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  #241  
Old 06-03-2019, 01:15 PM
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Sophia Petrillo Sophia Petrillo is offline
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Originally Posted by Whoaminoneofyourbusiness View Post
Are we certain that "risk/return metric" is actually a ratio or are we just basing this off of that powerpoint from the CAS? They could just mean "risk and return" metrics unless the modules state otherwise, which I haven't been able to find a case of. Otherwise I don't see how it's super clear we need to use a ratio.

If we do use a ratio are we sensitivity testing that ratio compared to the metrics in the spreadsheet? I also had difficulty doing this.
I used a ratio because I thought I could back up my stance better with it. I agree that I'm not entirely sure that they are looking for a ratio. I'm not sure what they are looking for though.
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  #242  
Old 06-03-2019, 02:35 PM
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Originally Posted by mushibug View Post
I just MMR'd and I didn't use any ratios (e.g. Sharpe). I just used I couple of the metrics they list on the spreadsheet as is without transforming the metric or combining it or anything. There's obviously a wide range of reasonable choices. People are way overthinking this one I'd guess.
I didn't use a ratio either. Just used a few of the given metrics and widely different portfolios and narrowed it down to the best portfolio based on the metrics.
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  #243  
Old 06-27-2019, 05:32 PM
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Hi guys,

I have managed to confuse myself so I need your help!

What does the mean in each portfolio tell us exactly? Does it tell us the average amount the portfolio may return? Or does it tell us the average amount the taxpayers would have to make under that portfolio? In the first case we would want the mean to be higher and in the second case we would want it to be low.

Thank you for your help!
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  #244  
Old 09-09-2019, 07:01 PM
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Wish I never read this thread because it's very misleading. The focus shouldn't be on the definition of "risk/return metrics", but on the context of the task, which is clearly stated in the task's instruction.
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  #245  
Old 09-09-2019, 07:12 PM
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Wish I never read this thread because it's very misleading. The focus shouldn't be on the definition of "risk/return metrics", but on the context of the task, which is clearly stated in the task's instruction.
Agreed. I almost feel like the majority of people that self-report DNMMR here are dinged on task 2/5, and I'm guessing the large majority of those are due to reading and copying things seen in this (and similar) threads.

Just read the task and answer it how you normally would, you'll probably be better off than if you were to read through these.
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  #246  
Old 09-12-2019, 05:27 PM
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Originally Posted by mushibug View Post
I just MMR'd and I didn't use any ratios (e.g. Sharpe). I just used I couple of the metrics they list on the spreadsheet as is without transforming the metric or combining it or anything. There's obviously a wide range of reasonable choices. People are way overthinking this one I'd guess.
Thank you!
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  #247  
Old 09-18-2019, 12:26 PM
andrew.meier22 andrew.meier22 is offline
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What did you guys do to limit the amount of scenarios you are running? I see a lot of people saying they just set arbitrary caps for one of the buckets. I attempted to do that (even gave an explanation to why I was setting these caps) yet in my feedback they said thereís no reason to set these caps ignore you are using a good risk/return metric because the metric should find these caps for you. If I donít set a cap Iíd Ben running hundreds of scenarios. As it is I already used like 80.
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  #248  
Old 09-18-2019, 01:06 PM
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I MMR'ed and didn't use a ratio or other formula as a metric. I just put a reasonable cap / floor on certain asset classes or risk metrics (based on the fund objectives), and for what combinations remained, found the best trade-off between low risk and high reward. Then justify everything you did. I think that is all the question is asking for when it wants your "requirements".
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  #249  
Old 09-18-2019, 04:31 PM
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Originally Posted by andrew.meier22 View Post
What did you guys do to limit the amount of scenarios you are running? I see a lot of people saying they just set arbitrary caps for one of the buckets. I attempted to do that (even gave an explanation to why I was setting these caps) yet in my feedback they said thereís no reason to set these caps ignore you are using a good risk/return metric because the metric should find these caps for you. If I donít set a cap Iíd Ben running hundreds of scenarios. As it is I already used like 80.
I've read through a few threads and it seems like people are able to MMR with very different approaches as long as they are able to communicate their reasoning clearly.

Personally, I set a floor on the percent allocated to any individual class (attempting to emphasize diversification) & then a cap on specific classes - probably similar to what you did in your initial attempt. I then created a metric and tested 8-10 asset mixes, each of which met my criteria, and picked the one that maximized my metric. This was sufficient for an MMR.

Generally, I think people are getting too tied up in the metric creation which is diverting attention away from the logic/reasoning portion of the task. I'd focus more on refining your explanation instead of worrying about the analytical approach to your submission.
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  #250  
Old 09-18-2019, 04:44 PM
ARodOmaha ARodOmaha is offline
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Originally Posted by TinyTim7 View Post
I MMR'ed and didn't use a ratio or other formula as a metric. I just put a reasonable cap / floor on certain asset classes or risk metrics (based on the fund objectives), and for what combinations remained, found the best trade-off between low risk and high reward. Then justify everything you did. I think that is all the question is asking for when it wants your "requirements".
I used the modified Sharpe ratio in my first attempt, and CTE(90) in my second attempt, failing both. I hear what you guys are saying about using common sense and using the metrics as guides. But then how would you approach the sensitivity tests? It says to use the same risk/returns metrics. Do you have re-analyze every possible scenario in order to get the sensitivity? It would seem clearer with a formula approach like I was using.
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