CFA ポートフォリオマネジメント　メモ

Relative VaR is a measure of the degree to which the performance of the portfolio might deviate from its benchmark. Relative VaR is also referred to as “ex ante tracking error.”

Ex ante tracking error correctly compares the current portfolio with its benchmark in attempting to measure future potential performance. Forward-looking beta is a current risk measure of a current portfolio and measures an equity portfolio’s sensitivity to the broad equity market.

The parametric method assumes that the distribution of returns on the risk factors is normal, and it is considered to be a straightforward approach.

p値ハッキングとは 一方、p値ハッキングは、統計的有意でないデータを有意と示してしまう誤ったデータ分析の行為です。 p値ハッキングは、データ・スヌーピング: data snooping, データ・ドレッジング: data dredging, データ・フィッシング: data fishingとも呼ばれます。

The excess kurtosis implies that these strategies are more likely to generate surprises, meaning extreme returns, whereas the negative skewness suggests those surprises are more likely to be negative (than positive).

Random sampling with replacement, also known as bootstrapping, is often used in historical simulations because the number of simulations needed is often larger than the size of the historical dataset. Because Approach 1 is a historical simulation and Concern 3 notes that the number of simulations needed is larger than the size of the historical dataset, bootstrapping should be used.

APT makes less strong assumptions than the CAPM.