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  #191  
Old 03-26-2018, 08:51 AM
davesned29 davesned29 is offline
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FWIW, I MMR'd with 60% Equities.

Like all other things modules, I think it's important to disclose information. Express that you understand that Equities are riskier, but that their expected return in the long run is greater. I feel like the CDEF's liability stream is set at just the right duration, where you could consider it short-term (and push an asset mix toward fixed securities) or you could consider it longer-term (and push an asset mix toward equities). As long as you express that you understand the inherent risks with your particular recommendation, I don't think the recommendation itself should matter all that much, to be honest.
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  #192  
Old 03-26-2018, 08:53 AM
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Originally Posted by tito87 View Post
To get the asset mix, it seems doing these steps :

1) Minimized the return metric ( for example : mean or another metric ))
I got some set of portfolios asset mix
For examples combinaisons selected ( 3, 5, 7, 9)

2) Minimized the risk metric (for example : CTE or another metric ) for these combinaisons selected ( 3, 5, 7, 9) selected in the step 1.

Note : For portfolio with equal CTE , I chose the portfolio with minimum another risk metric ( for example: standard deviation or another risk metric)

Is that ok ?
Yes. For portfolio with same CTE, you can just choose the one with the lower mean. I don’t think you need to bring in another metric
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  #193  
Old 03-26-2018, 09:11 AM
arto83 arto83 is offline
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Originally Posted by davesned29 View Post
FWIW, I MMR'd with 60% Equities.

Like all other things modules, I think it's important to disclose information. Express that you understand that Equities are riskier, but that their expected return in the long run is greater. I feel like the CDEF's liability stream is set at just the right duration, where you could consider it short-term (and push an asset mix toward fixed securities) or you could consider it longer-term (and push an asset mix toward equities). As long as you express that you understand the inherent risks with your particular recommendation, I don't think the recommendation itself should matter all that much, to be honest.
I did wrote that the long term nature and goals allow for more volatility so 55% equities should be ok.
What metric did you use? Did you set a max equity or min treasury/bind?
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  #194  
Old 03-26-2018, 04:17 PM
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Damn. DNMMR. 2 and 4 I thirnk I set a minimum.
When you guys capped equities at say 20% to 30% did you write that the ratio resulted in the maximum value at 100% equities but that is unfeasible due to the requirements of the fund. As such a maximum target of say 30% is more reasonable?


Did you guys set min treasuries? I am seeing best ratio with no treasuries ( i guess since the ratio like most return with all equities. so capping equities means it wants more bonds).
Bump?
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  #195  
Old 03-26-2018, 04:44 PM
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Bump?
I had done it the opposite as Sir Issac. My goal was to maximize mean/cte whereas I think his was to minimize it and we both mmr'd. therefore based on mean/cte, 100% treasuries were the best option for me. I also think you have that mixed up. The maximum value of mean/cte is with 100% treasuries, not 100% equities. having 100% treasuries has it's own issues that don't align with the goals of the CDEF, which I talked about. I did set a specific treasury percent first and then tested various mixes of equities and bonds. I also looked at what the mean and standard deviation produced and aimed to minimize those.
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  #196  
Old 03-26-2018, 05:32 PM
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I had done it the opposite as Sir Issac. My goal was to maximize mean/cte whereas I think his was to minimize it and we both mmr'd. therefore based on mean/cte, 100% treasuries were the best option for me. I also think you have that mixed up. The maximum value of mean/cte is with 100% treasuries, not 100% equities. having 100% treasuries has it's own issues that don't align with the goals of the CDEF, which I talked about. I did set a specific treasury percent first and then tested various mixes of equities and bonds. I also looked at what the mean and standard deviation produced and aimed to minimize those.

Wow...just realized you guys went opposite directions. i had misread the earlier posts.
So, ao_fan, did you set a minimum equity allocation?
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I noticed this too. Andy risk/return metric I used, the highest equity portfolio had the best result
Sir Isaac - did you set a minimum treasury amount as well?
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  #197  
Old 03-26-2018, 05:40 PM
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Originally Posted by arto83 View Post
Wow...just realized you guys went opposite directions. i had misread the earlier posts.
So, ao_fan, did you set a minimum equity allocation?

Sir Isaac - did you set a minimum treasury amount as well?
no, I set a specific treasury allocation and then used the metrics to test a mix of equity and bonds. 100% treasuries isn't the best if you consider all the available metrics, not just that ratio.
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  #198  
Old 03-26-2018, 05:46 PM
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Aha.was your treasury allocation arbitrary and supported by the logic of the goals for the CDEF or supported by a metric?
I think part of the logic in minimizing or maximizing the ratio is if you start with risk or return. Sir Isaac's logic was with identical cte so then you want to minimize the return (ie the cost). If you go the other way by minimizing cost then with 2 identical means, you want the lowest cte, thus maximizing the ratio.
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  #199  
Old 03-26-2018, 05:51 PM
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My treasury choice was arbitrary and supported by the goals of the cdef, otherwise you have 3 moving parts and it was just too much imo
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  #200  
Old 03-26-2018, 05:57 PM
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Originally Posted by ao fan View Post
My treasury choice was arbitrary and supported by the goals of the cdef, otherwise you have 3 moving parts and it was just too much imo
Thanks. I hate to be such a nudge... You mentioned a few minutes ago you also looked at mean and SD and aimed to minimize those. So did you not choose the highest ratio for target? Instead you chose ratios near the top then evaluated how mean and sd played out among this to choose?
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