Caia level ii exam stuvia Study guides, Class notes & Summaries

CAIA Level II Exam Questions and Answers 100% AccurateCAIA Level II Exam Questions and Answers 100% AccurateCAIA Level II Exam Questions and Answers 100% AccurateCAIA Level II Exam Questions and Answers 100% Accurate 5th percentile vs 25th percentile performance - ANSWER-5th percentile managers outperform in every comparison BUT 25th percentile managers' performance is more volatile --> even if 25th percentile managers outperform they tend to mean revert --> demonstrates the perils of ...

CAIA Level II Exam Questions and Answers 100% VerifiedCAIA Level II Exam Questions and Answers 100% VerifiedCAIA Level II Exam Questions and Answers 100% VerifiedCAIA Level II Exam Questions and Answers 100% Verified What advantage do multi-factor models have over single-factor models, such as the Capital Asset Pricing Model? - ANSWER-Multi-factor models tend to explain systematic returns much better than do single-factor models. By doing so, multi-factor models are generally believed to produc...

CAIA Level II Sample Exam 2024 Questions and Answers (Graded A) CAIA Level II Sample Exam 2024 Questions and Answers (Graded A) CAIA Level II Sample Exam 2024 Questions and Answers (Graded A)Intuition of the Black-Derman-Toy interest rate model - ANSWER-Observed spot rates drive rate levels while implied rate volatilities drive rate spreads Understanding the intuition of imposing these two conditions helps in understanding the essence of the BDT model. The spot rates in the currently ob...

CAIA Level II Exam I Questions and Answers 100% CorrectCAIA Level II Exam I Questions and Answers 100% CorrectCAIA Level II Exam I Questions and Answers 100% CorrectCollar strategy consists of... - ANSWER-ownership of a risky asset with a long position in a put option on the underlying asset, and a short position in the call option on the underlying asset Hedging Bucket - ANSWER-within a plan's asset-liability framework seeks to track the plan's liabilities and minimize the volatility of th...

5th percentile vs 25th percentile performance - ANSWER-5th percentile managers outperform in every comparison BUT 25th percentile managers' performance is more volatile --> even if 25th percentile managers outperform they tend to mean revert --> demonstrates the perils of choosing managers based on historical performance alternative asset performance evaluation - ANSWER-unlike in traditional assets, alpha is difficult to define in alternatives investing; success can be defined as posit...

What advantage do multi-factor models have over single-factor models, such as the Capital Asset Pricing Model? - ANSWER-Multi-factor models tend to explain systematic returns much better than do single-factor models. By doing so, multi-factor models are generally believed to produce better estimates of idiosyncratic returns. List the three major categories of factors that drive asset returns. - ANSWER-Macroeconomic factors, fundamental/style/investment/dynamic factors, and statistical factors...

Collar strategy consists of... - ANSWER-ownership of a risky asset with a long position in a put option on the underlying asset, and a short position in the call option on the underlying asset Hedging Bucket - ANSWER-within a plan's asset-liability framework seeks to track the plan's liabilities and minimize the volatility of the plan surplus Overlay approach - ANSWER-relies on derivatives contracts to create hedges growth bucket - ANSWER-invests the surplus in riskier investments to ...

Collar strategy consists of... - Answer ownership of a risky asset with a long position in a put option on the underlying asset, and a short position in the call option on the underlying asset Hedging Bucket - Answer within a plan's asset-liability framework seeks to track the plan's liabilities and minimize the volatility of the plan surplus Overlay approach - Answer relies on derivatives contracts to create hedges growth bucket - Answer invests the surplus in riskier investments to ...

Intuition of the Black-Derman-Toy interest rate model - ANSWER-Observed spot rates drive rate levels while implied rate volatilities drive rate spreads Understanding the intuition of imposing these two conditions helps in understanding the essence of the BDT model. The spot rates in the currently observed term structure drive the overall levels of the rates that are projected throughout the binomial tree. The implied volatilities of options trading on short‐term rates (i.e., interest rate c...