28 Apr

> How do you reconcile HPR in continous compounding approach "e^(r*t)" and normal
one "(1+r)^t"
> Pyramid: Data > Insights > View > Selection > Allocation > Optimization

5 Apr
> Beta
> Risk is the stupid trade that should have never happened, Michael Burry
> Maximize your Alpha deviation
> HW Assignment: Prepare a one-pager report on Baseline Alpha / Beta

12 Apr
> Value Investing (premise is investors Over-react); Buy and Hold; Buy at a low
point; Time Horizon
> Limited set of Securities worth Investing, if its generating return let it be
> HW: Price to Earnings & Price to Book; where they come from
> Growth Based Investing: Like Demographics
> Momentum Investing: One follows the other; Ability to go in and out easily;
> TRG History of 4-years
> Technical Investing Style: Price Signals

> 1929: Great

> RegQ: Limited the bank rate to 3%
> 3-6-6 Banking
> 1970: Brentton-Wood and Oil Embargo; Increased volatitily in FX
> Mutual Funds > Money Market Founds
>
> 1929-82: 8% liquidity
> 1982-86: Savings & Loans crisis
> 1986: BIS (Bank of Settlement) implements BASEL I based on Risk-Weighted-Assets
> 1996: Value-At-Risk based on volatility; 3 times std. dev. > BASEL II
> 1998: Long-Term Capital Management
> ROlling Volatility
> VIX (fear index) tracks volatility
> Break at each year to understand the trends
> Calculate Baseline Alpha (average of 8 years);

19 May
Duration is defined as the time it takes on average to recieve the cash flows out
of a bond investment
Convexity

7 July
Information needed for Bonds
1. Duration
2. Convexity
3. Trading Volume
4. Volatility
5. Capital Charge
6. Mismatch
7. Outlook

1. Market
2. Credit
3.

HFT - Held For Trading (within 90 days) > Market Risk

AFS - Available For Sale > Market Risk
HTM - Held to Maturity > Credit Risk

14 July
MUFAP - PKRV
Kelly's Criteria
Bullet, Barbel, Ladder
Duration Gap
Maturity Gap
Asset Liability Management
What happens when interest rate go up by 1%?

Net Interest Income at Risk

Economic Value of Equity

28 July
1. Maximize Return
2. Max. Return/Risk
3. Minimise Risk
4. Max./Min.
5. Max. Excess Rate > Alpha
6. Min. Alpha Dev. >
----
7. Capital conservation point > Capital Loss
8. Skewness
9. Multi-Period Portfolio Optimization > Kelly

Buy on Rumor; Sell on News