highly doubt we'd ever see it, but in section w/ sharpe, sortino, etc... talking about hedge funds.作者: wake2000 时间: 2011-7-13 14:29
I get (8/4)*(1.25/2.25) = 1.11...
Could be wrong since I don't remember how the formula specified to use the averages.作者: liangfeng 时间: 2011-7-13 14:29
-0.833作者: Colum 时间: 2011-7-13 14:29
formula is {( # of up months) /(#of down months) } * [ av of up month returns /sv of down month returns]作者: Roflnadal 时间: 2011-7-13 14:29
pimpin has the formula. i just quick math did to 1.66666666, no?
again, highly doubt it'll ever show up, but you just never know what stupid random stuff may find its way in 3 days.作者: nannan66 时间: 2011-7-13 14:29
bigger # = better for this ratio.作者: justin88 时间: 2011-7-13 14:29
bannisja Wrote:
-------------------------------------------------------
> pimpin has the formula. i just quick math did to
> 1.66666666, no?
> again, highly doubt it'll ever show up, but you
> just never know what stupid random stuff may find
> its way in 3 days.
Yes the correct formula according to CFAI is:
gain-to-loss = (# up months / # down months) * (avg up month return / avg down month return)
Here's my addition to the CFAI formula:
Rearranging, this becomes:
gain-to-loss = (# of up months * avg up month return) / (# of down months * avg down month return)
Since avg monthly return = sum of monthly returns / # of months,
gain-to-loss = (sum of up month returns) / (sum of down month returns)
So the answer here should be (10 / 6 ) = 1.667
Edited 1 time(s). Last edit at Wednesday, June 1, 2011 at 12:57PM by LobsterBoy.作者: dyga 时间: 2011-7-13 14:29
I found something I will skip. Those hedge fund things are stupid and AFAIK not mentioned in the LOS besides the Sharpe ratio.
Critique should not be calculate or describe, however this will probably be my downbringing.
Edited 1 time(s). Last edit at Wednesday, June 1, 2011 at 12:59PM by Paraguay.作者: skycfa 时间: 2011-7-13 14:29
Yeah I messed up on the calculation of the avg down returns. 1.667 is the answer.作者: bkballa 时间: 2011-7-13 14:29
Holy crap, you're right. Wow, good stuff.
Ha, why do they break the equation down that way? It's simply the ratio of the sum of monthly returns to the sum monthly losses.作者: liangfeng 时间: 2011-7-13 14:29
Hrm that makes that easier. Sum of up / Sum of down.
Wowzo. I love you math.作者: Windjam 时间: 2011-7-13 14:30
By the way bannisja, it's nice to see an old familiar name in here. It looks like you have been at this as long as I have. This Saturday will be (hopefully) the end of 5 years of studying for these damn things for me.作者: dyga 时间: 2011-7-13 14:30
ha yeah i literally with work, social, etc. annually can only put in maybe like 200 hrs (maybe) to study. my results historically were a L1 fail (didn't study, had no clue about the test really), L1 all over 70%, L2 band 10 fail (ouch), L2 pass, L3 band 8 fail, ????
so let's hope my trend, if you will, continues. i can't tell you i know everything, but i think i know more than i did last year. are you in boston lobstahhh? if yes, we may grab a bev cactus club after the test. tequila sounds right after this nightmare.作者: Windjammer 时间: 2011-7-13 14:30
No I'm in Dallas. I'll drink one in your honor though.
Here's my history:
Dec 06 - failed LI (had no idea what I'd gotten myself into)
Jun 07 - passed LI (hurray)
Jun 08 - failed LII (hardest test of my life)
Jun 09 - passed LII (hurray)
Jun 10 - failed LIII (hardly studied due to the birth of my son)
Jun 11 - ? (crossing my fingers)
Best of luck to all of you guys (and gals)!
Edited 2 time(s). Last edit at Wednesday, June 1, 2011 at 01:25PM by LobsterBoy.作者: former 时间: 2011-7-13 14:30
You will pass this year.作者: NakedPuts2011 时间: 2011-7-13 14:30
lets hope gambler's fallacy is actually true for you.作者: liangfeng 时间: 2011-7-13 14:30
Thanks Paraguay. I've been really impressed with the quality of your posts. I have no doubt you'll pass this year too.
