bY) = a^2*var(X) + b^2*var(Y) + 2*a*b*cov(X,Y) which handles difference of variables when we...
    Replies:
    12
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    296
  14. David Harper CFA FRM

    PQ-T8 P2.T8.401. Component and marginal value at risk (VaR) calculations (topic review)

    Thank you David,....fully understand the calculation now.
    Thank you David,....fully understand the calculation now.
    Thank you David,....fully understand the calculation now.
    Thank you David,....fully understand the calculation now.
    Replies:
    3
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    223
  15. Nicole Seaman

    PQ-T8 P2.T8.400. Diversified portfolio Value at Risk (VaR) (topic review)

    Hi @adambschrier That's a smart tendency, totally understandable because it's somewhat realistic. However, textbook incremental VaR does not rebalance the portfolio. For the FRM anyway, it has always been Jorion 7.21: Incremental VaR = VaR(p+a) - VaR(p); i.e., the reduction in portfolio VaR due to the removal of position (a), which would also equal the increase in portfolio VaR due to the...
    Hi @adambschrier That's a smart tendency, totally understandable because it's somewhat realistic. However, textbook incremental VaR does not rebalance the portfolio. For the FRM anyway, it has always been Jorion 7.21: Incremental VaR = VaR(p+a) - VaR(p); i.e., the reduction in portfolio VaR due to the removal of position (a), which would also equal the increase in portfolio VaR due to the...
    Hi @adambschrier That's a smart tendency, totally understandable because it's somewhat realistic. However, textbook incremental VaR does not rebalance the portfolio. For the FRM anyway, it has always been Jorion 7.21: Incremental VaR = VaR(p+a) - VaR(p); i.e., the reduction in portfolio VaR due...
    Hi @adambschrier That's a smart tendency, totally understandable because it's somewhat realistic. However, textbook incremental VaR does not rebalance the portfolio. For the FRM anyway, it has...
    Replies:
    28
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    501
  16. Suzanne Evans

    P2.T8.27. More arbitrage strategies (Stowell)

    Thanks David, understood we net off any divs recvd from long vs divs owed on short to broker.
    Thanks David, understood we net off any divs recvd from long vs divs owed on short to broker.
    Thanks David, understood we net off any divs recvd from long vs divs owed on short to broker.
    Thanks David, understood we net off any divs recvd from long vs divs owed on short to broker.
    Replies:
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  17. David Harper CFA FRM

    P2.T8.26. Arbitrage strategies (Stowell)

    With regards to question 2 i have following doubt :- a) How does she arbitrage in short position in swap and short position in bond. What i understand is she is paying floating rate in swap ( i.e there is outflow of money) and treasury bond she is paying fixed coupon (there is outflow). In both position there is outflow of money. b) what do u mean by the line "The modified duration of each...
    With regards to question 2 i have following doubt :- a) How does she arbitrage in short position in swap and short position in bond. What i understand is she is paying floating rate in swap ( i.e there is outflow of money) and treasury bond she is paying fixed coupon (there is outflow). In both position there is outflow of money. b) what do u mean by the line "The modified duration of each...
    With regards to question 2 i have following doubt :- a) How does she arbitrage in short position in swap and short position in bond. What i understand is she is paying floating rate in swap ( i.e there is outflow of money) and treasury bond she is paying fixed coupon (there is outflow). In both...
    With regards to question 2 i have following doubt :- a) How does she arbitrage in short position in swap and short position in bond. What i understand is she is paying floating rate in swap ( i.e...
    Replies:
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    142
  18. Suzanne Evans

    P2.T8.25. Convertible arbitrage (Stowell)

    AIMs: Explain the common arbitrage strategies of hedge funds, including: Fixed income-based arbitrage; Convertible arbitrage; Relative value arbitrage Questions: 25.1. Arbitrage is possible in EACH of the following conditions EXCEPT for when: a. An otherwise identical bond trades at different prices in different markets b. Two assets with identical cash flows patterns trade at different...
    AIMs: Explain the common arbitrage strategies of hedge funds, including: Fixed income-based arbitrage; Convertible arbitrage; Relative value arbitrage Questions: 25.1. Arbitrage is possible in EACH of the following conditions EXCEPT for when: a. An otherwise identical bond trades at different prices in different markets b. Two assets with identical cash flows patterns trade at different...
    AIMs: Explain the common arbitrage strategies of hedge funds, including: Fixed income-based arbitrage; Convertible arbitrage; Relative value arbitrage Questions: 25.1. Arbitrage is possible in EACH of the following conditions EXCEPT for when: a. An otherwise identical bond trades at different...
    AIMs: Explain the common arbitrage strategies of hedge funds, including: Fixed income-based arbitrage; Convertible arbitrage; Relative value arbitrage Questions: 25.1. Arbitrage is possible in...
    Replies:
    0
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    73
  19. Suzanne Evans

    P2.T8.24. Equity long/short hedge fund strategies (Stowell)

    Hi Lee, As I understand, I *think* the difference is the strategic intent (the style) and maybe the role of beta exposures. While both are long/short: The key idea in equity long/short is to avail the manager of opportunities the additional opportunity to short (roughly doubling his/her opportunity set). But the equity/long short remains comfortable with beta exposures and probably engages...
    Hi Lee, As I understand, I *think* the difference is the strategic intent (the style) and maybe the role of beta exposures. While both are long/short: The key idea in equity long/short is to avail the manager of opportunities the additional opportunity to short (roughly doubling his/her opportunity set). But the equity/long short remains comfortable with beta exposures and probably engages...
    Hi Lee, As I understand, I *think* the difference is the strategic intent (the style) and maybe the role of beta exposures. While both are long/short: The key idea in equity long/short is to avail the manager of opportunities the additional opportunity to short (roughly doubling his/her...
    Hi Lee, As I understand, I *think* the difference is the strategic intent (the style) and maybe the role of beta exposures. While both are long/short: The key idea in equity long/short is to...
    Replies:
    3
    Views:
    114
  20. Suzanne Evans

    P2.T8.23. Hedge funds compared to private equity and mutual funds (Stowell)

    AIMs: Discuss the liquidity of hedge fund investments and the usage of lock-ups, gates and side pockets. Compare hedge funds to private equity and mutual funds. Describe what fund of funds are and provide arguments for and against using them as an investment vehicle. Questions: 23.1. Acme Hedge Fund earns an annual performance fee of 20%. During the current year, the valuation of an illiquid...
    AIMs: Discuss the liquidity of hedge fund investments and the usage of lock-ups, gates and side pockets. Compare hedge funds to private equity and mutual funds. Describe what fund of funds are and provide arguments for and against using them as an investment vehicle. Questions: 23.1. Acme Hedge Fund earns an annual performance fee of 20%. During the current year, the valuation of an illiquid...
    AIMs: Discuss the liquidity of hedge fund investments and the usage of lock-ups, gates and side pockets. Compare hedge funds to private equity and mutual funds. Describe what fund of funds are and provide arguments for and against using them as an investment vehicle. Questions: 23.1. Acme...
    AIMs: Discuss the liquidity of hedge fund investments and the usage of lock-ups, gates and side pockets. Compare hedge funds to private equity and mutual funds. Describe what fund of funds are and...
    Replies:
    0
    Views:
    66
  21. Suzanne Evans

    P2.T8.22. High-water marks and hedge fund performance

    Thank you for clearing it up !!
    Thank you for clearing it up !!
    Thank you for clearing it up !!
    Thank you for clearing it up !!
    Replies:
    13
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    199
  22. Suzanne Evans

    P2.T8.21. Hedge fund characteristics

    Hi Leli, Yes, EXCELLENT observation: I botched the question and meant to ask MOST characteristic, exactly as your annotated answers indicate. The text completely agrees with you. I have corrected above and we will have to re-post the PDF. Thank you,
    Hi Leli, Yes, EXCELLENT observation: I botched the question and meant to ask MOST characteristic, exactly as your annotated answers indicate. The text completely agrees with you. I have corrected above and we will have to re-post the PDF. Thank you,
    Hi Leli, Yes, EXCELLENT observation: I botched the question and meant to ask MOST characteristic, exactly as your annotated answers indicate. The text completely agrees with you. I have corrected above and we will have to re-post the PDF. Thank you,
    Hi Leli, Yes, EXCELLENT observation: I botched the question and meant to ask MOST characteristic, exactly as your annotated answers indicate. The text completely agrees with you. I have...
    Replies:
    4
    Views:
    111
  23. Suzanne Evans

    P2.T8.20. Style analysis and performance attribution

    Thanks again David.
    Thanks again David.
    Thanks again David.
    Thanks again David.
    Replies:
    13
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    263
  24. Suzanne Evans

    P2.T8.19. Hedge fund performance evaluation

    Hi, With HP-12c, after clearing the memory, Enter: 5 [∑+] then -1 [∑+] then 5 [∑+] then -1 [∑+] then -12 [∑+] then 36 [∑+] then -12 [∑+] then 36 [∑+] At this point you should see (8.00 on screen, saying that you have entered 8 numbers so far). <g>→ [0] for the mean = 7 <g> -> [.] for the sample standard deviation = 19.04 To get the population, we need to increment the denominator...
    Hi, With HP-12c, after clearing the memory, Enter: 5 [∑+] then -1 [∑+] then 5 [∑+] then -1 [∑+] then -12 [∑+] then 36 [∑+] then -12 [∑+] then 36 [∑+] At this point you should see (8.00 on screen, saying that you have entered 8 numbers so far). <g>→ [0] for the mean = 7 <g> -> [.] for the sample standard deviation = 19.04 To get the population, we need to increment the denominator...
    Hi, With HP-12c, after clearing the memory, Enter: 5 [∑+] then -1 [∑+] then 5 [∑+] then -1 [∑+] then -12 [∑+] then 36 [∑+] then -12 [∑+] then 36 [∑+] At this point you should see (8.00 on screen, saying that you have entered 8 numbers so far). <g>→ [0] for the mean = 7 <g>...
    Hi, With HP-12c, after clearing the memory, Enter: 5 [∑+] then -1 [∑+] then 5 [∑+] then -1 [∑+] then -12 [∑+] then 36 [∑+] then -12 [∑+] then 36 [∑+] At this point you should see (8.00...
    upload_2016-11-6_14-18-46.png
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  25. Suzanne Evans

    P2.T8.18. Statistical significance of alpha

    Hi @mh2452 Right, I can appreciate your attempt re 18.2. This is tricky because it's a little obscure relative to the "regular" regression we learn in Part 1. This is directly from Bodie Chapter 24 (with its foundations in Bodie Chapter 8, actually, just for complete reference). The familiar idea is that R^2 = ESS/TSS. But in this case, explained sum of squares (ESS, aka regression sum of...
    Hi @mh2452 Right, I can appreciate your attempt re 18.2. This is tricky because it's a little obscure relative to the "regular" regression we learn in Part 1. This is directly from Bodie Chapter 24 (with its foundations in Bodie Chapter 8, actually, just for complete reference). The familiar idea is that R^2 = ESS/TSS. But in this case, explained sum of squares (ESS, aka regression sum of...
    Hi @mh2452 Right, I can appreciate your attempt re 18.2. This is tricky because it's a little obscure relative to the "regular" regression we learn in Part 1. This is directly from Bodie Chapter 24 (with its foundations in Bodie Chapter 8, actually, just for complete reference). The familiar...
    Hi @mh2452 Right, I can appreciate your attempt re 18.2. This is tricky because it's a little obscure relative to the "regular" regression we learn in Part 1. This is directly from Bodie Chapter...
    Replies:
    21
    Views:
    463
  26. Suzanne Evans

    P2.T8.17. Modigliani-squared (M^2) and T-squared measures

    Hi QauntMan and David,Super explanations! I got to the top,middle and bottom of the matter :) Many thanks to both!
    Hi QauntMan and David,Super explanations! I got to the top,middle and bottom of the matter :) Many thanks to both!
    Hi QauntMan and David,Super explanations! I got to the top,middle and bottom of the matter :) Many thanks to both!
    Hi QauntMan and David,Super explanations! I got to the top,middle and bottom of the matter :) Many thanks to both!
    Replies:
    9
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    313
  27. Suzanne Evans

    P2.T8.16. Risk-adjusted performance measures (Bodie)

    Hi @NNath this question borrows from Bodie's Summary. I copied the entire summary (because it's interesting) but see #1 (bold emphasis is mine): Summary [Bodie's Investments, 9th Edition, Chapter 24. Portfolio Performance Evaluation: The appropriate performance measure depends on the role of the portfolio to be evaluated. Appropriate performance measures are as follows: a. Sharpe: when the...
    Hi @NNath this question borrows from Bodie's Summary. I copied the entire summary (because it's interesting) but see #1 (bold emphasis is mine): Summary [Bodie's Investments, 9th Edition, Chapter 24. Portfolio Performance Evaluation: The appropriate performance measure depends on the role of the portfolio to be evaluated. Appropriate performance measures are as follows: a. Sharpe: when the...
    Hi @NNath this question borrows from Bodie's Summary. I copied the entire summary (because it's interesting) but see #1 (bold emphasis is mine): Summary [Bodie's Investments, 9th Edition, Chapter 24. Portfolio Performance Evaluation: The appropriate performance measure depends on the role of...
    Hi @NNath this question borrows from Bodie's Summary. I copied the entire summary (because it's interesting) but see #1 (bold emphasis is mine): Summary [Bodie's Investments, 9th Edition, Chapter...
    Replies:
    12
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    312
  28. Suzanne Evans

    P2.T8.15. Time-weighted versus dollar-weighted returns

    Hi @jmishin I fixed it, here it is Thanks for asking because I think I will add this to our Resources section, it's an accessible explanation of a common question. Thanks!
    Hi @jmishin I fixed it, here it is Thanks for asking because I think I will add this to our Resources section, it's an accessible explanation of a common question. Thanks!
    Hi @jmishin I fixed it, here it is Thanks for asking because I think I will add this to our Resources section, it's an accessible explanation of a common question. Thanks!
    Hi @jmishin I fixed it, here it is Thanks for asking because I think I will add this to our Resources section, it's an accessible explanation of a common question. Thanks!
    Replies:
    33
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    603
  29. Suzanne Evans

    P2.T8.14. Value at Risk (VaR) in Investment Management (Jorion)

    AIMs: Describe how VaR can be used to check compliance, monitor risk budgets and reverse engineer sources of risk. Explain how VaR can be used in the investment process and development of investment guidelines. Describe the risk budgeting process across asset classes and active managers: Define tracking error and information ratio. Questions: 14.1. A portfolio manager has identified two...
    AIMs: Describe how VaR can be used to check compliance, monitor risk budgets and reverse engineer sources of risk. Explain how VaR can be used in the investment process and development of investment guidelines. Describe the risk budgeting process across asset classes and active managers: Define tracking error and information ratio. Questions: 14.1. A portfolio manager has identified two...
    AIMs: Describe how VaR can be used to check compliance, monitor risk budgets and reverse engineer sources of risk. Explain how VaR can be used in the investment process and development of investment guidelines. Describe the risk budgeting process across asset classes and active managers: Define...
    AIMs: Describe how VaR can be used to check compliance, monitor risk budgets and reverse engineer sources of risk. Explain how VaR can be used in the investment process and development of...
    Replies:
    0
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    127
  30. Suzanne Evans

    P2.T8.13. Pension fund risk

    Hi @JDGutzmann, I calculated 13.1: the folliwing way: Benchmark return = 0,5*0,04 +0,5*0,1 = 0,07 generated return = 0,5*0,07+0,5*0,05 = 0,06 Therfore BM- genReturn = 0,01 ^= 1%. Maybe writing it that way makes it more clear?
    Hi @JDGutzmann, I calculated 13.1: the folliwing way: Benchmark return = 0,5*0,04 +0,5*0,1 = 0,07 generated return = 0,5*0,07+0,5*0,05 = 0,06 Therfore BM- genReturn = 0,01 ^= 1%. Maybe writing it that way makes it more clear?
    Hi @JDGutzmann, I calculated 13.1: the folliwing way: Benchmark return = 0,5*0,04 +0,5*0,1 = 0,07 generated return = 0,5*0,07+0,5*0,05 = 0,06 Therfore BM- genReturn = 0,01 ^= 1%. Maybe writing it that way makes it more clear?
    Hi @JDGutzmann, I calculated 13.1: the folliwing way: Benchmark return = 0,5*0,04 +0,5*0,1 = 0,07 generated return = 0,5*0,07+0,5*0,05 = 0,06 Therfore BM- genReturn = 0,01 ^= 1%. Maybe...
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