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CFA L2 Matheus > 6. Portfolio Management > Flashcards

6. Portfolio Management Flashcards

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CFA flashcards
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)

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

Scenario Risk Measures (List)

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)

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

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

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)

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
Q

m (t, s) - formula

A

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
Q

Taylor Rule (Formula)

A

Taylor Rule: I + θ + 0,5 (θ - θ) + 0,5 (y - y)

(θ - θ) = inflation - expected inflation
(y - y) = output gap = actual - potential

27
Q

Break Even Inflation (Bey Formula)

A

BEY = (R nominal - Rreal) p/ bond de curtíssimo prazo zero coupon

Teoricamente é o preço da incerteza da inflação.

28
Q

Correlation between Interest Rate and Economy

A

Short Term = Monetary Policy (explica 1/3 dos Yields). Resto é Inflação.
Long Term = Real Growth

29
Q

E (Ractive) - Formula

A

E (Ra) = E (Rp) - E (Rbenchmark)

30
Q

Alpha (α) - Formula

A

α = Rp - β(Rbenchmark)

31
Q

Ractive - Formula

A

Ractive = ∑ Δwi (Ri - Rbenchmark)

Ractive = AA + SS

Ractive = ∑ Δwclasse*Rclasse +∑ Wstockspecific *Ractive

32
Q

Sharpe Ratio (Formula)

A

SRP = (Rp - Rf)/σ portfolio

Add Cash, não impacta

33
Q

Information Ratio (Formula)

A

IR = (Rp - Rbenchmark) / σativo

IR = Ractive / σativo

Add Agressividade (Δwi), não impacta

34
Q

Breadth (Formula)

A

BR = N / [1 + (N-1)correlation]
or BR = N if no correlation between decisions

N = number of estimates

35
Q

Basic Law (Unconstrained Portfolio)

A

IR = IC * √BR * σativo

IC entre -1 e +1

36
Q

Full Law (Unconstrained Portfolio)

A

E (Ractive) = TC * IC * √BR * σativo = (IR * σativo)

37
Q

σativo (Formula)

A

1) σativo = E (Ractive) / IR
Manipulação da fórmula de Information Ratio

2) σativo* = TC * (IR / SRB) * σbenchmark
Fórmula = TC * IRB * risco

38
Q

Relação Quadrado (Fórmula)

A

SRpˆ2 = SRbˆ2 + (TC * IRˆ2)

39
Q

Information Coefficient (Formula)

A

IC = Correl ( Ri/σi; μi/σi)

IC = Acertos - Erros

Retorno e Forecast

40
Q

Transfer Coefficient (Formula)

A

TC = Correl (μi/σi; Δwi*σi)

Forecast e Implementação do Peso Ativo

41
Q

Value Added (Concept)

A

Relação entre wi (Peso Ativo) e Ri (Retorno do Ativo)

42
Q

Ex-Post Performance (Formula)

A

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
Q

Implementation Shortfall

A

Paper Portfolio - Actual Portfolio

Paper = (Actual Value - Decision Value) realizei
Actual = (Quanto vale - Quanto Custou) Gastei ao implementar
44
Q

Effective Spread (Formula)

A 
Buy = [Size * (Trade Price - Bid-Ask/2)] * 2
Sell = Inverte os lados do parêntesis
45
Q

VWAP (Formula)

A 
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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