expense ratio = fund management fee/NAV

Influencing factors: market structure, liquidity of component securities, liquidity of ETFs

=ETF price - NAV per share

Annualized standard deviation of daily tracking difference

Influencing factors

tax fairness

tax effectiveness

active return = Rp-Rb

security selection return = active return - factor return

active factor risk

active specific risk

Matching the risk exposure of the index using a multi-factor model

In a given period, under a given probability, the minimum loss

analytical method

historical method

monte carlo method

historical scenario

hypothetical scenarios

Risk allocation after determining acceptable total risk

Limit the weight or position of a single asset in a portfolio

Loss limits for a given scenario

Reduce risk exposure if losses exceed a certain level during a specific period

m=Ut/U0

As wealth increases, marginal utility decreases

When the economic situation improves, m is lower

P = risk neutral PV covariance term

Usually covariance term<0, asset return>Rf

In extremely bad economic situations, the covariance term may be >0

GDP growth rate↑, real risk-free rate of return↑

GDP volatility↑, real risk-free rate of return↑

The inverted yield curve illustrates the possibility of economic recession

The yield curve reappears upward or becomes steeper, indicating that the economy is in a recession

Short-term Treasuries perform better in recessions

During an economic recession, national debt has the characteristics of consumption hedging.

equity like

bond like

bad hedge for bad economic outcomes

asset allocation

security selection

The higher the IR, the greater the active return brought by unit active risk, and the better the fund manager’s investment ability.

Active weight does not affect IR, adding cash or leverage affects IR

Improve forecast accuracy

Increase the number of independent predictions

Trade on the unlimited market

Cash/leverage does not affect SR

SRp^2=SRb^IR^2

information coefficient,predictive ability

transfer coefficient, the ability to convert predictions into active weights

Number of independent forecasts per year

bias in measurement of ex-ante IC

Not a completely independent prediction