AndyNZ

maratikus Wrote:
-------------------------------------------------------
> mo34 Wrote:
> > Check out the FRM curriculum. This topic was
> > heavily covered when I took this test. they
> give
> > you actual strategies for replication along
> with
> > real tracking error numbers, ...
>
> I haven't looked at FRM curriculum since I passed
> it. Do they suggest regressing across different
> factors or strategies? Is it primarily based on
> Harry Kat's work or they also look at alternative
> betas?

They had two main topics. One was a regression using 6 or 7 independent variables that they claimed ( and demonstrated with an in depth analysis of HF returns over many years) could replicate any HF strategy ( Factors included USD_index, GS_Commodity index, ...). I don't remember the second techniques they used but it involved options and S&P futures.