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  #231  
Old 05-10-2019, 09:26 AM
NchooseK NchooseK is offline
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OK, 6 read-throughs of every page of thread and others.

I'm reasonably OK with risk, return, and now risk/return metrics--not great.

I've dealt with CV, VaR, TVaR, coherence, in the past.

And even if I don't pick it, I'm temporarily working with mean/CTE95 (I understand the other side of it, too). Clearly, I'm prioritizing fiscal responsibility--since it is addressed like 3 times by important fictitious people (playing with my $1.2 grand).

So the risk we are using is measure mean/CTE95, which is:

(all tuition paid by fund this year / Entire workforce) / (average the top 50 tuition payers )

What I'm trying to get to is something like [CTE(95)_alltreasury - CTE(95)]/SD, again, even if I don't use it.

Thanks.
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Last edited by NchooseK; 05-10-2019 at 10:11 AM..
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  #232  
Old 05-10-2019, 09:53 AM
jts75 jts75 is offline
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Quote:
Originally Posted by NchooseK View Post
OK, 6 read-throughs of every page of thread and others.

I'm reasonably OK with risk, return, and now risk/return metrics--not great.

I've dealt with CV, VaR, TVaR, coherence, in the past.

And even if I don't pick it, I'm temporarily working with mean/CTE95 (I understand the other side of it, too). Clearly, I'm prioritizing fiscal responsibility--since it is addressed like 3 times by important fictitious people (playing with my $1.2 grand).

So the risk we are using is measure mean/CTE95, which is:

(all tuition paid by fund this year / Entire yearly salary of workforce) / (average the top 50 tuition payers )

What I'm trying to get to is something like [CTE(95)_alltreasury - CTE(95)]/SD, again, even if I don't use it.

Thanks.
I passed without using any type of ratio or creation of a new value using a combination of risk/return metrics. As long as you can explain why you are choosing which return and risk metrics and how they help you select your asset portfolio, I believe you will be fine.
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  #233  
Old 05-10-2019, 10:09 AM
NchooseK NchooseK is offline
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Thanks for the reply. My math is off.

So say I use mu/CTE or somethin like that, which obviously works.

What is this (cte100equity - cteequity)/sigma's role?

Mu/CTE(95), I thought, is a risk metric that includes the the highest tax simulations in the numerator--not unlike what CV does at the mean.

Or is this is this a metric of investments?

I wish I had time to sleep--this must get done :/

Thanks.
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  #234  
Old 05-10-2019, 07:31 PM
jkbaicker jkbaicker is offline
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1. For risk/return requirements, did you say "Minimize CTE" or "CTE must be below X". So did you all come up with actual numerical limits for your chosen risk/return measures or did you just say to minimize or maximize them??

2. And if you DID choose numerical limits, how did you come up with them when we aren't necessarily supposed to begin running our scenarios through the model until question 3 of task 2?

3. For the target, adverse and optimistic scenarios, did you choose a different equity limit for each of those scenarios then see-saw the other two assets based on the risk/return requirements you selected?
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  #235  
Old 05-11-2019, 03:10 PM
Vincent1717 Vincent1717 is offline
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Has anyone else chosen the CTE(95) as their CPEP? This seems to be too conservative but it may take a risk minimization stance?
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  #236  
Old 05-11-2019, 03:29 PM
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Quote:
Originally Posted by jkbaicker View Post
1. For risk/return requirements, did you say "Minimize CTE" or "CTE must be below X". So did you all come up with actual numerical limits for your chosen risk/return measures or did you just say to minimize or maximize them??

2. And if you DID choose numerical limits, how did you come up with them when we aren't necessarily supposed to begin running our scenarios through the model until question 3 of task 2?

3. For the target, adverse and optimistic scenarios, did you choose a different equity limit for each of those scenarios then see-saw the other two assets based on the risk/return requirements you selected?
I'm going with "CTE must be below x" and basing it on the simulator results. If your requirement is to minimize, you might not be explicitly giving them requirements. It also might allow you to change things up in adverse/optimistic scenarios without ignoring the requirements.

I said maximize Sharpe ratio for my first two failed attempts and got feedback that that section of the task was pretty bad.
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  #237  
Old 05-11-2019, 03:31 PM
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DrWillKirby DrWillKirby is offline
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Has anyone else chosen the CTE(95) as their CPEP? This seems to be too conservative but it may take a risk minimization stance?
I don't think there's anything wrong with choosing that, if you think that's the price you can justify best for the tax.
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  #238  
Old 05-12-2019, 03:18 PM
Vincent1717 Vincent1717 is offline
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Has anyone discussed the optimistic/adverse market allocations in their memo for number 2? It does not explicitly ask for the entire investment policy, only the "optimal" asset mix (which I took to mean the target asset mix).

I feel as though I would need to add a lot of detail to show how I got to my optimistic/adverse markets which is why I want to exclude it.

But then again, I feel as though it may count against me for it to show up in memo 5 without discussing it anywhere else (since memo 5 is just meant to summarize).
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  #239  
Old 06-02-2019, 06:06 PM
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Whoaminoneofyourbusiness Whoaminoneofyourbusiness is offline
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Are we certain that "risk/return metric" is actually a ratio or are we just basing this off of that powerpoint from the CAS? They could just mean "risk and return" metrics unless the modules state otherwise, which I haven't been able to find a case of. Otherwise I don't see how it's super clear we need to use a ratio.

If we do use a ratio are we sensitivity testing that ratio compared to the metrics in the spreadsheet? I also had difficulty doing this.
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  #240  
Old 06-03-2019, 12:36 AM
mushibug mushibug is offline
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I just MMR'd and I didn't use any ratios (e.g. Sharpe). I just used I couple of the metrics they list on the spreadsheet as is without transforming the metric or combining it or anything. There's obviously a wide range of reasonable choices. People are way overthinking this one I'd guess.
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