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I would like to point towards my contributions about Jensen's Alpha, please have a look at these: https://forum.bionicturtle.com/threads/p2-t8-704-alpha-and-effective-benchmarks-andrew-ang.10204/#post-49892...

Carol Alexander's book is and will always be up-to-date and I think it takes you months or ages to master all the material she covers in detail. If you don't want to be a researcher focusing on a particular high level topic, her book will always be YOUR main reading (day and night) and gives you...

Hi @David Harper CFA FRM, long time no hear. What an honour to be referenced here. Carol Alexander's is not up date but there have been some valuable contributions over recent years (especially from Carol herself! and some errata in the books have been revealed as well).

Can you please tell in which chapter this equation is mentioned? I have not yet seen anything like the equation you posted above. I guess you are mixing things up here. The Information (IR) = alpha/residual risk where residual risk = Tracking Error (TE) The information coefficient (IC) is...

There are hundreds of books out there ranging from Jeremy Siegel to W. Buffett about investing, but I would say that a specific exam like the CFA or FRM improves your ability to generate a solid return. It definitely helps if you have the troika: CFA, FRM and CAIA. At least you get the tools to...

As I expected, two questions about smoothing from Ang's book.

Hi @David Harper CFA FRM, thanks for your reply. There is no hurry, after the exam will suffice.

Hi @David Harper CFA FRM, I wanted to start a new topic which has not yet been discussed in great detail. Jorion mentions on page 170 that a particular new trade involves a position in one risk factor (asset). The portfolio value changes from the old value of W to a new value of W(p+a) = W +...

In short, let's say GARP takes the best 1% of candidates and then sets a threshold (min. no. of questions) which other candidates have to get right in order to pass. No one knows how many questions out of 100 (Part I) or 80 (Part II) have to be right for a pass. Based on my own experience from...

One course to the tune of $6,300? For this, one can get the Troika (CFA, FRM, CAIA) actually. It is a bit high :). No discount (or free lectures) for BT members?

Exotic options will be tested only in a qualitative way; the exam it will perhaps give you certain scencarios and you need to determine which sort of option (barrier, Asian, compund) it might be but definitely no calculation question I suppose. Way too difficult and time-consuming.

Listen, a logarithm of the returns (in your case 0.5% and -0.11%) makes NO sense at all. A log return is calculated from prices having LN(t:0/t:-1) or written as LN(today's price of the asset/yesterday's price of the asset). There are several contributions to this topic, let me add few...

Well, actually you just get the quartile but no one knows the upper or lower bound and whether this has any impact on the pass/fail outcome. Let's say it could be the case that two candidates have the same quartiles (for a partcular section, say 'Fin. Products') and one fails while the other...

Superb, @David Harper CFA FRM! Thanks.

No, it is not that easy! I just used this 1% example to highlight the fact that Component VaR is only applicable in case of a very minor/small change in the position of (let's say asset Y). Imagine you are invested with 10M in the JPY and reduce or increase your holding by 1% (having 10M*0.01 =...

The question (if you read through my explanations) should be self-explanatory. If you delete a complete position (Y) from the portfolio, only IVaR is useful because component VaR is only applicable for small changes (let's say the position of Y - the wealth invested in Y - is reduced by small...

Agree with @Longpips! The FRM could even go into more detail having let's say four different exams.

I don't understand your question and what you are referring here? If you delete ANY position from the portfolio, then the portfolio VaR will go down (except the position has zero risk, then the portfolio VaR will remain the same) where the amount (magnitude) of how much the portfolio VaR is...

I don't quite understand why every single piece (in particular qualitative stuff) needs to be explained. There is a vast amount of literature where you can get the information/proof yourself. And this is sth. which is the minimum what can be expected from a well rounded candidate. Component VaR...