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seems correct thought it was Treynor. The question was to asses performance without the index or benchmark portfolio, but not Beta. "In other words, the Treynor ratio is a risk-adjusted measure of return based on systematic risk" Sharpe doesn't take that into account.... but then again, you...

The only thing know is that it was a refiner that gets it's profit from crack spread. The question was how qwould you hedge the risk... but to be honest... the question wasn't too clear. The refined product wasn't known, and even the answers didn't really suffice. Crack spread normally entails...

b was indeed the answer i had.

Oh that one. Don't exactly remember the answer but I got an exact answer. Just calculate the sigma of the position then use the formula to,add sigmas and try to get the sigma of the other position in the portfolio, then do your normal var thing and that is your answer..... Very tedious work...

Can't remember the question, what was approximately the question?

Like i Said, couls Be entirely the right answer, but It depents on the question. If the question was for a fixed (hedge) position, then It would Be correct, however If the answer was in General for hedging then either a possitive or negative correlation of 1 Will,eliminate the variance in basis...

only one that made sense to me is to hedge with crude oil. jet fuel future doesn't exist. heating oil is only a partial hedge. en the last one didnt make sense at all

oh great... 3 answers :P

hmm i don't think that is right... maybe david can answer this (as i could be wrong). But in my opinion... if you have perfect correlation, it means that the assets follow each other in perfect harmony. The easiest example i can give is this: gold has a perfect correlation with gold (with...

I didn't have that feeling. I finished my first pass in under 3 hours and I finished all questions with 30 min to spare... I then started reviewing... but only got to do 20 questions of reviewing. However i do remember that i had the same issue when i started with the practice exams... my...

- Duration hedging using key rate durations, I didn't have time to think it through. i think that was just as explained in the samples of bt. - Given expected future revenues, Beta, market risk premium and risk free rate find the expected value (?) of the business (this is to the best of my...

i actually thought i saw some questions from the FRM practice exams... and some similar. Now just hoping that everything went well...

thank you, and good timing... if all goes well, i will start part 2 in style... with a new site :)(or part 1 but let's not hope so)

no worries, I'm pulling my hair out of frustration :) frustratingly... sometimes i score really well (i.e. high 80%) and sometimes just low. But it's nearly always above 60% (well above 50%)... owell... final stretch. Everything should go better now... atleast i have the timing down much...

unless you scored the 100% on the first try, I would suggest going back to do some older GARP exams... atleast for me, the second run through the mock exams always gives me 100%... however doing the older exams always gives me some new mistakes i will make.

This is relieving to see... i was stressing 70% as the absolute lower bound to even pass.... it was really discouraging to get 44% wrong on some exams and 28% wrong on other mock exams, but never really be able to reach a good clean 90% score (on the first try that is). Even with the practice...

Are there going to be practice questions on the second half of the book i.e. Caoutte, Servigny, hull (risk management and financial institutions), jorion (value at risk) and the basel excerpt? I'm wondering since this is probably the only book that has a lot of chapters that are not covered...

in the question 05.11 the dividends over the months are averaged. However why is that correct? In my calculation i assumed a constant yield of 2 percent and a excess yield of 3 percent for months (5-2 = 3) for months august and november. i.e. my formula was (S0-I)e^(rf-i) "I" was the...

I'm wondering if there is a quicker way to calculate duration and bondprice (ok maybe bondprice is not that hard). i'm just finding that calculating duration is quite a tedious calculation that is very error prone and i'm just trying to see if there are ways to speed things up and/or make less...

Hi... I havn't seen any of the notes for FRM part one book 4 valuation after the chapter on hull. The exam date is getting quite near (and i already started reviewing the first 3 books). Am i looking in the wrong location for these notes? if not when can i expect them to be published?