gold futures
1. lease rate or lease - rf
2. hedge with other futures, basis risk
3. borrow from central bank (compare future price )
4. agriculture or energy hedge inflation
5. find highest sortino ratio
6. convenience yield and roll yield
active manager:
1. what index to avoid small cap and price bias
2. full replication, optimizetion
3. with active risk and misfit risk, calculate total active risk
4. calculate performance fee
5. stock and derivative based approach. which one has more breadth, which one has more IC
6. double risk can't double alpha
Fixed income:
1. two bonds hedge a 4 year liability. which one is the best
2. which portfolio has highest credit risk
3.ytm change
4. new portfolio, decrease treasury to lower duration
5. calculate rebalance ratio
6. contingent immunization
Econ:
1. three countries, which one has inverted yield
2. which one is consistent to taylor rule
3. forgot
4. two countries, peg, currency overvalued, forgot detail
5. forgot, also about two countries
6. anchoring bias
SWAP:
1. a currency depreciate, how to hedge risk
2. calculate cash flow of swap
3. interest rate increase, what is change of swap value
4. swap cash value, market value
5. terminate swap, purchased receiver swaption, strike 5.5%
if still at 6%
6. crude oil option
Tax
only remember accrual return rate
two clients
1. cm, bh, cppi
2. forgot
3. cm bh cppi
4. ETF, large order, where to trade
5. implementation short fall
6. advisor wants to change ips, is this correct? (something like that)
there is a leveraged portfolio return calcualtion. what case? totally forgot.
发表于 2011-6-9 02:06
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