标题: why are these 2 correct? [打印本页] 作者: Colum 时间: 2011-7-13 16:57
1) because two portfolios can have different maturity structure (i.e. bullet vs. barbell) and interest rates volatilities are different at different maturity.
2)underperformance is calculated using risk adjusted return. If a portfolio has low beta, and it earns less than FTSE, it is not underperformance.作者: Carson 时间: 2011-7-13 16:57 标题: why are these 2 correct?
1) 2 fixed income portfolio could have identical durations and substantially different VAR
2) beta does not measure the potential underperformance of our equity portfolio compared with FTSE all share index作者: Chuckrox 时间: 2011-7-13 16:57
They could also be from different sectors e.g the way mortgage securities will react to interest rate change will be different from the way a putable call option will react = different VAR.作者: lcw77 时间: 2011-7-13 16:57
maisatomai Wrote:
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> 1) 2 fixed income portfolio could have identical
> durations and substantially different VAR
> 2) beta does not measure the potential
> underperformance of our equity portfolio compared
> with FTSE all share index
Duration only measures interest rate risk. The portfolios could exhibit the same duration but have drastically different credit quality which would result in different VAR measures.作者: canadiananalyst 时间: 2011-7-13 16:57
For #2, also beta is a historical measure and thus is not a measure of potential (forward-looking) under or outperformance. Past performance is no guarantee of future results.作者: Windjam 时间: 2011-7-13 16:57
It is debatable if VAR can be even used in asymmetric strategies ( i.e. with embedded options). VAR depends on the returns being normally distributed
