Portfolio Mgmt. Flashcards
(45 cards)
Information Ratio
Consistency in active return
Si sube cash que pasa con IR
IR baja
Forecasting Ability
Information Coefficient (Expected vs Realized RA)
Value Added
Correlation( Realized RA y Wi)
Ability to put ideas in action
Transfer Coefficient (Expected RA y Wi)
Sources of tracking error
Fees, representative sample, use of depositary receipts, valuation time
Mayor bid-ask spread
Different markets, no hedging, use of futures, illiquidity, pocos market makers, low order flow
Accurate NAV
Mismo mercado, less activity, volatility y liquidity
Fundamental factors
attributes of stocks, factors (returns calculated through regression) and betas calculated first
Fixed Income factors
Duration, credit, currency
Macroeconomic factors
Suprises (actual - predicted), betas calculated at the end
Statistical Models
Applied to historical returns to extract factors (minimal assumptions), factors are weighted combinations of securities
VaR
Minimun Loss that would be expected at a certain % at certain time (capture market risk)
Historical Simulation Method
Representative actual numbers and reprice it con key factors específicos, no constrained by normality y es para todo financial product
Disadvantages of VaR
underestimate frequency of extreme events, no toma en cuanta liquidity y disregard of right-tail events
Good expected conditions
Require higher rates to induce savings
Volatile GDP growth (uncertainty)
Real risk free rate higher
Choice of a benchmark
representativo, replication at low cost, weights verifiable
active return assumption
financial markets not perfectly efficient
Sharpe ratio vs IR
unaffected by addition of cash or leverage vs affected (sube cash, baja IR)
Creation basket
listed securities con disclosure daily at fair value
Creation Unit
ETF share at market price
ETF advantages
tax efficiency, shares can be shorted
Mutual Funds
creates and redeem all shares at closing NAV, holders no protegidos de transaction costs, cant shorted shares
