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View Poll Results: Did you use VaR for the contribution requirement?
I used VaR and MMR 6 16.22%
I used VaR and DNMMR 1 2.70%
I did not use VaR 30 81.08%
Voters: 37. You may not vote on this poll

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  #1  
Old 02-13-2018, 11:59 PM
arto83 arto83 is offline
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Default VaR as Metric for CDEF

I am saying many conflicting reports on using or not using VaR to determine the tax/contribution. Just wondering what people actually did.
If you used it, did you reference CTE in your justification or explain why you picked VaR over CTE? Did you use some other metric entirely?
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Old 02-14-2018, 12:05 AM
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i think you can use whatever you want as long as you can justify it.

i didn't use VAR, but if you can justify it, go for it.
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Old 02-14-2018, 01:40 AM
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This poll is misleading. It's not a use VaR only or use CTE only choice. You need to understand what the two are and what they mean, and how to use them as a return metric, and how to use them to measure risk. They're related and I used them both and MMRed first try. It's more about explaining than what you pick.
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Old 02-14-2018, 08:07 AM
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Quote:
Originally Posted by etllag View Post
This poll is misleading. It's not a use VaR only or use CTE only choice. You need to understand what the two are and what they mean, and how to use them as a return metric, and how to use them to measure risk. They're related and I used them both and MMRed first try. It's more about explaining than what you pick.
Yep i get that, but i feel like i read a lot where people may have used VaR and justified by mentioning how CTE played into it and DNMMRd. Perhaps i am misrememberign and those folk basically used VaR without mentioning any other statistic or why they only used VaR

I feel like using any CTE measurement for the tax is giving very heavy weight to the tail and basically saying that i am very concerned that the portfolio will in fact perform as bad as the average of the worst 25%/10%/5% of simulations. Is this not too conservative? On the other hand, perhaps justification of this saying that the goal is to be fully funded and going so conservative allows for more aggression in the stock pick.
I can't get past the fact that CTE simply puts that much more burden on the taxpayer. perhaps too much? Is my logic off here?
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Chuck Norris...
...is allowed to talk about Fight Club.
...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.

Last edited by arto83; 02-14-2018 at 08:10 AM..
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Old 02-14-2018, 08:26 AM
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You pick one, but you have to justify every choice and non-choice.
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Old 02-14-2018, 08:28 AM
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Quote:
Originally Posted by arto83 View Post
Yep i get that, but i feel like i read a lot where people may have used VaR and justified by mentioning how CTE played into it and DNMMRd. Perhaps i am misrememberign and those folk basically used VaR without mentioning any other statistic or why they only used VaR

I feel like using any CTE measurement for the tax is giving very heavy weight to the tail and basically saying that i am very concerned that the portfolio will in fact perform as bad as the average of the worst 25%/10%/5% of simulations. Is this not too conservative? On the other hand, perhaps justification of this saying that the goal is to be fully funded and going so conservative allows for more aggression in the stock pick.
I can't get past the fact that CTE simply puts that much more burden on the taxpayer. perhaps too much? Is my logic off here?
You need to pick both an asset mix and set the tax rate. Cte might be too conservative for the tax rate depending on your view, but still be useful for setting the asset mix.
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Old 02-14-2018, 08:29 AM
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Quote:
Originally Posted by ao fan View Post
You need to pick both an asset mix and set the tax rate. Cte might be too conservative for the tax rate depending on your view, but still be useful for setting the asset mix.
thats exactly what i was thinking. I love it for the asset mix, not so much for actual tax
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...is allowed to talk about Fight Club.
...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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Old 02-14-2018, 09:28 AM
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i couldn't find anything in the reading to justify using VAR, only reasons not to use it. it wasn't an easy option to go with. I suspect most people were the same. easy to go with the path of least resistance.
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Old 02-14-2018, 10:19 AM
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I used VAR because I thought it made intuitive sense to explain - with this rate we'll meet our obligations X% of the time. I MMR'ed on the first try.

I think you can see here how it really does come down to your justification in the write up because almost everyone who has replied to this thread has a different thought.
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Old 02-14-2018, 10:26 AM
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I used VaR, actually.

I get that everyone is stressed out, and I understand the FA is important - but overthinking this is just making it overly complicated. And overly complicated ideas lead to statements you cannot justify, which leads to failing.

Go with what you can support and justify what you chose and why you didn't choose the other options. This is applicable for almost every question on there.
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