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发表于 2011-7-13 16:27
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These are some mnemonics I use. I don't know about anyone else, but I find mnemonics to be the best when they are in the form of a saying or a story, and have a prompt as to what the question is inside of the mnemonic.
This may or may not help anyone - I just know it helps me remember things.
[note to moderators: I read over the terms and conditions, if any of this is inappropriate, I apologize and please delete this post. I find some of the mnemonics I remember the best are rather lewd]
For calculating the components of implementation shortfall:
"I 'MISSED the CHANCE' to 'SEE' the 'BOO''BIES"
MTOC = (c - b)/b ...
MTOC = (cancellation - bench)/(bench) * (# not filled)/(# ordered)
"I 'DELAYED' 'ONE DAY to SEE' the 'BOO'BIES'"
Delay Costs = (1day c - b)/b ...
Delay Costs = (1 day close - bench)/(bench) * (#filled)/(#ordered)
"I 'REALIZED my LOSS' when I 'EXECUTED' 'ONE DAY later and SAW' the 'BOOB'"
Realized Loss = (execution - 1 day c)/b
Realized Loss = (execution - 1 day close)/bench * (#filled)/(#ordered)
Types of Common Benchmarks:
For this one, I remember a little saying I made up.
"Society has some COMMON BENCHMARKS for success with women. I have my own CUSTOM: In this UNIVERSE, there are BROADS with true STYLE. ABSOLUTEly, you gotta RETURN those that're just MODELs"
Custom - Custom Benchmark
Universe - Manager Universe
Broads - Broad Market Indices
Style - Style Indices
Absolute - Absolute
Return - Returns Based
Model - Factor Model
4 characteristics of algorithmic trading:
"Algorithms are made by nerds, and nerds have sex with girlfriends. When you have sex with your girlfriend, you're often going through the motions according to SET RULES. It has the potential to turn what's BIG INTO SMALL. Yet it's less RISKy, less EXPENSIVE, and doesn't IMPACT and cause drama in your life"
Automates according to set rules
Breaks big orders into small orders
Minimizes trading cost and risk
Minimizes market impact
Types of Moral Hazard:
Does anyone here follow hockey? For this one, I think of a stereotypical lazy Russian hockey player.
"They don't give enough effort" - Insufficient Effort
"They are a puck hog" - Self Dealing
"They give up the easy play to make the spectacular play" - Investing in Extravagant Projects
"They aren't a team player - make the team adjust to them" - Entrenchment
Types of stress tests:
"I get stressed out when I'm either working as an ANALYST or dating a MODEL. At work, I could deal with the stress by either doing my own STYLE or ACTUALly blow up at everyone. When dating, you can 'PUSH her away - it's a FACT she'll come back', you can GUARD your heart against LOSS, or you can wonder, "what the WORST CASE SCENARIO if I dump her"?
Scenario Analysis
- Stylized Scenarios
- Actual Extreme Events
Stressing Models
- Factor Push
- Max loss optimization
- Worst case scenario
Issues arising from recommending alternative investments:
I live in China, which is an ALTERNATIVE INVESTMENT in human capital. In China, people love CS; but there's also a number of STD that people get from soliciting prostitutes.
In CS (counterstrike) it's important to
Communicate
Suitability (I don't like CS, it's not a suitable game to me)
When soliciting a prostitute, some common troubles are:
Size mismatch
Tax (the money you pay)
Decision (do I really want to do this?)
Communication with Clients
Suitability to Portfolio
Size of Position Needed
Tax Issues
Decision risk
Sources of Excess return in Int'l bond investing:
When Americans go abroad, many times people say we do things to EXCESS. We eat lots of fatty fast food, we drink alot, and we are promiscuous.
MCD - BAC - ASS
M-C-D - BA - CA - SS
(This one is goofy because you need to split apart the 'BA' and 'CA')
Market Selection
Currency Selection
Duration Management
Investing outside a BENCHMARK that's APPROPRIATE
Credit Analysis
Sector Selection
What to look for when filling in the Risk part of the IPS for an individual:
"Liquidity 2 FIST"
Liquidity Needs Relative to Port. (2-3% is small)
Flexibility
Goal Importance
Size of Portfolio
Time Horizon
Due Diligence Checkpoints for Alternative Investments:
"People Descending down a checklist"
People Descend
PEOPDSD
Assess Persistence of Market Opportunity
Assess Edge in getting that Opportunity
Assess Organization
Assess People
Assess Deal Structure and Terms
Assess Service Providers
Assess Documents
Biases in Hedge Fund Indices:
"Those hedge fund guys are a bunch of conservatives. Conservatives think even PBS is biased!"
PBS
Popularity Bias
Backfill Bias
Survivorship Bias |
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