Evaluate Advanced Portfolio Strategies
Series 65 · Flashcards
SERIES 65 · FLASHCARDS
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QUESTION
What is net exposure for a long-short portfolio?
QUESTION
What is financial leverage in portfolio management?
QUESTION
State the common scaling rule to target volatility using recent realized volatility.
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ANSWER
New weight
=
old weight
×
σ
target
σ
realized
=\text{old weight}\times\frac{\sigma_{\text{target}}}{\sigma_{\text{realized}}}
=
old weight
×
σ
realized
σ
target
. The rule scales positions inversely to realized volatility to align with the desired target.
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