P2.T8. Investment Management

Practice questions for investment management and risk management

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  1. Nicole Seaman

    P2.T8.708. Illiquidity risk premium & portfolio choice decision on the inclusion of illiquid assets

    Great forum. My two questions were identical....and I see why Ang states that illiquidity premia exist within rather than across asset classes But one observation would be, aligned to the first post in this forum - the fact still remains that a VC trust does have an illiquity premium with regard to US Treasuries so there is a greater expected return for greater illiquidity across asset...
    Great forum. My two questions were identical....and I see why Ang states that illiquidity premia exist within rather than across asset classes But one observation would be, aligned to the first post in this forum - the fact still remains that a VC trust does have an illiquity premium with regard to US Treasuries so there is a greater expected return for greater illiquidity across asset...
    Great forum. My two questions were identical....and I see why Ang states that illiquidity premia exist within rather than across asset classes But one observation would be, aligned to the first post in this forum - the fact still remains that a VC trust does have an illiquity premium with...
    Great forum. My two questions were identical....and I see why Ang states that illiquidity premia exist within rather than across asset classes But one observation would be, aligned to the first...
    Replies:
    7
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    68
  2. Nicole Seaman

    P2.T8.707. The biases of illiquid markets (Ang)

    for simplification purposes I will copy my text - posted below the question set - here as well. It might be useful: Some input here from my side (referring to question 707.3) for prospective Part II candidates without going into further detail about the theory. In November 2016 GARP tested the concept of unsmoothing returns in detail (answers 'a' and 'b' to questions 707.3 have been very...
    for simplification purposes I will copy my text - posted below the question set - here as well. It might be useful: Some input here from my side (referring to question 707.3) for prospective Part II candidates without going into further detail about the theory. In November 2016 GARP tested the concept of unsmoothing returns in detail (answers 'a' and 'b' to questions 707.3 have been very...
    for simplification purposes I will copy my text - posted below the question set - here as well. It might be useful: Some input here from my side (referring to question 707.3) for prospective Part II candidates without going into further detail about the theory. In November 2016 GARP tested the...
    for simplification purposes I will copy my text - posted below the question set - here as well. It might be useful: Some input here from my side (referring to question 707.3) for prospective Part...
    Replies:
    3
    Views:
    62
  3. Nicole Seaman

    P2.T8.706. Alpha, style analysis and the risk anomaly (Ang)

    Learning objectives: Explain how to measure time-varying factor exposures and their use in style analysis. Describe issues that arise when measuring alphas for nonlinear strategies. Compare the volatility anomaly and beta anomaly, and analyze evidence of each anomaly. Describe potential explanations for the risk anomaly. Questions: 706.1. In order to evaluate the performance of its funds,...
    Learning objectives: Explain how to measure time-varying factor exposures and their use in style analysis. Describe issues that arise when measuring alphas for nonlinear strategies. Compare the volatility anomaly and beta anomaly, and analyze evidence of each anomaly. Describe potential explanations for the risk anomaly. Questions: 706.1. In order to evaluate the performance of its funds,...
    Learning objectives: Explain how to measure time-varying factor exposures and their use in style analysis. Describe issues that arise when measuring alphas for nonlinear strategies. Compare the volatility anomaly and beta anomaly, and analyze evidence of each anomaly. Describe potential...
    Learning objectives: Explain how to measure time-varying factor exposures and their use in style analysis. Describe issues that arise when measuring alphas for nonlinear strategies. Compare the...
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    0
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    30
  4. Nicole Seaman

    P2.T8.705. Berkshire Hathaway versus its benchmark (Ang)

    Thank you very much for your quick reply, @bpdulog . I unfortunately missed that part of the question.
    Thank you very much for your quick reply, @bpdulog . I unfortunately missed that part of the question.
    Thank you very much for your quick reply, @bpdulog . I unfortunately missed that part of the question.
    Thank you very much for your quick reply, @bpdulog . I unfortunately missed that part of the question.
    Replies:
    5
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    54
  5. Nicole Seaman

    P2.T8.704. Alpha and effective benchmarks (Andrew Ang)

    Want to add a few lines here: In William Sharpe's book 'Investments' (which is definitely the bible among all books available in this field) he defines plain/simple Alpha (as it is used in fund manager's language): Ex post alpha= α(p) = α(rp) - α(rb) 'One way of determining whether a mutual fund has had superior performance is to subtract the average return on the benchmark portfolio,...
    Want to add a few lines here: In William Sharpe's book 'Investments' (which is definitely the bible among all books available in this field) he defines plain/simple Alpha (as it is used in fund manager's language): Ex post alpha= α(p) = α(rp) - α(rb) 'One way of determining whether a mutual fund has had superior performance is to subtract the average return on the benchmark portfolio,...
    Want to add a few lines here: In William Sharpe's book 'Investments' (which is definitely the bible among all books available in this field) he defines plain/simple Alpha (as it is used in fund manager's language): Ex post alpha= α(p) = α(rp) - α(rb) 'One way of determining whether a mutual...
    Want to add a few lines here: In William Sharpe's book 'Investments' (which is definitely the bible among all books available in this field) he defines plain/simple Alpha (as it is used in fund...
    Replies:
    6
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    104
  6. Nicole Seaman

    P2.T8.703. Value, size and momentum investing (Andrew Ang)

    My interpretation is that Ang makes a distinction between selling volatility via derivatives (short straddle/strangle) and reaping the long run volatility premium via rebalancing in "fundamental asset positions". In my view Ang defines rebalancing as buying when asset prices fall and selling when asset prices rise to keep a certain factor mix. That's a typical mean reversion strategy and the...
    My interpretation is that Ang makes a distinction between selling volatility via derivatives (short straddle/strangle) and reaping the long run volatility premium via rebalancing in "fundamental asset positions". In my view Ang defines rebalancing as buying when asset prices fall and selling when asset prices rise to keep a certain factor mix. That's a typical mean reversion strategy and the...
    My interpretation is that Ang makes a distinction between selling volatility via derivatives (short straddle/strangle) and reaping the long run volatility premium via rebalancing in "fundamental asset positions". In my view Ang defines rebalancing as buying when asset prices fall and selling...
    My interpretation is that Ang makes a distinction between selling volatility via derivatives (short straddle/strangle) and reaping the long run volatility premium via rebalancing in "fundamental...
    Replies:
    8
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    76
  7. Nicole Seaman

    P2.T8.702. Macroeconomic risk factors including growth, inflation and volatility (Andrew Ang)

    Hi @gwfrm16 Yes, indeed, our mistake. Thank you for noticing. I have corrected the answer to reflect the true version of the statement (ie, that all asset classes are worse under high inflation): "702.1. C. False. To be true, this should instead read: During periods of high inflation, all five asset classes perform significantly WORSE than during periods of low inflation." and added the...
    Hi @gwfrm16 Yes, indeed, our mistake. Thank you for noticing. I have corrected the answer to reflect the true version of the statement (ie, that all asset classes are worse under high inflation): "702.1. C. False. To be true, this should instead read: During periods of high inflation, all five asset classes perform significantly WORSE than during periods of low inflation." and added the...
    Hi @gwfrm16 Yes, indeed, our mistake. Thank you for noticing. I have corrected the answer to reflect the true version of the statement (ie, that all asset classes are worse under high inflation): "702.1. C. False. To be true, this should instead read: During periods of high inflation, all five...
    Hi @gwfrm16 Yes, indeed, our mistake. Thank you for noticing. I have corrected the answer to reflect the true version of the statement (ie, that all asset classes are worse under high inflation):...
    Replies:
    2
    Views:
    47
  8. Nicole Seaman

    P2.T8.701. Multifactor models (Andrew Ang)

    Hi @Roddefeller That is just awesome :cool: Terrific, thank you! That's solid ... In the same vein, I opened up the Cochrane book and I see what you are saying about the crucial assumption--and initially counterintutive to me--that R(i)*m = 1.0 In chapter 1, he sets up his basic pricing equation given by E(m*R) = 1 as "by far the most important special case of the basic formula p = E(m*R)" (page...
    Hi @Roddefeller That is just awesome :cool: Terrific, thank you! That's solid ... In the same vein, I opened up the Cochrane book and I see what you are saying about the crucial assumption--and initially counterintutive to me--that R(i)*m = 1.0 In chapter 1, he sets up his basic pricing equation given by E(m*R) = 1 as "by far the most important special case of the basic formula p = E(m*R)" (page...
    Hi @Roddefeller That is just awesome :cool: Terrific, thank you! That's solid ... In the same vein, I opened up the Cochrane book and I see what you are saying about the crucial assumption--and initially counterintutive to me--that R(i)*m = 1.0 In chapter 1, he sets up his basic pricing equation given...
    Hi @Roddefeller That is just awesome :cool: Terrific, thank you! That's solid ... In the same vein, I opened up the Cochrane book and I see what you are saying about the crucial assumption--and...
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    7
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    110
  9. Nicole Seaman

    P2.T8.700. Theory of factor risk premiums (Andrew Ang)

    @emilioalzamora1 Yes, thank you for the correction. Chapter 13 was included in the previous curriculum, and they added chapters 6, 7 and 10 this year. :) Nicole
    @emilioalzamora1 Yes, thank you for the correction. Chapter 13 was included in the previous curriculum, and they added chapters 6, 7 and 10 this year. :) Nicole
    @emilioalzamora1 Yes, thank you for the correction. Chapter 13 was included in the previous curriculum, and they added chapters 6, 7 and 10 this year. :) Nicole
    @emilioalzamora1 Yes, thank you for the correction. Chapter 13 was included in the previous curriculum, and they added chapters 6, 7 and 10 this year. :) Nicole
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    59
  10. Nicole Seaman

    P2.T8.414. Hedge fund due diligence, continued (Mirabile)

    @bpdulog great point! Your interpretation ("the ability of the investor to pull out their money";) would make a lot more sense (at least to me) than the phrasing suggested by Mirabile ...
    @bpdulog great point! Your interpretation ("the ability of the investor to pull out their money";) would make a lot more sense (at least to me) than the phrasing suggested by Mirabile ...
    @bpdulog great point! Your interpretation ("the ability of the investor to pull out their money";) would make a lot more sense (at least to me) than the phrasing suggested by Mirabile ...
    @bpdulog great point! Your interpretation ("the ability of the investor to pull out their money";) would make a lot more sense (at least to me) than the phrasing suggested by Mirabile ...
    Replies:
    6
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    121
  11. Nicole Seaman

    P2.T8.413. Hedge fund due diligence (Mirabile)

    I was thinking the same thing. I obviously saw A as an issue but C seemed to me like management was trying to hide something with vague wording.
    I was thinking the same thing. I obviously saw A as an issue but C seemed to me like management was trying to hide something with vague wording.
    I was thinking the same thing. I obviously saw A as an issue but C seemed to me like management was trying to hide something with vague wording.
    I was thinking the same thing. I obviously saw A as an issue but C seemed to me like management was trying to hide something with vague wording.
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    187
  12. Nicole Seaman

    P2.T8.412. Hedge funds as diversifiers and agents (Constantinides)

    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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    85
  13. Nicole Seaman

    P2.T8.411. Hedge funds strategies (Constantinides)

    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
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    95
  14. Nicole Seaman

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

    Thanks for the award, @David Harper CFA FRM! I have to confess that I did not resort to the original Fung & Hsieh reading as these two guys are also covered within the CAIA curriculum (e.g. the Fung & Hsieh 7-factor model) and for all the hedge-fund related topics I think there is no better source than the original CAIA readings which discusses all sorts of biases in great detail.
    Thanks for the award, @David Harper CFA FRM! I have to confess that I did not resort to the original Fung & Hsieh reading as these two guys are also covered within the CAIA curriculum (e.g. the Fung & Hsieh 7-factor model) and for all the hedge-fund related topics I think there is no better source than the original CAIA readings which discusses all sorts of biases in great detail.
    Thanks for the award, @David Harper CFA FRM! I have to confess that I did not resort to the original Fung & Hsieh reading as these two guys are also covered within the CAIA curriculum (e.g. the Fung & Hsieh 7-factor model) and for all the hedge-fund related topics I think there is no better...
    Thanks for the award, @David Harper CFA FRM! I have to confess that I did not resort to the original Fung & Hsieh reading as these two guys are also covered within the CAIA curriculum (e.g. the...
    Replies:
    4
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    99
  15. Nicole Seaman

    P2.T8.409. Litterman on performance measurement

    This reading my be outdated - it conflicts with current ERM practices
    This reading my be outdated - it conflicts with current ERM practices
    This reading my be outdated - it conflicts with current ERM practices
    This reading my be outdated - it conflicts with current ERM practices
    Replies:
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    186
  16. Nicole Seaman

    P2.T8.408. Risk planning and budgeting (Litterman)

    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...
    Replies:
    0
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    84
  17. 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
    Views:
    234
  18. Nicole Seaman

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

    Thanks @emilioalzamora1
    Thanks @emilioalzamora1
    Thanks @emilioalzamora1
    Thanks @emilioalzamora1
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  19. Nicole Seaman

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

    Hi @bpdulog Yes, that's how Bodie defines it, and my question (as usual) cross-checks his application. He defines market timing score as a function of two proportions: "Let the market timing score be equal to the proportion of correct forecasts of bull markets, P(1), plus the proportion of correct forecasts of bear markets, P(2), minus one;" so P(1) here is the 6 bull forecasts out of the 10...
    Hi @bpdulog Yes, that's how Bodie defines it, and my question (as usual) cross-checks his application. He defines market timing score as a function of two proportions: "Let the market timing score be equal to the proportion of correct forecasts of bull markets, P(1), plus the proportion of correct forecasts of bear markets, P(2), minus one;" so P(1) here is the 6 bull forecasts out of the 10...
    Hi @bpdulog Yes, that's how Bodie defines it, and my question (as usual) cross-checks his application. He defines market timing score as a function of two proportions: "Let the market timing score be equal to the proportion of correct forecasts of bull markets, P(1), plus the proportion of...
    Hi @bpdulog Yes, that's how Bodie defines it, and my question (as usual) cross-checks his application. He defines market timing score as a function of two proportions: "Let the market timing score...
    Replies:
    15
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    428
  20. Nicole Seaman

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

    HI @bpdulog Re 404.2, it is the risk-free rate. I just edited the sentence to read (emphasis on my addition): "Because portfolio volatility is 30.0% and market volatility is 18.0%, the adjusted portfolio (i.e., the portfolio with volatility equivalent to the market's) is 60.0% portfolio and 40.0% risk-free asset, as 18%/30% = 60%" because the idea with M^2 is to shift the mix (ie, asset...
    HI @bpdulog Re 404.2, it is the risk-free rate. I just edited the sentence to read (emphasis on my addition): "Because portfolio volatility is 30.0% and market volatility is 18.0%, the adjusted portfolio (i.e., the portfolio with volatility equivalent to the market's) is 60.0% portfolio and 40.0% risk-free asset, as 18%/30% = 60%" because the idea with M^2 is to shift the mix (ie, asset...
    HI @bpdulog Re 404.2, it is the risk-free rate. I just edited the sentence to read (emphasis on my addition): "Because portfolio volatility is 30.0% and market volatility is 18.0%, the adjusted portfolio (i.e., the portfolio with volatility equivalent to the market's) is 60.0% portfolio and...
    HI @bpdulog Re 404.2, it is the risk-free rate. I just edited the sentence to read (emphasis on my addition): "Because portfolio volatility is 30.0% and market volatility is 18.0%, the adjusted...
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    12
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    501
  21. 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.
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  22. 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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    350
  23. David Harper CFA FRM

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

    Hi @bpdulog I think your first is pretty close: You can retrieve "component volatility" (or volatility contribution) in (%) terms with Portfolio volatility 26.2% * 25% weight * 0.4834 β(B, P) = 3.1669%, which represents the Bond's (B) contribution to the portfolio volatility of 26.2%. So that's fairly straightforward: component % = Portfolio vol% * w% * β(B,P). The scale the volatility (%) to...
    Hi @bpdulog I think your first is pretty close: You can retrieve "component volatility" (or volatility contribution) in (%) terms with Portfolio volatility 26.2% * 25% weight * 0.4834 β(B, P) = 3.1669%, which represents the Bond's (B) contribution to the portfolio volatility of 26.2%. So that's fairly straightforward: component % = Portfolio vol% * w% * β(B,P). The scale the volatility (%) to...
    Hi @bpdulog I think your first is pretty close: You can retrieve "component volatility" (or volatility contribution) in (%) terms with Portfolio volatility 26.2% * 25% weight * 0.4834 β(B, P) = 3.1669%, which represents the Bond's (B) contribution to the portfolio volatility of 26.2%. So that's...
    Hi @bpdulog I think your first is pretty close: You can retrieve "component volatility" (or volatility contribution) in (%) terms with Portfolio volatility 26.2% * 25% weight * 0.4834 β(B, P) =...
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    6
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    288
  24. Nicole Seaman

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

    Awww. Ok! That makes sense. Thanks a lot!
    Awww. Ok! That makes sense. Thanks a lot!
    Awww. Ok! That makes sense. Thanks a lot!
    Awww. Ok! That makes sense. Thanks a lot!
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    652
  25. 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.
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  26. 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...
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    9
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    145
  27. 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
    Views:
    74
  28. 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:
    116
  29. 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:
    67
  30. Suzanne Evans

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

    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
    Views:
    201

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