Caia 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 Exam Questions and Answers 100% Correct CAIA Exam Questions and Answers 100% Correct CAIA Exam Questions and Answers 100% Correct CAIA Exam Questions and Answers 100% Correct An asset-pricing model that attempts to explain how investors should behave is a(n): - ANSWER-normative model. Normative models attempt to explain how investors should behave. Positive models attempt to explain how investors do behave. Theoretical models use assumptions and logic, while empirical models ...

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...

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...

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...

CAIA Chapter 8 Exam Questions and Answers (Graded A)CAIA Chapter 8 Exam Questions and Answers (Graded A)CAIA Chapter 8 Exam Questions and Answers (Graded A)CAIA Chapter 8 Exam Questions and Answers (Graded A)In CAPM model how is beta specified? - ANSWER-Beta is specified as the covariance of the asset's return with the return of the market portfolio, divided by the variance of the returns of the market portfolio What is the general interpretation outside the CAPM? - ANSWER-Beta refers to the...

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 ...

An asset-pricing model that attempts to explain how investors should behave is a(n): - ANSWER-normative model. Normative models attempt to explain how investors should behave. Positive models attempt to explain how investors do behave. Theoretical models use assumptions and logic, while empirical models are based on historically observed behavior. Henry Thompson examines a sample of returns for a private equity fund and finds that the sample excess kurtosis equals 3. Regarding the private ...