2017年05月の記事
全5件 (5件中 1-5件目)
1
-
ふるさと納税 折り畳み自転車
今日まだふるさと納税で自転車を買いました。折り畳み自転車16インチです。小さくて女性が使いやすいです。折り畳みで家に収納も簡単です。リンクは以下です。白黒二色から選びます。E038【ふるさと納税】 折り畳み自転車16インチ（シルバー）価格：50000円（税込、送料無料) (2017/5/2時点)E038【ふるさと納税】 折り畳み自転車16インチ（ブラック）価格：50000円（税込、送料無料) (2017/5/2時点)
2017/05/05
コメント(0)
-
CAIA Level 1の準備 Commodity forward pricing
今日はCommodity forward pricing部分を読みました。CAIA Level 1の教材は以下です。Alternative Investments: Caia Level I [ Donald R. Chambers ]価格：28080円（税込、送料無料) (2017/4/8時点)主な内容Forwards vs. futuresMechanics of marking to marketCounterparty risk and crisis at maturityCorrelation of interest rate and spot price -> marking to market makes long position in futures positiveInitial margin, maintenance margin requirement, margin callRolling contracts, front month contract, distant contractCost of carry for commodity contracts Storage costs and convenience yield vary with location and market participants, as well as with supply and demandTerm structure of forward prices: contango, flat, backwardationNormal backwardation, expected spot pricesBasis: forward price – spot priceSpread: calendar spreadF = S + (r + c -y)Expect interest rate or storage cost to rise, long longer and short front contractsApplications of commodityRisk diversifier and inflation hedgerCommodity reacts differently at different parts of the business cycle.Methods of investment: futures, physical commodities, commodity-related equity, exchange-traded funds, commodity-linked notes
2017/05/04
コメント(0)
-
CAIA Level 1の準備 Natural resources
今日はNatural resources部分を読みました。CAIA Level 1の教材は以下です。Alternative Investments: Caia Level I [ Donald R. Chambers ]価格：28080円（税込、送料無料) (2017/4/8時点)主な内容Real asset create consumption opportunities available to peopleSplit estateNatural Resource Partners is a kind of MLP (master limited partnership)Natural resources as an exchange option to exchange one risky asset for anotherPerpetual option, American optionsLow hanging fruit principleLand banking: paper lots, blue top lots, finished lotsLand as a binomial optionNegative survivorship biasTimberland investment management organizations (TIMOs)Timber land has great flexibility in terms of harvest schedule.Farm corps must be harvested annually and within a window of just a few weeksAnnual cash depend on commodity priceSmoothing and observed volatilityManaged returns: favorable mark, selective appraisals, model manipulation, market manipulation
2017/05/03
コメント(0)
-
CAIA Level 1の準備 Alpha, beta, and hypothesis testing
今日はAlpha, beta, and hypothesis testing部分を読みました。CAIA Level 1の教材は以下です。Alternative Investments: Caia Level I [ Donald R. Chambers ]価格：28080円（税込、送料無料) (2017/4/8時点)主な内容Ex Post alpha vs. Ex ante alphaFM’s skill and luckModel misspecification: omitted systematic return factors, misestimated betas, nonlinear risk-return relationshipsBeta nonstationarityBeta creepBeta expansionReturn persistenceBeta driver vs. alpha driverEquity risk premiumAsset gatherersProduct innovatorsProcess driversSelection biasSelf selection biasSurvivorship bias
2017/05/02
コメント(0)
-
CAIA Level 1の準備 Benchmarking and performance attribution
今日はBenchmarking and performance attribution部分を読みました。CAIA Level 1の教材は以下です。Alternative Investments: Caia Level I [ Donald R. Chambers ]価格：28080円（税込、送料無料) (2017/4/8時点)主な内容Peer groupIndexNormative model vs. positive modelCross sectional models vs. time-series modelsSingle factor benchmarkingMultifactor benchmarkingCAPM not work for alternatives investments1. Multiperiod issues2. Non-normality3. Illiquidity and other barriers to diversification
2017/05/01
コメント(0)
全5件 (5件中 1-5件目)
1
