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.
TC = ρ(μi/σi,Δwiσi)
ブラフとは、他のトレーダーの価値観に影響を与えるために注文を出したり、取引を手配したりすることである。ブラフ業者は、価格が上昇したときに買い、価格が下落したときに売るモメンタム・トレーダーを餌食にすることが多い。同様に、Bloomfield氏は、2Fastの競合他社が他のトレーダーの価値観に影響を与えるような注文を出し、取引を手配していることを規制当局に報告したと述べた。規制当局は、競合他社が株を買って価格を上げ、それによってモメンタム・トレーダーの買いを促し、その株をより高い価格で彼らに売っていることを知らされていたのだ。
break-even inflation rate will incorporate the inflation expectations of investors over the investment horizon of the two bonds, plus a risk premium to compensate investors for uncertainty about future inflation.
the information ratio of an unconstrained portfolio is unaffected by multiplying the active security weights, ∆wi, by a constant.
The transfer coefficient measures how well the anticipated (ex ante), risk-adjusted returns correlate with the risk-adjusted active weights. This is also expressed in the equation for the transfer coefficient: TC = ρ(μi/σi,Δwiσi).
An ETF’s tracking error is typically reported as the annualized standard deviation of the daily differential returns of the ETF and its benchmark.
資産運用会社（ETF スポンサー）
・ETF の組成
・ポートフォリオ運用及び管理
・ETF の上場手続き及び法定書類の提出
指定参加者（AP）
・NSCC 資格を有するクリアリング・ブローカーを指す
・ETF の設定・交換
・流通市場におけるアービトラージ
Expectation-related risk is the risk that some ETF investors may not fully understand how more complex ETFs will perform because of a lack of understanding of sophisticated assets classes and strategies.
ETF bid–ask spreads are generally less than or equal to the combination of the following:
- ± Creation/redemption fees and other direct costs, such as brokerage and exchange fees
- + Bid–ask spread of the underlying securities held by the ETF
- + Compensation for the risk of hedging or carrying positions by liquidity providers (market makers) for the remainder of the trading day
- + Market maker’s desired profit spread
- − Discount related to the likelihood of receiving an offsetting ETF order in a short time frame
