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  #211  
Old 03-27-2018, 12:43 PM
davesned29 davesned29 is offline
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the first question addresses dealign with 100% equities. Once i pick either a maximum or a specific equity allocation, i generally still find the best option has no treasuries at all, i.e. if i say 20% is a good equity number then the smallest mean/cte is with no treasuries and 80% bonds.
If i pick 50% equities, then the lowest mean/cte is no treasuries and 50% bonds.
I arbitrarily set a min Treasuries and also a min (total fixed securities). Not surprisingly, that led to an asset mix of min Treasuries, balance of min total fixed Bonds, and the max possible Equities. Justified that by tying my ideas to what I read in UAP.
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  #212  
Old 03-27-2018, 12:52 PM
arto83 arto83 is offline
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I arbitrarily set a min Treasuries and also a min (total fixed securities). Not surprisingly, that led to an asset mix of min Treasuries, balance of min total fixed Bonds, and the max possible Equities. Justified that by tying my ideas to what I read in UAP.
thanks. what risk/return metric did you use?
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  #213  
Old 03-27-2018, 02:23 PM
sungx88 sungx88 is offline
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Originally Posted by davesned29 View Post
I arbitrarily set a min Treasuries and also a min (total fixed securities). Not surprisingly, that led to an asset mix of min Treasuries, balance of min total fixed Bonds, and the max possible Equities. Justified that by tying my ideas to what I read in UAP.
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Originally Posted by arto83 View Post
thanks. what risk/return metric did you use?
i followed a similar approach where i arbitrarily set an equity %. i set a low % since it's a risky asset. then i just ran scenarios seesawing the other two assets (and the fixed equity %) until i liked the numbers. i lucked out where i was able to find a balance that minimized CTE.

i realized that as long as you use some logical/common sense reasoning, arbitrary numbers are acceptable. you don't need to justify every single number with another number. once you realize that, the whole assessment becomes a bit easier.

i used mean, coefficient of variation, and CTE. i reasoned that those three parameters cover all bases (average expected contribution amount, amount of deviation, and amount at highly adverse situations)
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  #214  
Old 03-29-2018, 10:21 AM
davesned29 davesned29 is offline
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thanks. what risk/return metric did you use?
I used the Sharpe Ratio, as outlined earlier in this thread. Then I used CTE(75) as a risk metric.

Oh, but I didn't call it a "Sharpe Ratio". That's where the ideology was derived from, but it's a little modified. Not that that would necessarily matter, but it might rub a grader the wrong way if they are already familiar with Sharpe.
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  #215  
Old 07-01-2018, 11:51 PM
AyeVeeTX AyeVeeTX is offline
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For the pros and cons of the available risk metrics, are we to provide them with general pros and cons for each metric, or how these metrics have pros/cons specifically pertaining to the cost per employed person. I think I may have been too general in my first attempt, and wanted to see if anyone had insight on this.

I failed this task (and 5, but I think I can fix that one). How did you all outline number 2 for task 2, the risk/return requirements? Is this where you introduced the risk/return metric? It doesn't explicitly say in the directions to provide a risk/return metric. Also in part 3, they mention risk and return statistics and risk metrics. That is really confusing to me. What is the difference between a risk statistics and risk metric?

Also, after providing the final taxed contribution based on the optimal mix of assets, I just put my answer in once sentence, and that's it (which answers their question), but didn't provided anything else after that. Any suggestions?

Thanks
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  #216  
Old 07-02-2018, 06:13 PM
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IIRC, I talked about the various pros/cons at a mostly general level but under the scope of analyzing portfolios returns. I tried to be very clear on identifying the metrics as risk metrics or return metrics in that section. I also introduced my risk/return metric in this section and talked about how it worked+pros/cons.

The second part was all about the semi-arbitrary requirements set on the portfolio to help guide to the optimal mix while tying each requirement back to the CDEF objectives. Of which, the introduced risk/return metric from the first section is used.

normal disclaimer for FA, while I MMR'd, I could have failed task 2 and still passed overall so always take with heavy grain of salt/not much dependence.
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  #217  
Old 07-02-2018, 06:45 PM
AyeVeeTX AyeVeeTX is offline
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Thank you, this was very helpful. Was the risk/return metric you used as one of the requirements, or was it more so to support your optimal asset allocation, then you tied the asset allocation back to the CDEF objectives?


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IIRC, I talked about the various pros/cons at a mostly general level but under the scope of analyzing portfolios returns. I tried to be very clear on identifying the metrics as risk metrics or return metrics in that section. I also introduced my risk/return metric in this section and talked about how it worked+pros/cons.

The second part was all about the semi-arbitrary requirements set on the portfolio to help guide to the optimal mix while tying each requirement back to the CDEF objectives. Of which, the introduced risk/return metric from the first section is used.

normal disclaimer for FA, while I MMR'd, I could have failed task 2 and still passed overall so always take with heavy grain of salt/not much dependence.
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  #218  
Old 07-02-2018, 08:24 PM
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Thank you, this was very helpful. Was the risk/return metric you used as one of the requirements, or was it more so to support your optimal asset allocation, then you tied the asset allocation back to the CDEF objectives?
Not really following you here too well.

I think it is yes to both your questions. Yes, I listed my created risk/return metric as a requirement saying we want to max/min (depending on what metric you used) the metric. Then stating the obvious with regards to the CDEF objectives why we want to do this.

Basically I had some rather arbitrary requirements which narrowed down the scope of what asset allocations I could consider based off/inferring from the CDEF objectives. Then used my risk/return metric to select the optimal from the now limited cases. Part of it felt like I was backwards from the answer to the justification which was frustrating as it feels sorta BSy. Like I knew what I wanted my optimal to be somewhat early on after testing, but then had to design reasonable requirements in order for that allocation mix to actually be the best.
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  #219  
Old 07-02-2018, 10:13 PM
AyeVeeTX AyeVeeTX is offline
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I think setting the risk and return requirements AFTER we conduct our analysis using the spreadsheet was throwing me off. I was hesitant to set a requirement for CTE, Var, Mean, etc. in part 2 (I'm only picking one for the risk, and one for the return metrics) before I played around with the asset allocation which I did in part 3(and this does seem very BSy). Thanks for your response. I think I am going to try and just pick something, and justify it to the best of my ability, and cross my fingers.


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Originally Posted by dancran1220 View Post
Not really following you here too well.

I think it is yes to both your questions. Yes, I listed my created risk/return metric as a requirement saying we want to max/min (depending on what metric you used) the metric. Then stating the obvious with regards to the CDEF objectives why we want to do this.

Basically I had some rather arbitrary requirements which narrowed down the scope of what asset allocations I could consider based off/inferring from the CDEF objectives. Then used my risk/return metric to select the optimal from the now limited cases. Part of it felt like I was backwards from the answer to the justification which was frustrating as it feels sorta BSy. Like I knew what I wanted my optimal to be somewhat early on after testing, but then had to design reasonable requirements in order for that allocation mix to actually be the best.

Last edited by AyeVeeTX; 07-02-2018 at 10:24 PM..
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  #220  
Old 07-28-2018, 11:49 AM
ActuaryFromMTL ActuaryFromMTL is offline
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Hey guys, one of the metrics that I chose to help me pick a portfolio mix is the mean. How do you guys justify the requirement for it?

For now, I wrote something like "As a return metric, we choose the mean because it is easy to compute and to understand and [INSERT CDEF OBJECTIVE HERE]. The requirement for this metric is to be below 790 as this is just over the mean of the Optimistic Market Target."

Is this enough? I can't think of anything else to justify the requirement. Also, I think they might have given us that table to help us choose these requirements but not 100% sure.

What do you guys think?
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