Performance eval

Question 1

Difference between macro and micro attribution

Answer 1

Macro is done at the sponsor level, micro is done at the managed fund level

Question 2

Explain the Brinson Hood model of attribution

Answer 2

It is breaking down the returns into 3 segements of attribution - Sector Allocation, Security Selection and excess (allocation interaction)

Question 3

WHat is the formula for sector allocation in attribution analysis

Answer 3

Weight Portfolio - Weight BM TIMES Return BM of that sector - Return of total BM

Question 4

WHat is the formula for security allocation in attribution analysis

Answer 4

It is Weight of sector in BM TIMEs ( Return of sector in portfolio - return of sector in BM)

Question 5

The treynor ratio is good for considering -

Answer 5

Systematic Risk

Question 6

The capture ratio formula

Answer 6

Upside capture / downside capture.

Question 7

Name the 8 cognitive biases

Answer 7

Avalibility bias
Conservativism
confirmation
Framing
Illision of control
Mental accounting
Anchoring
Hindsight bias

Question 8

Name the 5 emotional biases

Answer 8

loss aversion
Status Quo
Endowment
Self control
Regreat Aversion