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View Poll Results: Did you use Sharpe Ratio?
I used Sharpe Ratio and MMR 13 19.40%
I used Sharpe Ratio and DNMMR 5 7.46%
I did not use Sharpe Ratio but I can't resist voting in every poll i see!! 49 73.13%
Voters: 67. You may not vote on this poll

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  #21  
Old 03-29-2018, 07:12 AM
arto83 arto83 is offline
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I think they had a target mix, with specific numbers and then an optimistic market mix and an adverse market mix with justifications for both, though not necessarily related to the metrics, but just a logical explanation.
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  #22  
Old 03-29-2018, 08:17 AM
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Quote:
Originally Posted by BlueberryTea View Post
Hi Sir Issac and AquaticNinja,

If your optimal asset mix is the optimistic market mix, wouldn't your investment policy table have both optimal asset mix and optimistic market mix identical and duplicating each other? Did you reduce 5 columns to 4?

After accepting the optimistic market mix as the optimal asset mix, do your adverse market target and optimistic market target remain the same as the sample investment policy's? Did you come up with a new adverse market target and optimistic market?

Thank you so much!
My optimistic wasnít my optimal. My target mix was the optimal. The target mix had equity allocations that are between the adverse and optimistic (since
Iím assuming the current market is neither optimistic nor adverse)
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  #23  
Old 03-29-2018, 09:09 AM
mvlkaraan mvlkaraan is offline
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I used Sharpe ratio on my first take and got a DNMMR. Not sure if it's because of the ratio but I got most tasks need improvement. After discussing with some colleagues, I opted not to use Sharpe ratio on my second take. Still waiting for it to be graded.
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  #24  
Old 03-29-2018, 04:29 PM
BlueberryTea BlueberryTea is offline
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Quote:
Originally Posted by Sir Issac View Post
My optimistic wasnít my optimal. My target mix was the optimal. The target mix had equity allocations that are between the adverse and optimistic (since
Iím assuming the current market is neither optimistic nor adverse)
Did you adjust the adverse market target and the optimistic market target from the sample plan to be something different in your new plan? Or are they identical to the sample plan's?

You mentioned that you have 25% for equities before but the sample plan's range for equities is 0%-20%. Does that mean you adjusted the upper bound?

From the Sharpe Ratio approach, does the explanation of the higher the ratio, the lower the cost without taking on additional standard deviations sound okay?

Thank you so much!
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  #25  
Old 03-29-2018, 05:34 PM
arto83 arto83 is offline
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Quote:
Originally Posted by BlueberryTea View Post
Did you adjust the adverse market target and the optimistic market target from the sample plan to be something different in your new plan? Or are they identical to the sample plan's?

You mentioned that you have 25% for equities before but the sample plan's range for equities is 0%-20%. Does that mean you adjusted the upper bound?

From the Sharpe Ratio approach, does the explanation of the higher the ratio, the lower the cost without taking on additional standard deviations sound okay?

Thank you so much!
The sample policy is just for formatting purposes. They are not giving you guidelines on ANY of the asset allocations.
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...really DOES find gold when he picks his nose.
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...can sneeze with his eyes open.
...CAN lick his elbow.
...can judge a book by its cover.
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  #26  
Old 03-29-2018, 05:37 PM
BlueberryTea BlueberryTea is offline
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Quote:
Originally Posted by arto83 View Post
The sample policy is just for formatting purposes. They are not giving you guidelines on ANY of the asset allocations.
Then, how do you decide the range for your asset mix if you don't use the range provided in the sample plan?
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  #27  
Old 03-29-2018, 05:54 PM
arto83 arto83 is offline
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Quote:
Originally Posted by BlueberryTea View Post
Then, how do you decide the range for your asset mix if you don't use the range provided in the sample plan?
That's exactly what question 3 of task 2 is asking.
Use whatever risk metric you picked to make that decision. run imulations, add mixes, examine the results, set caps or floors on assets if necessary (and justify) and then make a pick.
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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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  #28  
Old 03-29-2018, 06:04 PM
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Quote:
Originally Posted by arto83 View Post
That's exactly what question 3 of task 2 is asking.
Use whatever risk metric you picked to make that decision. run imulations, add mixes, examine the results, set caps or floors on assets if necessary (and justify) and then make a pick.
Yup. The numbers in the sample are just for demonstration purposes and should not influence what recommendations we come up with.
When I mentioned it was merely mentioning the format
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  #29  
Old 03-29-2018, 09:29 PM
BlueberryTea BlueberryTea is offline
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Quote:
Originally Posted by arto83 View Post
That's exactly what question 3 of task 2 is asking.
Use whatever risk metric you picked to make that decision. run imulations, add mixes, examine the results, set caps or floors on assets if necessary (and justify) and then make a pick.
Got it. I set caps and floors on assets. When the economy is doing well, I can afford to take more risk; when the economy doesn't doesn't do well, I take less risk. And then I landed something in between the two market conditions for my mix using Sharpe Ratios for an economy that doesn't do too well or too poorly. The Sharpe Ratio value for the optimistic is highest, then the one in the middle is for my target and the one for adverse is lowest.

THANK YOU SO MUCH FOR SAVING ME.
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  #30  
Old 03-29-2018, 09:30 PM
BlueberryTea BlueberryTea is offline
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Quote:
Originally Posted by Sir Issac View Post
Yup. The numbers in the sample are just for demonstration purposes and should not influence what recommendations we come up with.
When I mentioned it was merely mentioning the format
Got it. I set caps and floors on assets. When the economy is doing well, I can afford to take more risk; when the economy doesn't doesn't do well, I take less risk. And then I landed something in between the two market conditions for my mix using Sharpe Ratios for an economy that doesn't do too well or too poorly. The Sharpe Ratio value for the optimistic is highest, then the one in the middle is for my target and the one for adverse is lowest.

THANK YOU SO MUCH FOR SAVING ME.
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