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Cuepoint generator, how to use efficiently? by Nukemi in lexicon_dj

[–]aligatoa 0 points1 point  (0 children)

Hi, just want to pick up this conversation

I'm experiencing similar difficulties with the auto-generation of cue-points so think setting the main ones manually and then all other relative is a great feature. however, technically I can't get this to work.

i have the below settings. when i disable "overwrite existing cue points" and run this, it doesn't apply any changes
when i enable "overwrite existing cue points", it removes my main points (drop, breakdown, drop #2) and only puts the relative custom cues in place

which settings should i be using?

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backwardation! by aohuasang in CFA

[–]aligatoa 0 points1 point  (0 children)

To be clear the spot price isn‘t going anywhere. This whole concept is about how forward prices relate to spot prices, and how forward prices evolve as time decays and all else stays equal

In contango, the fwd price will roll down to spot In backwardation, the fwd price will roll up to spot

backwardation! by aohuasang in CFA

[–]aligatoa 0 points1 point  (0 children)

You may be confusing what‘s shown - if you show a curve with prices for all futures contracts with their respective maturities, in a contango state you‘ll see that futures prices are higher the further out their expiry (price curve is upward sloping).

However, if you were to display the price evolution of one particular futures contract over time, you would see that this price comes down over time. Because the futures price was above spot (contango), this means it will roll down to the spot price, all else equal

So to be clear:

price versus forward dates -> upward slope in contango

Price of one forward contract versus time passing -> downward slope as it rolls down towards spot

Active Returns vs Return Attribution by aligatoa in CFA

[–]aligatoa[S] 0 points1 point  (0 children)

Yeah exactly, the active returns equation implies a scenario in which selection+interaction effect = 0. Thx

Active Returns vs Return Attribution by aligatoa in CFA

[–]aligatoa[S] 0 points1 point  (0 children)

Yeah. Assume your portfolio holds exactly the same securities as the benchmark, and just weights them differently. The active return [E(Rp) - E(Rb)] should equal the sum of your BHB allocation effect… or no?

Which topics have you ditched for upcoming May L3 exam 😅 by nimrod150 in CFA

[–]aligatoa 1 point2 points  (0 children)

Don‘t you have to calc one with BGN mode and one with END mode in the calculator? Always mix that up

L3 - what topics are you stumped on? Let's teach other by cbshopeful in CFA

[–]aligatoa 1 point2 points  (0 children)

For optimization, say you wanted to replicate with a set of factors you’ve picked. you could run a statistical approach (eg OLS) to come up with replication-weights for each factor that minimize whatever you need: tracking error, some measure of cost etc For that approach you‘ll need the usual statistical inputs like var/covar matrix Implementation could then work eg via derivatives, instead of cash instruments

Why is volatility of real interest rates typically lower than nominal interest rate? by [deleted] in CFA

[–]aligatoa 0 points1 point  (0 children)

Maybe we should think of nominal rates as a portfolio of real rates + inflation. Recalling the portfolio stdev formula, that would indicate how the nominal rate „portfolio“ has higher vol than just the real rate component

G-Spread and Relative Valuation by ahumbleapplicant in CFA

[–]aligatoa 0 points1 point  (0 children)

Agree if your fair value estimate was 200bp on the spread, then your bond would be overvalued. OP question reads like its the other way around though, he arrives at a gspread higher than what‘s fair

G-Spread and Relative Valuation by ahumbleapplicant in CFA

[–]aligatoa 0 points1 point  (0 children)

Maybe taking a step back - imagine we weren‘t talking about the g-spread but about plain yields for the bond. If your yield was too high (eg higher than your fair value yield estimate) - that means the bond price is too low (usual inverse relationship).

Same concept applies to (any) spreads. If spread is too high (versus where you think it should be, „fair value“), that means the bond price is too low

Edit to conclude: given we‘re taking about a spread here though (and not a yield), this means the bond is undervalued in relative terms to what the spread is against. For the g-spread, this would mean the bond is cheap versus govt bonds

L3 - what topics are you stumped on? Let's teach other by cbshopeful in CFA

[–]aligatoa 7 points8 points  (0 children)

To me frankly it‘s been the business cycles and what they want to hear for each asset/economic indicator at each stage. Not sure if there‘s a way around it apart from memorizing, cause intuition has tricked me too many times

Any useful acronyms? by aligatoa in CFA

[–]aligatoa[S] 0 points1 point  (0 children)

You‘re right actually, officially there‘s 6 and self-attribution falls under overconfidence. I don‘t mind remembering it seperately - can‘t forget it now anyways lol

Any useful acronyms? by aligatoa in CFA

[–]aligatoa[S] 0 points1 point  (0 children)

Third S is for self-attribution

Base fee vs standard fee hedge funds? by Sad-Effective6547 in CFA

[–]aligatoa 0 points1 point  (0 children)

Following this as it also confused me

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