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CFA L2 Matheus > 6. Portfolio Management > Flashcards

6. Portfolio Management Flashcards

(45 cards)

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1
Q

HPR (ETF)

A

HPR = Round Trip Trade Cost + Mgmt Fee

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2
Q

Tracking Error (Formula)

A

TE = StDev (ETF-Index) anualizado

Impacted by Fees, Expenses, Subsample, Use of aluguel. Index Rebalance.

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3
Q

Authorized Participant

A

Large Institutional Entity allowed to create/redeem ETF shares

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4
Q

Securities < ETF share

A
  • Buy basket
  • Create ETF shares
  • AP sells ETF shares @ higher value
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5
Q

Securities > ETF share

A
  • Redeem ETF shares
  • Gets basket
  • AP sells securities @ higher value
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6
Q

Arbitrage Gap w/ ETFs

A

Buy low, sell high (between NAV price and ETF share). It must consider operational costs.

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7
Q

ETF settlement

A

T+2 days

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8
Q

Expense Ratio

A

Amount by which ETF should underperform its benchmark index

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9
Q

Tax Fairness ETF (Concept)

A

Tax for those who redeem only

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10
Q

ETF Sponsor

A

Publishes In-King ETF basked and creates/redeem shares for APs

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11
Q

Multifactor Models (Types)

A
  1. Macro (Surprises) - Estimated after
  2. Fundamental (Stock Specific Betas) - Assumed before
  3. Statistical (Complex to interpret, fewer assumptions)
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12
Q

VaR (Concept)

A 
- Minimum loss for X% of the time
5%: 1,65 (normal 90%)
2,5%: 1,96 (normal 95%)
1%: 2,33 (normal 98%)
0,5%: 2,56 (normal 99%)
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13
Q

Parametric Var (Formula)

A

VaR = [ E(Rp) - (t crítico * stdev portfolio)] * -1 * Notional
From daily to anual: E(Rp) * 250
From daily to anual: stdev portfolio * Raiz de 250

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14
Q

VaR (Daily, Annual, Weekly)

A

Daily/Annual: 250 days
Weekly: 52 weeks
Monthly: 12 months

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15
Q

Conditional VaR (Concept)

A

Average loss, given that loss has exceeded VaR

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16
Q

Incremental VaR (Concept)

A

Δ Var Adicional per Unit of Increase in Exposure

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17
Q

Marginal VaR (Concept)

A

Δ Var Adicional por +1% de exposição

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18
Q

Relative VaR (Concept)

A

Undeperformance of at least X% em relação a um benchmark

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19
Q

VaR Methods (List)

Study These Flashcards
A
  1. Parametric
  2. Historical Simulation (all observations equally weighted)
  3. Monte Carlo (não assume Distr. Normal)
20
Q

Scenario Risk Measures (List)

Study These Flashcards
A
  1. Historical Scneario = Stress Test or Reverse (plot desired exposure and check scenario focused on affecting these top exposures
  2. Hypothetic = Simulation. You determine the assumptions.
  3. Sensitivity = Combine with simulation and check Δ Output given change in ONE variable.
21
Q

Backtesting and Simulation (Steps)

Study These Flashcards
A
  1. Strategy Design (hypothesis, goal, key parameters)
  2. Historical Simulation (Generate portfolios)
  3. Analysis of Output (Calculate metrics)
  4. Roll windows test (Test recent 12 months, generate outputs, compare with the Month 13, walk forward)
22
Q

Backtest Strategies

Study These Flashcards
A
  1. Benchmark Portfolio (BM): Same weight per factor of risk. Select 4 factors with 0,25 weight each.
  2. Risk Parity (RP): Same risk per factor selected. Choose Total Risk and divide equally for the 4 factors above. Estimula a diversificação.
23
Q

Biases in Investment Calculations

Study These Flashcards
A
  1. Survivorship Bias (survivor stocks = higher returns)
  2. Look Ahead Bias (data not available in the day of analysis)
  3. Data snooping: Caçar significância estatística onde não tem
24
Q

Interest Rate (Economics & Investment Market FORMULA)

Study These Flashcards
A

Interest = [1 / m (t,s) ] - 1

scenario: good future ↑ (e vice-versa) = juro maior
↓ m = willingness to trade dinheiro hoje por amanhã
↓ u = utilidade grana no futuro

25
m (t, s) - formula
m (t, s) = u (t+s) / u (t) m = willingness to trade u = utilidade marginal do dinheiro ambos baixos ↓ qdo a economia for promissora
26
Taylor Rule (Formula)
Taylor Rule: I + θ + 0,5 (θ - θ*) + 0,5 (y - y*) (θ - θ*) = inflation - expected inflation (y - y*) = output gap = actual - potential
27
Break Even Inflation (Bey Formula)
BEY = (R nominal - Rreal) p/ bond de curtíssimo prazo zero coupon Teoricamente é o preço da incerteza da inflação.
28
Correlation between Interest Rate and Economy
Short Term = Monetary Policy (explica 1/3 dos Yields). Resto é Inflação. Long Term = Real Growth
29
E (Ractive) - Formula
E (Ra) = E (Rp) - E (Rbenchmark)
30
Alpha (α) - Formula
α = Rp - β(Rbenchmark)
31
Ractive - Formula
Ractive = ∑ Δwi (Ri - Rbenchmark) Ractive = AA + SS Ractive = ∑ Δwclasse*Rclasse +∑ Wstockspecific *Ractive
32
Sharpe Ratio (Formula)
SRP = (Rp - Rf)/σ portfolio Add Cash, não impacta
33
Information Ratio (Formula)
IR = (Rp - Rbenchmark) / σativo IR = Ractive / σativo Add Agressividade (Δwi), não impacta
34
Breadth (Formula)
BR = N / [1 + (N-1)correlation] or BR = N if no correlation between decisions N = number of estimates
35
Basic Law (Unconstrained Portfolio)
IR = IC * √BR * σativo IC entre -1 e +1
36
Full Law (Unconstrained Portfolio)
E (Ractive) = TC * IC * √BR * σativo = (IR * σativo)
37
σativo (Formula)
1) σativo = E (Ractive) / IR Manipulação da fórmula de Information Ratio 2) σativo* = TC * (IR / SRB) * σbenchmark Fórmula = TC * IRB * risco
38
Relação Quadrado (Fórmula)
SRpˆ 2 = SRbˆ2 + (TC * IRˆ2)
39
Information Coefficient (Formula)
IC = Correl ( Ri/σi; μi/σi) IC = Acertos - Erros Retorno e Forecast
40
Transfer Coefficient (Formula)
TC = Correl (μi/σi; Δwi*σi) Forecast e Implementação do Peso Ativo
41
Value Added (Concept)
Relação entre wi (Peso Ativo) e Ri (Retorno do Ativo)
42
Ex-Post Performance (Formula)
Ractive = E (Ractive | IC Return) + Noise IC Return = TCˆ2 Se TC = 0.6, logo 36% da variância (σ^2) do Ractive virá do Information Coefficient (IC) Noise = (1 - TCˆ2) = 64% resíduo
43
Implementation Shortfall
Paper Portfolio - Actual Portfolio ``` Paper = (Actual Value - Decision Value) realizei Actual = (Quanto vale - Quanto Custou) Gastei ao implementar ```
44
Effective Spread (Formula)
``` Buy = [Size * (Trade Price - Bid-Ask/2)] * 2 Sell = Inverte os lados do parêntesis ```
45
VWAP (Formula)
``` Buy = Size * (Trade VWAP - VWAP Benchmark) Sell = Inverte os lados do parêntesis ``` Preço médio das ordens executadas ``` Buy = Quero que VWAP meu < VWAP bench Sell = Quero que VWAP meu > VWAP bench ```

CFA L2 Matheus (9 decks)

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