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Search results for 'return'

May 6, 2018

The allocation/selection interaction return (formula)

= (Portfolio weight – Benchmark weight) * (Portfolio return – Benchmark return) Returns are within the section allocation. Advertisements

May 6, 2018

Within-sector allocation return (formula)

Within-sector allocation return = Benchmark weight * (Portfolio Return – Benchmark Return) The returns are for the sector allocation.

May 6, 2018

Pure sector allocation return (formula)

Pure Sector Allocation Return = (Portfolio Weight – Benchmark Weight) * (Benchmark Sector Return – Total Benchmark Return)

May 1, 2018

The fund investor benefits from ____ carried interest, ____ preferred return as well as ____ and ____.

The fund investor benefits from lower carried interest, higher preferred return, as well as a clawback provision and escrow.

May 1, 2018

Misfit Active Return

= Manager’s chosen style benchmark return – Investor’s chosen benchmark return High total active return resulting from high misfit active return indicates poor benchmark selection.

April 30, 2018

5 methods to use leverage to increase portfolio returns:

Futures Contracts Swap Agreements Structured financial instruments (CDOs, CMOs, CBOs, CDSs, etc.) Repurchase agreements Securities lending

April 29, 2018

Under GIPS, after January 1st 2010, composites must be calculated by ____ the individual portfolio returns at least ____.

After January 1st 2010, must use asset weighting the individual portfolio returns at least monthly.

April 28, 2018

The highest return per unit of systematic risk is measured by:

The Treynor Measure

April 28, 2018

The incremental return contribution of the investment managers (formula)

Rim = ∑∑ wi * wij * (rAij – rBij) rAij = the return of the jth manager’s portfolio within asset category i rBij = the return of the jth manager’s benchmark in asset category i wi = policy weight assigned to the ith category wij = policy weight assigned to the jth manager in […]

April 28, 2018

Incremental return contribution of the asset category (benchmark) investment strategy [Formula]

Rac = ∑wi * (Rci – Rf) Rci = the return on the ith asset category Rf = risk-free rate A = the number of asset categories