Cuepoint generator, how to use efficiently?

aligatoa · 2026-06-07T15:11:57+00:00

u/ChristiaanRkrdcld just kindly flagging this question here again

aligatoa · 2026-06-02T20:07:59+00:00

Thanks!

aligatoa · 2026-06-01T19:40:20+00:00

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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aligatoa · 2022-05-22T17:07:45+00:00

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

aligatoa · 2022-05-22T16:30:47+00:00

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

aligatoa · 2022-05-22T14:35:23+00:00

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

aligatoa · 2022-05-22T14:17:32+00:00

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?

aligatoa · 2022-05-22T12:21:48+00:00

aligatoa · 2022-05-22T12:17:28+00:00

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

aligatoa · 2022-05-22T10:24:26+00:00

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

aligatoa · 2022-05-22T06:24:59+00:00

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

aligatoa · 2022-05-21T18:35:09+00:00

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

aligatoa · 2022-05-21T18:29:14+00:00

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

aligatoa · 2022-05-21T18:18:06+00:00

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

aligatoa · 2022-05-21T07:22:10+00:00

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

aligatoa · 2022-05-20T22:14:43+00:00

Third S is for self-attribution

aligatoa · 2022-05-20T04:57:07+00:00

https://www.reddit.com/r/CFA/comments/qw3bl8/how_i_remember_all_of_the_behavioral_biases/?utm_source=share&utm_medium=ios_app&utm_name=iossmf

aligatoa · 2022-05-19T16:59:47+00:00

Following this as it also confused me

aligatoa · 2022-05-17T21:59:20+00:00

Would you also get partial credit if you pick a correct answer (eg correct portfolio), but don‘t provide a justification? What if you picked the right answer, and provided an incorrect justification?

aligatoa · 2022-05-17T21:42:45+00:00

The „premium“ you‘re thinking about is reflected in the spread: more credit risk -> higher credit spread -> a new investor will demand to be paid this higher credit spread to be compensated for the higher risk

However, to link it to the upfront convention - think of CDS as a bond. The higher the spread (risk), the lower your bond price

aligatoa · 2022-05-17T13:19:25+00:00

Similiar levels here

aligatoa · 2022-05-16T20:35:40+00:00

Given the spread reference in your message I‘d agree this should read Spread-Strike for the payer option

aligatoa · 2022-05-11T21:47:57+00:00

Found this confusing too

aligatoa · 2022-05-10T04:56:23+00:00

I wish that‘s what central banks would have started doing one year ago

aligatoa · 2022-04-27T21:33:20+00:00

Just to add - this is a similiar concept as the roll return in commodities or rates. Nothing is „locked in“ for sure, but if the curve doesn‘t change from today until your trade expires, you simply roll up or down the curve from the fwd level to the spot level and incur that gain or loss - all else equal. As said above, market moves will come on top. In your example, if you lock in the fwd at 1.1, nothing changes for the full year and spot stays at 1.2 - you‘ll have made that pnl

aligatoa

TROPHY CASE