Tous les livres

Professionnel

Applis À propos Coach Connexion Commencer la lecture

Quantitative Finance · Glossaire

Qu'est-ce que « Netting risk » ?

Definition 3.4 The Desk and the Firm · Chapitre 3 — The Multi-Manager Platform

A multi-manager fund’s netting risk is the cost to its investors of paying each team a share of its own profit without netting it against other teams’ losses: the difference between the sum of the teams’ payouts and the same payout rate applied to the fund’s total profit.

The cost of paying each team on its own profit, beyond the same 20% rate on the fund’s total, as a share of gross profit, against the pods’ Sharpe ratio: the closed form without carry-forward, and the chapter’s platform, fifty pods correlated at 0.1, twenty years, twenty seeds. Data: fm_platform.netting_vs_sr.
Figure 3.3. The cost of paying each team on its own profit, beyond the same 20% rate on the fund’s total, as a share of gross profit, against the pods’ Sharpe ratio: the closed form without carry-forward, and the chapter’s platform, fifty pods correlated at 0.1, twenty years, twenty seeds. Data: fm_platform.netting_vs_sr.
Lire dans le chapitre →

Termes liés