Level III Asset Allocation

Access to all Level III asset allocation articles until the next Level III exam date

Roll Yield (Roll Return)

Posted by Bill Campbell III, CFA on June 14, 2017
Posted in: Level I Alternative Investments, Level I Derivatives, Level II Alternative Investments, Level II Derivatives, Level III Alternative Investments, Level III Asset Allocation.

The idea of roll yield – or roll return, same thing – is relatively straightforward: it’s part of the increase or decrease in the value of your portfolio that arises specifically when you roll over an expiring futures or forward contract into a new contract.  The other parts of that increase or decrease are the […]

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Cross Hedge vs. Proxy Hedge

Posted by Bill Campbell III, CFA on June 8, 2016
Posted in: Level III Asset Allocation.

Level III candidates often confuse cross hedges and proxy hedges.  This isn’t their fault: one of the readings makes a distinction between these, while another claims that they’re the same (though it includes a footnote that says that they’re different). Sigh. Suppose that your domestic currency is the Canadian dollar (CAD), and that you have […]

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More Currency Exchange Rate Stuff

Posted by Bill Campbell III, CFA on May 5, 2016
Posted in: Level III Asset Allocation.

I came across some topics in currency exchange at Level III that seemed to be vexing some candidates, so I thought that it warranted an article.  This will be a catch-all: anything on currency exchange at Level III across which I stumble I’ll include here. Domestic Currency Return vs. Local Currency Return Suppose that your […]

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CFA® Level III Membership

This will give you access to this and all other articles at that membership level.