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xCFA 2 2017 > Portfolio Management > Flashcards

Flashcards in Portfolio Management Deck (14)
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1

♦PMGMT♦ Value at Risk (VAR)

Minimum loss with a given %

2

♦PMGMT♦ Parametric VAR

Assumes normal distribution

5% annual VAR = (avg - 1.65 * std dev) * port value

1% ... = ... 2.33 ...

Daily VAR = EReturn / 250 and std dev / √250

3

♦PMGMT♦ Historical VAR

Assumes future dist will be similar to past dist How to: Order port a gets the percentile

4

♦PMGMT♦ Monte Carlo Simulation VAR

Not constrained to any dist Computer simulation

5

♦PMGMT♦ Extensions of VAR

Conditional VAR = expected shortfall - exp loss given that you have passed the VAR threshold Incremental VAR = mudança no VAR do port pela mudança de x% em um ativo. Definido pela recalculação de todo o portfolio. Marginal VAR = Parecido com o IVAR, mas pelo slope. Apenas uma aproximação. Relative VAR = Dif do VAR do port com o benchmark

6

♦PMGMT♦ Marginal utility e Yields

M = Mu future / Mu today sempre < 1, já que sempre prefiro consumir hoje Inversamente proporcional ao rf - se M é baixo, o rf tem que ser muito alto para quererem investir ao inves de consumir. Alta exp de riqueza no futuro significa maior I por ter menor M. Yield é impactado por M + exp inflação + incerteza na inflação + Risco de crédito + Equity risk premium + Falta de Liquidez

7

♦PMGMT♦ Sharpe Ratio

Rp - Rf / std dev port (unaffected by cash or lev)

8

♦PMGMT♦ Information Ratio

IR = Rp - Rb / std p - std benchmark (affected by cash and lev, but unaffected by aggressiveness in weights) SEMPRE ESCOLHER PELO IR, mesmo que tenha que compor com o benchmark para adquar o risco

9

♦PMGMT♦ Sharpe Ratio (portfolio)

SRp = SRbench ² + IR ²

10

♦PMGMT♦ Information Coefficient (IC)

Forecasting ability Correl ( forecasted return, actual return) IC = 2 * (% correct) - 1

11

♦PMGMT♦ Transfer Coefficient (TC)

Ideas into action Correl ( forecasted return, weights) If = 1, what you think is put in place / unconstrained

12

♦PMGMT♦ Breath (BR)

# of independent active bets during the year

13

♦PMGMT♦ Full fundamental law and basic fundamental law

ERa = TC * IC * √BR * std dev a IR = TC * IC * √BR Basic fundamental law assumes TC = 1

14

♦PMGMT♦ Optimal active risk

Std A = IR / SRb * Std benchmark