PM

Question 1

Holding period costs

Answer 1

HPC = (annual mngt fee* m/12)+ trading commissions + bid-offer spread

Question 2

Standardized beta

Answer 2

B = (value attribution-average value) / variance

Asset sensitivity to a factor

Question 3

Information Ratio

Answer 3

IR = Rp - Rb/ sigma(Rp- Rb)

Question 4

5% daily Var

Answer 4

= expected return - (1,65*sigma) *€

1% –> 2,33

Question 5

Sharpe ratio

Answer 5

Rp-Rf/ sigma p

Question 6

Basic Fundamental Law

Answer 6

E = IC WORTEL(BRsigma a)

Question 7

Sigma ^2

Answer 7

= Wa^2*sigma a^2+zelfde b + 2WaWbCovab

Question 8

Information Coefficient

Answer 8

IC = 2(%correct) -1

Question 9

Information Ratio

Answer 9

IR = TC*IC₩BR

IR = (Rp-Rb)/sigma(Rp-Rb)

Question 10

Value added security selection

Answer 10

SOM(Pweight * (Rp-Rb)

Question 11

Value added asset allocation

Answer 11

SOM ((Weight asset allocatiin - Weight SAA)*Rb)

Question 12

Effective bid-ask spread

Answer 12

2*(trade price- mid point price)

Question 13

Expected loss

Answer 13

Prob default * (1-rec rate)

Question 14

Premium for inflation

Answer 14

Pi= CF_t-1/Pt - (1+rf+ exp inflation)

Question 15

Break even inflation rate

Answer 15

BEI = exp inflation + risk premium uncertainty

Question 16

Earnings yield

Answer 16

EPS/P

Question 17

Implied risk premium

Answer 17

(Face vaue/ P)/ (1+Rf+exp inflation+premium uncertainty)