Today's Daily Questions

David writes totally fresh, totally original practice (quiz) questions every week: a fresh set of three (4) from Mon to Thursday = 12 new practice questions per week. A few hungry customers like to follow along, so we post them here.

Paid members please note: you do not need to collect practice questions one at a time! After a chapter (or section of related chapters) is finished, Nicole collects them into a single PDF file and uploads to the Study Planner. Most paid members will want to go straight to the study planner (unless you want to discuss/etc in the forum). Thank you!

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  1. Nicole Seaman

    P1.T4.328. Delta-gamma value at risk (VaR)

    Hello @itoumk David is correct. You have to be a paid member who has purchased one of our study packages in order to see the answers to the practice questions. You can purchase one of our study packages here on our website: if you would like to gain access to the paid materials. Thank you, Nicole
    Hello @itoumk David is correct. You have to be a paid member who has purchased one of our study packages in order to see the answers to the practice questions. You can purchase one of our study packages here on our website: if you would like to gain access to the paid materials. Thank you, Nicole
    Hello @itoumk David is correct. You have to be a paid member who has purchased one of our study packages in order to see the answers to the practice questions. You can purchase one of our study packages here on our website: if you would like to gain access to the paid materials. Thank...
    Hello @itoumk David is correct. You have to be a paid member who has purchased one of our study packages in order to see the answers to the practice questions. You can purchase one of our study...
    Replies:
    6
    Views:
    1,111
  2. Nicole Seaman

    P2.T6.701. Unexpected loss and return on risk-adjusted capital (RARORAC) (De Laurentis)

    Hello @Amanmarwa Thank you for using Bionic Turtle! The answers and explanations to our daily practice questions are only available to members who purchase one of our study packages. This is because the practice questions are part of our paid materials. Each practice question set in our study planner has a forum link where paid members can get further explanations and discuss the practice...
    Hello @Amanmarwa Thank you for using Bionic Turtle! The answers and explanations to our daily practice questions are only available to members who purchase one of our study packages. This is because the practice questions are part of our paid materials. Each practice question set in our study planner has a forum link where paid members can get further explanations and discuss the practice...
    Hello @Amanmarwa Thank you for using Bionic Turtle! The answers and explanations to our daily practice questions are only available to members who purchase one of our study packages. This is because the practice questions are part of our paid materials. Each practice question set in our study...
    Hello @Amanmarwa Thank you for using Bionic Turtle! The answers and explanations to our daily practice questions are only available to members who purchase one of our study packages. This is...
    Replies:
    5
    Views:
    991
  3. Nicole Seaman

    P1.T3.706 Hedge funds (Hull)

    Hello @Elnur1 All of the answers and explanations to our daily practice questions are available to our paid customers who purchase one of our study packages here: . Nicole
    Hello @Elnur1 All of the answers and explanations to our daily practice questions are available to our paid customers who purchase one of our study packages here: . Nicole
    Hello @Elnur1 All of the answers and explanations to our daily practice questions are available to our paid customers who purchase one of our study packages here: . Nicole
    Hello @Elnur1 All of the answers and explanations to our daily practice questions are available to our paid customers who purchase one of our study packages here: . Nicole
    Replies:
    2
    Views:
    476
  4. Nicole Seaman

    P1.T3.704. Insurance company regulations and pension funds (Hull)

    Hello @Elnur1 The answers to our daily practice questions are available to paid members who purchase a study package because these practice questions are part of our questions sets. You can view all of our study packages here: . :) Nicole
    Hello @Elnur1 The answers to our daily practice questions are available to paid members who purchase a study package because these practice questions are part of our questions sets. You can view all of our study packages here: . :) Nicole
    Hello @Elnur1 The answers to our daily practice questions are available to paid members who purchase a study package because these practice questions are part of our questions sets. You can view all of our study packages here: . :) Nicole
    Hello @Elnur1 The answers to our daily practice questions are available to paid members who purchase a study package because these practice questions are part of our questions sets. You can view...
    Replies:
    2
    Views:
    384
  5. Nicole Seaman

    P2.T9.707. Corporate debt in emerging economies

    Hello, Thank you for using Bionic Turtle! The answers to the daily practice questions are available to our paid members who have purchased an FRM study package. All of these questions are part of our practice question sets in our Study Planner, so this is why the answers are not available to free members. If you would like to purchase one of our study packages, you can view what we have to...
    Hello, Thank you for using Bionic Turtle! The answers to the daily practice questions are available to our paid members who have purchased an FRM study package. All of these questions are part of our practice question sets in our Study Planner, so this is why the answers are not available to free members. If you would like to purchase one of our study packages, you can view what we have to...
    Hello, Thank you for using Bionic Turtle! The answers to the daily practice questions are available to our paid members who have purchased an FRM study package. All of these questions are part of our practice question sets in our Study Planner, so this is why the answers are not available to...
    Hello, Thank you for using Bionic Turtle! The answers to the daily practice questions are available to our paid members who have purchased an FRM study package. All of these questions are part of...
    Replies:
    2
    Views:
    421
  6. Nicole Seaman

    P2.T9.706. Negative policy rates

    Learning objectives: Describe the framework that led to the introduction of negative policy rates. Explain the implications of the technical implementation of negative policy rates. Identify factors that determine the lower bound for nominal interest rates. Identify and compare the risks associated with negative policy rates Questions: 706.1. Among the following motivations or...
    Learning objectives: Describe the framework that led to the introduction of negative policy rates. Explain the implications of the technical implementation of negative policy rates. Identify factors that determine the lower bound for nominal interest rates. Identify and compare the risks associated with negative policy rates Questions: 706.1. Among the following motivations or...
    Learning objectives: Describe the framework that led to the introduction of negative policy rates. Explain the implications of the technical implementation of negative policy rates. Identify factors that determine the lower bound for nominal interest rates. Identify and compare the risks...
    Learning objectives: Describe the framework that led to the introduction of negative policy rates. Explain the implications of the technical implementation of negative policy rates. Identify...
    Replies:
    0
    Views:
    422
  7. Nicole Seaman

    P2.T9.704. Algorithmic trading (Senior Supervisors Group)

    @viminthotha and @meenalbaheti Just a reminder that all of the answers and in-depth explanations are available to our members who purchase a study package, as these are the questions that are used in our practice question sets. If you are looking for the answers and explanations, you can view our study packages here: :) Nicole
    @viminthotha and @meenalbaheti Just a reminder that all of the answers and in-depth explanations are available to our members who purchase a study package, as these are the questions that are used in our practice question sets. If you are looking for the answers and explanations, you can view our study packages here: :) Nicole
    @viminthotha and @meenalbaheti Just a reminder that all of the answers and in-depth explanations are available to our members who purchase a study package, as these are the questions that are used in our practice question sets. If you are looking for the answers and explanations, you can view...
    @viminthotha and @meenalbaheti Just a reminder that all of the answers and in-depth explanations are available to our members who purchase a study package, as these are the questions that are...
    Replies:
    3
    Views:
    450
  8. Nicole Seaman

    P2.T9.705. The electronification of fixed income markets

    Learning objectives: Describe how the fixed income markets have been evolving. Explain the drivers behind the electronification of fixed income markets. Identify and describe the implications that electronification has on market quality. Compare the qualifications of traditional instruments of liquidity conditions and the new market environment Questions: 705.1. Over the five year period...
    Learning objectives: Describe how the fixed income markets have been evolving. Explain the drivers behind the electronification of fixed income markets. Identify and describe the implications that electronification has on market quality. Compare the qualifications of traditional instruments of liquidity conditions and the new market environment Questions: 705.1. Over the five year period...
    Learning objectives: Describe how the fixed income markets have been evolving. Explain the drivers behind the electronification of fixed income markets. Identify and describe the implications that electronification has on market quality. Compare the qualifications of traditional instruments of...
    Learning objectives: Describe how the fixed income markets have been evolving. Explain the drivers behind the electronification of fixed income markets. Identify and describe the implications that...
    Replies:
    0
    Views:
    348
  9. Nicole Seaman

    P2.T9.703. Drivers of market liquidity (IMF)

    Learning objectives: Describe the factors that influence the level of market liquidity and the degree of liquidity resilience in markets. Identify drivers and their effects on market liquidity level and resilience. Assess the effects that monetary policy has on market liquidity. Explain how liquidity spillovers can be amplified and describe what effects this has on the market. Describe the...
    Learning objectives: Describe the factors that influence the level of market liquidity and the degree of liquidity resilience in markets. Identify drivers and their effects on market liquidity level and resilience. Assess the effects that monetary policy has on market liquidity. Explain how liquidity spillovers can be amplified and describe what effects this has on the market. Describe the...
    Learning objectives: Describe the factors that influence the level of market liquidity and the degree of liquidity resilience in markets. Identify drivers and their effects on market liquidity level and resilience. Assess the effects that monetary policy has on market liquidity. Explain how...
    Learning objectives: Describe the factors that influence the level of market liquidity and the degree of liquidity resilience in markets. Identify drivers and their effects on market liquidity...
    Replies:
    0
    Views:
    247
  10. Nicole Seaman

    P2.T9.702. Dudley on market and funding liquidity

    Learning objectives: Compare and contrast market and funding liquidity and describe factors that have impacted by types of liquidity. Describe the regulatory and non-regulatory factors that have affected liquidity. Describe the link between market and funding liquidity. Examine the links between funding liquidity and capital requirements. Questions: 702.1. Mr. Dudley's remarks focus on the...
    Learning objectives: Compare and contrast market and funding liquidity and describe factors that have impacted by types of liquidity. Describe the regulatory and non-regulatory factors that have affected liquidity. Describe the link between market and funding liquidity. Examine the links between funding liquidity and capital requirements. Questions: 702.1. Mr. Dudley's remarks focus on the...
    Learning objectives: Compare and contrast market and funding liquidity and describe factors that have impacted by types of liquidity. Describe the regulatory and non-regulatory factors that have affected liquidity. Describe the link between market and funding liquidity. Examine the links between...
    Learning objectives: Compare and contrast market and funding liquidity and describe factors that have impacted by types of liquidity. Describe the regulatory and non-regulatory factors that have...
    Replies:
    0
    Views:
    247
  11. Nicole Seaman

    P1.T3.703. Insurance company ratios (Hull)

    Hi Nicole. Yes know. Thank you for reminding me. Regards
    Hi Nicole. Yes know. Thank you for reminding me. Regards
    Hi Nicole. Yes know. Thank you for reminding me. Regards
    Hi Nicole. Yes know. Thank you for reminding me. Regards
    Replies:
    5
    Views:
    568
  12. Nicole Seaman

    P2.T9.701. Bitcoin risks and regulation (Böhme)

    Learning objectives: Explain and compare the distinctive risks that Bitcoin presents. Describe the measures taken to regulate virtual currencies. Questions: 701.1. As a store of value and payment method, Bitcoin presents a distinct set of risks. Each of the following is a risk associated with Bitcoin but which is realistically the LEAST LIKELY risk? a. Identity risk: the private bitcoin...
    Learning objectives: Explain and compare the distinctive risks that Bitcoin presents. Describe the measures taken to regulate virtual currencies. Questions: 701.1. As a store of value and payment method, Bitcoin presents a distinct set of risks. Each of the following is a risk associated with Bitcoin but which is realistically the LEAST LIKELY risk? a. Identity risk: the private bitcoin...
    Learning objectives: Explain and compare the distinctive risks that Bitcoin presents. Describe the measures taken to regulate virtual currencies. Questions: 701.1. As a store of value and payment method, Bitcoin presents a distinct set of risks. Each of the following is a risk associated...
    Learning objectives: Explain and compare the distinctive risks that Bitcoin presents. Describe the measures taken to regulate virtual currencies. Questions: 701.1. As a store of value and...
    Replies:
    0
    Views:
    684
  13. Nicole Seaman

    P1.T3.705. Mutual funds (Hull)

    Learning objectives: Differentiate among open-end mutual funds, closed-end mutual funds, and exchange-traded funds (ETFs). Calculate the net asset value (NAV) of an open-end mutual fund. Explain the key differences between hedge funds and mutual funds. Questions: 705.1 America's Best Fund (Class A) is an open-ended mutual fund with 1.20 million shares outstanding. Currently, it is 10 am...
    Learning objectives: Differentiate among open-end mutual funds, closed-end mutual funds, and exchange-traded funds (ETFs). Calculate the net asset value (NAV) of an open-end mutual fund. Explain the key differences between hedge funds and mutual funds. Questions: 705.1 America's Best Fund (Class A) is an open-ended mutual fund with 1.20 million shares outstanding. Currently, it is 10 am...
    Learning objectives: Differentiate among open-end mutual funds, closed-end mutual funds, and exchange-traded funds (ETFs). Calculate the net asset value (NAV) of an open-end mutual fund. Explain the key differences between hedge funds and mutual funds. Questions: 705.1 America's Best Fund...
    Learning objectives: Differentiate among open-end mutual funds, closed-end mutual funds, and exchange-traded funds (ETFs). Calculate the net asset value (NAV) of an open-end mutual fund. Explain...
    Replies:
    0
    Views:
    320
  14. Nicole Seaman

    P2.T6.332. Incremental and marginal credit value adjustment (CVA)

    Hello @nickst11 The answers to the daily practice questions are only available to our paid members who purchase one of our study packages. The reason for this is because these questions are part of our paid practice question sets that are published in the study planner. Thank you, Nicole
    Hello @nickst11 The answers to the daily practice questions are only available to our paid members who purchase one of our study packages. The reason for this is because these questions are part of our paid practice question sets that are published in the study planner. Thank you, Nicole
    Hello @nickst11 The answers to the daily practice questions are only available to our paid members who purchase one of our study packages. The reason for this is because these questions are part of our paid practice question sets that are published in the study planner. Thank you, Nicole
    Hello @nickst11 The answers to the daily practice questions are only available to our paid members who purchase one of our study packages. The reason for this is because these questions are part...
    Replies:
    6
    Views:
    3,160
  15. Nicole Seaman

    P2.T9.700. What is Bitcoin and what are bitcoins? (Böhme)

    Learning objectives: Describe the incentives to use virtual currency. Identify the limits of Bitcoin and the concerns that may arise from these limits. Questions: 700.1. Each of these is a feature of bitcoin EXCEPT which is not? a. Public-private key cryptography b. Public distributed transaction ledger; aka, the blockchain c. Reliable authority node enables centralized governance...
    Learning objectives: Describe the incentives to use virtual currency. Identify the limits of Bitcoin and the concerns that may arise from these limits. Questions: 700.1. Each of these is a feature of bitcoin EXCEPT which is not? a. Public-private key cryptography b. Public distributed transaction ledger; aka, the blockchain c. Reliable authority node enables centralized governance...
    Learning objectives: Describe the incentives to use virtual currency. Identify the limits of Bitcoin and the concerns that may arise from these limits. Questions: 700.1. Each of these is a feature of bitcoin EXCEPT which is not? a. Public-private key cryptography b. Public distributed...
    Learning objectives: Describe the incentives to use virtual currency. Identify the limits of Bitcoin and the concerns that may arise from these limits. Questions: 700.1. Each of these is a...
    Replies:
    0
    Views:
    492
  16. Kimberly D

    P2.T6.309. Default correlation, Malz sections 8.1 and 8.2

    Hi @kik92 In the answer thread, I think we've established that my 309.3(D) is incorrect; i.e., it is not (necessarily) a true statement. I haven't revised it yet .... The answer thread has quite a bit of discussion e.g., Thomas wrote: And I replied:
    Hi @kik92 In the answer thread, I think we've established that my 309.3(D) is incorrect; i.e., it is not (necessarily) a true statement. I haven't revised it yet .... The answer thread has quite a bit of discussion e.g., Thomas wrote: And I replied:
    Hi @kik92 In the answer thread, I think we've established that my 309.3(D) is incorrect; i.e., it is not (necessarily) a true statement. I haven't revised it yet .... The answer thread has quite a bit of discussion e.g., Thomas wrote: And I replied:
    Hi @kik92 In the answer thread, I think we've established that my 309.3(D) is incorrect; i.e., it is not (necessarily) a true statement. I haven't revised it yet .... The answer thread has quite...
    Replies:
    11
    Views:
    2,235
  17. Nicole Seaman

    P1.T1.701. Amplifying mechanism and recurring themes in the global financial crisis (Brunnermeier)

    @Nicole Seaman Thank you, that is helpful. The implication of this (continues to be) is that Learning Objectives are not necessarily a logically complete recipe for the exam. I think of Learning Objectives as the "bottom up" realization of the topics: they manifest (realize) topics with concrete linkages to the assigned readings. But GARP's exam methodology importantly begins "top down" with...
    @Nicole Seaman Thank you, that is helpful. The implication of this (continues to be) is that Learning Objectives are not necessarily a logically complete recipe for the exam. I think of Learning Objectives as the "bottom up" realization of the topics: they manifest (realize) topics with concrete linkages to the assigned readings. But GARP's exam methodology importantly begins "top down" with...
    @Nicole Seaman Thank you, that is helpful. The implication of this (continues to be) is that Learning Objectives are not necessarily a logically complete recipe for the exam. I think of Learning Objectives as the "bottom up" realization of the topics: they manifest (realize) topics with concrete...
    @Nicole Seaman Thank you, that is helpful. The implication of this (continues to be) is that Learning Objectives are not necessarily a logically complete recipe for the exam. I think of Learning...
    Replies:
    5
    Views:
    517
  18. Nicole Seaman

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

    Learning objectives: Compare illiquidity risk premiums across and within asset categories. Evaluate portfolio choice decisions on the inclusion of illiquid assets. Questions: 708.1. In order to identify the presence of illiquidity risk premium(s), Andrew Ang references data presented by Antti Ilmanen in his well-known reference Expected Returns (An Investor's Guide to Harvesting Market...
    Learning objectives: Compare illiquidity risk premiums across and within asset categories. Evaluate portfolio choice decisions on the inclusion of illiquid assets. Questions: 708.1. In order to identify the presence of illiquidity risk premium(s), Andrew Ang references data presented by Antti Ilmanen in his well-known reference Expected Returns (An Investor's Guide to Harvesting Market...
    Learning objectives: Compare illiquidity risk premiums across and within asset categories. Evaluate portfolio choice decisions on the inclusion of illiquid assets. Questions: 708.1. In order to identify the presence of illiquidity risk premium(s), Andrew Ang references data presented by Antti...
    Learning objectives: Compare illiquidity risk premiums across and within asset categories. Evaluate portfolio choice decisions on the inclusion of illiquid assets. Questions: 708.1. In order to...
    Replies:
    0
    Views:
    374
  19. Nicole Seaman

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

    @emilioalzamora1 Awesome, thank you for your enthusiasm, it's infectious :) (thanks for pointing out it's also mentioned in Nicole's note) Thank you for Andrew Ang's link at blackrock. I take the blackrock blog (for the week in risk) but I totally missed that he's there. Now I see why you say it's not surprising!!
    @emilioalzamora1 Awesome, thank you for your enthusiasm, it's infectious :) (thanks for pointing out it's also mentioned in Nicole's note) Thank you for Andrew Ang's link at blackrock. I take the blackrock blog (for the week in risk) but I totally missed that he's there. Now I see why you say it's not surprising!!
    @emilioalzamora1 Awesome, thank you for your enthusiasm, it's infectious :) (thanks for pointing out it's also mentioned in Nicole's note) Thank you for Andrew Ang's link at blackrock. I take the blackrock blog (for the week in risk) but I totally missed that he's there. Now I see why you say it's...
    @emilioalzamora1 Awesome, thank you for your enthusiasm, it's infectious :) (thanks for pointing out it's also mentioned in Nicole's note) Thank you for Andrew Ang's link at blackrock. I take the...
    Replies:
    4
    Views:
    323
  20. Nicole Seaman

    P1.T3.702. Life insurance products and mortality tables (Hull)

    Learning objectives: Describe the key features of the various categories of insurance companies and identify the risks facing insurance companies. Describe the use of mortality tables and calculate the premium payment for a policy holder. Questions: 702.1. Below is an extract (selected rows) from a mortality table: Which is nearest to the probability of a man aged 80 years old dying in...
    Learning objectives: Describe the key features of the various categories of insurance companies and identify the risks facing insurance companies. Describe the use of mortality tables and calculate the premium payment for a policy holder. Questions: 702.1. Below is an extract (selected rows) from a mortality table: Which is nearest to the probability of a man aged 80 years old dying in...
    Learning objectives: Describe the key features of the various categories of insurance companies and identify the risks facing insurance companies. Describe the use of mortality tables and calculate the premium payment for a policy holder. Questions: 702.1. Below is an extract (selected rows)...
    Learning objectives: Describe the key features of the various categories of insurance companies and identify the risks facing insurance companies. Describe the use of mortality tables and...
    Replies:
    0
    Views:
    530
  21. Nicole Seaman

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

    Appreciate the citation, David! Very honoured.
    Appreciate the citation, David! Very honoured.
    Appreciate the citation, David! Very honoured.
    Appreciate the citation, David! Very honoured.
    Replies:
    3
    Views:
    553
  22. 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...
    Replies:
    0
    Views:
    393
  23. Nicole Seaman

    P1.T3.701. Basic bank functions and definitions (Hull)

    Learning objectives: Explain how deposit insurance gives rise to a moral hazard problem. Describe investment banking financing arrangements including private placement, public offering, best efforts, firm commitment, and Dutch auction approaches. Describe the potential conflicts of interest among commercial banking, securities services, and investment banking divisions of a bank and recommend...
    Learning objectives: Explain how deposit insurance gives rise to a moral hazard problem. Describe investment banking financing arrangements including private placement, public offering, best efforts, firm commitment, and Dutch auction approaches. Describe the potential conflicts of interest among commercial banking, securities services, and investment banking divisions of a bank and recommend...
    Learning objectives: Explain how deposit insurance gives rise to a moral hazard problem. Describe investment banking financing arrangements including private placement, public offering, best efforts, firm commitment, and Dutch auction approaches. Describe the potential conflicts of interest...
    Learning objectives: Explain how deposit insurance gives rise to a moral hazard problem. Describe investment banking financing arrangements including private placement, public offering, best...
    Replies:
    0
    Views:
    294
  24. Nicole Seaman

    P1.T3.700. Major risks faced by banks (Hull)

    Hello @Elnur1 All of the answers and in-depth explanations to our practice questions are available to our paid customers who purchase a study package. Our study packages are here if you are interested in purchasing to get the answers to our practice questions: . Thank you :) Nicole
    Hello @Elnur1 All of the answers and in-depth explanations to our practice questions are available to our paid customers who purchase a study package. Our study packages are here if you are interested in purchasing to get the answers to our practice questions: . Thank you :) Nicole
    Hello @Elnur1 All of the answers and in-depth explanations to our practice questions are available to our paid customers who purchase a study package. Our study packages are here if you are interested in purchasing to get the answers to our practice questions: . Thank you :) Nicole
    Hello @Elnur1 All of the answers and in-depth explanations to our practice questions are available to our paid customers who purchase a study package. Our study packages are here if you are...
    Replies:
    3
    Views:
    495
  25. Nicole Seaman

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

    Learning objectives: Describe and evaluate the low-risk anomaly of asset returns. Define and calculate alpha, tracking error, the information ratio, and the Sharpe ratio. Explain the impact of benchmark choice on alpha, and describe characteristics of an effective benchmark to measure alpha. Questions: 704.1. Below is the regression output of a portfolio's excess returns against its...
    Learning objectives: Describe and evaluate the low-risk anomaly of asset returns. Define and calculate alpha, tracking error, the information ratio, and the Sharpe ratio. Explain the impact of benchmark choice on alpha, and describe characteristics of an effective benchmark to measure alpha. Questions: 704.1. Below is the regression output of a portfolio's excess returns against its...
    Learning objectives: Describe and evaluate the low-risk anomaly of asset returns. Define and calculate alpha, tracking error, the information ratio, and the Sharpe ratio. Explain the impact of benchmark choice on alpha, and describe characteristics of an effective benchmark to measure...
    Learning objectives: Describe and evaluate the low-risk anomaly of asset returns. Define and calculate alpha, tracking error, the information ratio, and the Sharpe ratio. Explain the impact of...
    Replies:
    0
    Views:
    254
  26. Nicole Seaman

    P1.T2.707. Gaussian Copula (Hull)

    Learning objectives: Define copula and describe the key properties of copulas and copula correlation. Explain tail dependence. Describe the Gaussian copula, Student’s t-copula, multivariate copula, and one-factor copula. Questions: 707.1. Below are the joint probabilities for a cumulative bivariate normal distribution with a correlation parameter, ρ, of 0.30. If V(1) and V(2) are each...
    Learning objectives: Define copula and describe the key properties of copulas and copula correlation. Explain tail dependence. Describe the Gaussian copula, Student’s t-copula, multivariate copula, and one-factor copula. Questions: 707.1. Below are the joint probabilities for a cumulative bivariate normal distribution with a correlation parameter, ρ, of 0.30. If V(1) and V(2) are each...
    Learning objectives: Define copula and describe the key properties of copulas and copula correlation. Explain tail dependence. Describe the Gaussian copula, Student’s t-copula, multivariate copula, and one-factor copula. Questions: 707.1. Below are the joint probabilities for a cumulative...
    Learning objectives: Define copula and describe the key properties of copulas and copula correlation. Explain tail dependence. Describe the Gaussian copula, Student’s t-copula, multivariate...
    Replies:
    0
    Views:
    437
  27. Nicole Seaman

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

    Learning objectives: Assess methods of mitigating volatility risk in a portfolio, and describe challenges that arise when managing volatility risk. Explain how dynamic risk factors can be used in a multifactor model of asset returns, using the Fama-French model as an example. Compare value and momentum investment strategies, including their risk and return profiles. Questions: 703.1. Andrew...
    Learning objectives: Assess methods of mitigating volatility risk in a portfolio, and describe challenges that arise when managing volatility risk. Explain how dynamic risk factors can be used in a multifactor model of asset returns, using the Fama-French model as an example. Compare value and momentum investment strategies, including their risk and return profiles. Questions: 703.1. Andrew...
    Learning objectives: Assess methods of mitigating volatility risk in a portfolio, and describe challenges that arise when managing volatility risk. Explain how dynamic risk factors can be used in a multifactor model of asset returns, using the Fama-French model as an example. Compare value and...
    Learning objectives: Assess methods of mitigating volatility risk in a portfolio, and describe challenges that arise when managing volatility risk. Explain how dynamic risk factors can be used in...
    Replies:
    0
    Views:
    213
  28. Nicole Seaman

    P1.T2.706. Bivariate normal distribution (Hull)

    Learning objectives: Calculate covariance using the EWMA and GARCH(1,1) models. Apply the consistency condition to covariance. Describe the procedure of generating samples from a bivariate normal distribution. Describe properties of correlations between normally distributed variables when using a one-factor model. Questions: 706.1. The data and plot below show a bivariate normal sample...
    Learning objectives: Calculate covariance using the EWMA and GARCH(1,1) models. Apply the consistency condition to covariance. Describe the procedure of generating samples from a bivariate normal distribution. Describe properties of correlations between normally distributed variables when using a one-factor model. Questions: 706.1. The data and plot below show a bivariate normal sample...
    Learning objectives: Calculate covariance using the EWMA and GARCH(1,1) models. Apply the consistency condition to covariance. Describe the procedure of generating samples from a bivariate normal distribution. Describe properties of correlations between normally distributed variables when using...
    Learning objectives: Calculate covariance using the EWMA and GARCH(1,1) models. Apply the consistency condition to covariance. Describe the procedure of generating samples from a bivariate normal...
    Replies:
    0
    Views:
    305
  29. Nicole Seaman

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

    Learning objectives: Describe the process of value investing, and explain reasons why a value premium may exist [BT note: this objective is somewhat out of sequence; the next practice question will review the value premium ]. Explain how different macroeconomic risk factors, including economic growth, inflation, and volatility affect risk premiums and asset returns. Questions: 702.1. Andrew...
    Learning objectives: Describe the process of value investing, and explain reasons why a value premium may exist [BT note: this objective is somewhat out of sequence; the next practice question will review the value premium ]. Explain how different macroeconomic risk factors, including economic growth, inflation, and volatility affect risk premiums and asset returns. Questions: 702.1. Andrew...
    Learning objectives: Describe the process of value investing, and explain reasons why a value premium may exist [BT note: this objective is somewhat out of sequence; the next practice question will review the value premium ]. Explain how different macroeconomic risk factors, including economic...
    Learning objectives: Describe the process of value investing, and explain reasons why a value premium may exist [BT note: this objective is somewhat out of sequence; the next practice question...
    Replies:
    0
    Views:
    308
  30. Nicole Seaman

    P1.T2.705. Correlation (Hull)

    Learning objective: Define correlation and covariance and differentiate between correlation and dependence. Questions: 705.1. In order to evaluate the the potential of a linear relationship between portfolio returns and a benchmark index, your colleague Richard conducted a univariate regression analysis. He regressed the benchmark index returns, B(i), as the dependent (aka, response)...
    Learning objective: Define correlation and covariance and differentiate between correlation and dependence. Questions: 705.1. In order to evaluate the the potential of a linear relationship between portfolio returns and a benchmark index, your colleague Richard conducted a univariate regression analysis. He regressed the benchmark index returns, B(i), as the dependent (aka, response)...
    Learning objective: Define correlation and covariance and differentiate between correlation and dependence. Questions: 705.1. In order to evaluate the the potential of a linear relationship between portfolio returns and a benchmark index, your colleague Richard conducted a univariate...
    Learning objective: Define correlation and covariance and differentiate between correlation and dependence. Questions: 705.1. In order to evaluate the the potential of a linear relationship...
    Replies:
    0
    Views:
    338

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