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seen Oct 15 at 6:54

Dec
6
comment Single Most Important Fact about a Fund - Interview Question
It is historical total return. Without that information anything else is irrelevant (low vola but neg return, low drawdown but neg return, good diversification but neg return...does not help).
Nov
21
comment Components of an index in a specific date
No idea, sorry. I would call the provider or do copy & paste from the PDFs.
Nov
21
awarded  Informed
Nov
21
answered Components of an index in a specific date
Nov
21
comment Can I trade the volume of a security or index?
I don't think there is one. First, it might be hard to define volume, especially for vehicles that can be traded outside of exchanges (e.g. equities). Another point is that you can directly influence the price by buying the underlying, and if you would like to hedge against it you even increase price by increasing volume. A proxy (but more long-term) can be shares of stock exchanges that profit when order volume goes up.
Nov
18
comment Why does the SMA and EMA appear to be relative to the timeframe?
I am not familiar with this tool but it seems by changing the timescale the data frequency changes, too (e.g. from daily to weekly). The values in the numerator which have been the daily close prices now could be weekly (probably Friday) close prices for the last 10 weeks.
Sep
25
comment What mean factor behind a yield?
I could think of the annual rent: you get 3.8% of your purchase price annually. Factors are often used in property sales to state how many years of annual rent you pay for the object
Sep
3
comment Measuring Behavioral Finance Effects in Fund/Portfolio Manager Analysis
One behavioral effect is window dressing: clients look into there portfolios on a quarterly basis (factsheets, notice period for hedge funds...). Managers increase their holdings by end of the quarter in those asset classes that had a good run so far. You can measure this quite easily by looking at holding increases of the best performing assets and see if more is happening by quarter end. Question is, if this is irrational. From the standpoint of the manager it is not assumed he makes clients happy, holds AuM. One has to evaluate if it hurts long-term performance.
Sep
2
awarded  Supporter
Aug
31
awarded  Teacher
Aug
31
answered Calculating VaR/CVaR on high frequency data and returns