Portfolio Simulation Review

Question 1

High Risk Adjusted performance

Answer 1

Awarded to the team with the highest risk adjusted performance as measured by the information ratio, which measures the ratio of the portfolio returns in excess of the benchmark to the volitility of those excess returns.

Question 2

Highest Absolute return

Answer 2

Awarded to the team with the highest return

Question 3

What are Key Risk Factors to consider when structuring a portfolio?

Answer 3

• level and direction of interest rates in the US and globally (rising or falling)
• shape of the US yield curve (steepening or flattening)
• credit spreads for investment grade credit, swaps, emerging markets, and high yield (widening or tightening)
• volatility (increasing or decreasing)
• currencies versus the US dollar (strengthening or weakening)

Question 4

Duration

Answer 4

A portfolios price sensitivity to changes in interest rates (measured in years) which is an accurate predictor