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  #11  
Old 02-24-2018, 03:19 AM
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Quote:
Originally Posted by LunchBox View Post
The prompt specifically says to use "available risk/return metrics". I'm glad but kind of surprised introducing a metric other than what was listed/available worked.

I failed though.
You can use the available metrics to create a reasonable risk/return metric
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  #12  
Old 02-24-2018, 07:32 AM
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This is really good stuff. Thanks for sharing. I hope there were some ppl sharing this back to the time I was in the first attempt.

P.S. Submitted on 20/2, not sure if I will get a pass or not
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  #13  
Old 02-24-2018, 07:54 PM
arto83 arto83 is offline
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I mentioned and used coefficient of variation within each spread I picked, however I did not identify tidy it as the primary risk return metric. I think I gave a few different ones.
Also, the first question in the task implies they give you risk/return metrics, doesnt it?
I listed every of the ten metrics and explained what they were and how they could/could not be used to determine an answer. Did you guys do this?

in part 2 i used 2 CTE values as the primary metrics but i also said i looked at CV and i made up a ratio - max/CTE.
Should i have just used a single metric as the driver? Just take something with midrange CV and that's it?

Hmmm...i see that in part 2 of this i described how i picked my tax rate and what metric i used for that.
In part 4 i just wrote how much the rate is.
Could this be part of the reason I DNMMR'd? I didn't answer the question in the appropriate locations?
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Last edited by arto83; 02-24-2018 at 08:01 PM..
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  #14  
Old 02-24-2018, 09:32 PM
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Sir Isaac, Can you share what your riak/return metric was or is that's not allowed?
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  #15  
Old 02-24-2018, 09:44 PM
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I am confused about risk/return .

We should use the metrics provided (mean, standard deviation, CTE,...)

Or

use these metrics provided to construct other risk/risk metrics such as:
Maximize Sharpe ratio = mean/standard deviation and Minimize CTE/VaR

?
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  #16  
Old 02-24-2018, 09:45 PM
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Quote:
Originally Posted by arto83 View Post
Sir Isaac, Can you share what your riak/return metric was or is that's not allowed?
i think that's allowed.
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  #17  
Old 02-24-2018, 10:05 PM
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Quote:
Originally Posted by arto83 View Post
Sir Isaac, Can you share what your riak/return metric was or is that's not allowed?

I personally used mean/cte
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  #18  
Old 02-24-2018, 10:06 PM
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Quote:
Originally Posted by tito87 View Post
I am confused about risk/return .

We should use the metrics provided (mean, standard deviation, CTE,...)

Or

use these metrics provided to construct other risk/risk metrics such as:
Maximize Sharpe ratio = mean/standard deviation and Minimize CTE/VaR

?
Yes I believe you should use them to construct a risk/return merric

Last edited by Sir Issac; 02-24-2018 at 10:38 PM..
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  #19  
Old 02-24-2018, 10:15 PM
arto83 arto83 is offline
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Quote:
Originally Posted by Sir Issac View Post
I personally used mean/cte
I assume you made that up right?
What were you looking for? Closest to one means less volatility?
Was this something new you added for your retake? Or you used it in original. Submission?
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...understands the ending of 2001: A Space Odyssey.
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...is a stunt double for Optimus Prime.
...can dribble a football.
...can sneeze with his eyes open.
...CAN lick his elbow.
...can judge a book by its cover.
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  #20  
Old 02-24-2018, 10:40 PM
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Quote:
Originally Posted by arto83 View Post
I assume you made that up right?
What were you looking for? Closest to one means less volatility?
Was this something new you added for your retake? Or you used it in original. Submission?
Original submission I only used mean, cte and var as risk/return metrics and said minimize all but like I said in my post they are not really a risk/return metric. And I suggested minimizing the mean/cte in my second

Basically if two portfolios have a similar cte the one with the lower mean has better risk/return tradeoff
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