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Portfolio Management > R35: Performance Evaluation > Flashcards

R35: Performance Evaluation Flashcards

1
Q

What are the components of the carhart model?

A

Market, size, value, momentum

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2
Q

Ways for FI attribution?

A 
Exposure decomposition (duration based)
YC decomposition (duration based)
YC decomposition (full repricing)
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3
Q

What’s SAMURAI?

A 
Specified
Appropriate
Measurable
Unambiguous
Representative 
Accountable
Investable
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4
Q

Treynor ratio? Appraisal ratio? Sortino ratio?

A

See notes

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Portfolio Management (4 decks)

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