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View Poll Results: Did you use Sharpe Ratio?
I used Sharpe Ratio and MMR 13 20.00%
I used Sharpe Ratio and DNMMR 5 7.69%
I did not use Sharpe Ratio but I can't resist voting in every poll i see!! 47 72.31%
Voters: 65. You may not vote on this poll

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  #1  
Old 03-27-2018, 05:59 AM
arto83 arto83 is offline
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Default Sharpe ratio

I used sharpe ratio and dnmmr. I still really like it and think maybe I didn't explain it enough,howevee I haven't seen many reports of dnmmr when explicitly using sharpe ratio. Figured a poll may help me get an idea about this.
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  #2  
Old 03-27-2018, 08:50 AM
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Sir Issac Sir Issac is offline
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I’m also interested in hearing the results of people who used the sharpe ratio as a risk/return metric.

I’d be suprised if you failed task 2 just because of one thing. So lll ask you a few questions

For task 2:

Did you discuss the pros and cons of each metric separately that was on the spreadsheet?

Did you provide an investment recommendation that is in the same format as the sample investment recommendation in the question?

To go along with the previous question, did you recommend investment allocation for each market scenario? (Target, adverse and optimistic) and justify what needs to be different in adverse and optimistic and why?

Did you explain why you’re using your selected risk/return metric? I.e explain how it’s going to measure risk/return tradeoff?
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  #3  
Old 03-27-2018, 09:02 AM
arto83 arto83 is offline
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Quote:
Originally Posted by Sir Issac View Post
Iím also interested in hearing the results of people who used the sharpe ratio as a risk/return metric.

Iíd be suprised if you failed task 2 just because of one thing. So lll ask you a few questions

For task 2:

Did you discuss the pros and cons of each metric separately that was on the spreadsheet?

Did you provide an investment recommendation that is in the same format as the sample investment recommendation in the question?

To go along with the previous question, did you recommend investment allocation for each market scenario? (Target, adverse and optimistic) and justify what needs to be different in adverse and optimistic and why?

Did you explain why youíre using your selected risk/return metric? I.e explain how itís going to measure risk/return tradeoff?
I think your last question i was somewhat short on. I didn't really go into detail on how the numerator in fact clealry measures return and once i have that how it relates using the denominator for risk and based on that what the overall number reflects.

I also didn't really explain much about adverse/optimistic other than saying adverse needs less equities as the risk and volatility in an adverse market are quite a bit higher than in a target market. As such the fund can't afford...blah blah blah.. I only had a sentence or two on adverse and same for optimistic. They were basically reciprocals of each other
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  #4  
Old 03-27-2018, 09:06 AM
arto83 arto83 is offline
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I also probably can go into a little bit more detail on the 5 categories of risk metrics (mean, Max/min, SD, VaR and CTE). I also added a 6th category of a combination metric, i.e. sharpe ratio
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...really DOES find gold when he picks his nose.
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...can dribble a football.
...can sneeze with his eyes open.
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...can judge a book by its cover.
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  #5  
Old 03-27-2018, 10:35 AM
arto83 arto83 is offline
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glad to see even one person used it and MMRd. To the one person who used it - were you're equities set high or were they low?
I ended up with over 50% when I DNMMRd
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...lost both his legs in a car accident....and still managed to walk it off.
...understands the ending of 2001: A Space Odyssey.
...really DOES find gold when he picks his nose.
...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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  #6  
Old 03-27-2018, 10:39 AM
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Quote:
Originally Posted by arto83 View Post
glad to see even one person used it and MMRd. To the one person who used it - were you're equities set high or were they low?
I ended up with over 50% when I DNMMRd
*your

Equities % was pretty low in my portfolio.
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  #7  
Old 03-27-2018, 10:42 AM
arto83 arto83 is offline
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Quote:
Originally Posted by Alaska View Post
*your

Equities % was pretty low in my portfolio.
As a result of the ratio or based on a predetermined maximum allocation? Did you set a minimum treasury?
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...lost both his legs in a car accident....and still managed to walk it off.
...understands the ending of 2001: A Space Odyssey.
...really DOES find gold when he picks his nose.
...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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  #8  
Old 03-27-2018, 10:50 AM
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ao fan ao fan is offline
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Quote:
Originally Posted by arto83 View Post
I think your last question i was somewhat short on. I didn't really go into detail on how the numerator in fact clealry measures return and once i have that how it relates using the denominator for risk and based on that what the overall number reflects.

I also didn't really explain much about adverse/optimistic other than saying adverse needs less equities as the risk and volatility in an adverse market are quite a bit higher than in a target market. As such the fund can't afford...blah blah blah.. I only had a sentence or two on adverse and same for optimistic. They were basically reciprocals of each other
I think these are good questions. I think I did an okay job with all of them.

I keep saying this, but think that Sharpe ratio or whatever you choose is just fine as long as you do also write all the things in sir Issaac's post. Really think this is more of a writing assignment than anything
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  #9  
Old 03-27-2018, 01:15 PM
sungx88 sungx88 is offline
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Quote:
Originally Posted by ao fan View Post
Really think this is more of a writing assignment than anything


FA is mostly about answering everything they are asking for while making sense. there's no one right mathematical/logical answer. no need to overthink one question at the expense of answering another clearly (even within the same task).
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  #10  
Old 03-27-2018, 03:17 PM
AquaticNinja AquaticNinja is offline
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Quote:
Originally Posted by Sir Issac View Post
Iím also interested in hearing the results of people who used the sharpe ratio as a risk/return metric.

Iíd be suprised if you failed task 2 just because of one thing. So lll ask you a few questions

For task 2:

Did you discuss the pros and cons of each metric separately that was on the spreadsheet?

Did you provide an investment recommendation that is in the same format as the sample investment recommendation in the question?

To go along with the previous question, did you recommend investment allocation for each market scenario? (Target, adverse and optimistic) and justify what needs to be different in adverse and optimistic and why?

Did you explain why youíre using your selected risk/return metric? I.e explain how itís going to measure risk/return tradeoff?
I used the Sharpe Ratio and MMR'd. In response to your questions:

Yes I discussed both pros and cons of each metric separately (but combined the different levels of VaR and CTE).

I provided an investment recommendation that is in the same format as the sample in the question.

I gave an exact asset allocation for the target scenario, and ranges for the adverse and optimistic scenarios. I justified why the allocations needed to be changed in the adverse/optimistic scenarios, and which direction they should move, up/down to the range limits I defined.

I did explain my risk/return metric in detail, and how it was chosen/justified in direct response to the requirements and objectives.

Quote:
Originally Posted by arto83 View Post
glad to see even one person used it and MMRd. To the one person who used it - were you're equities set high or were they low?
I ended up with over 50% when I DNMMRd
My equities allocation was high given the limit I set for it, but my upper limit was lower than 50%. I did provide justification for the asset allocation limits I set. I don't think just having a high equities allocation is the main reason your task 2 needed improvement. Good luck, take down this beast!
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