what the heck is call overwriting program? the answer to solve this overwriting program was sortino ratio but i did not see this in the text book.
Is it refering to covered call writing?
sortino ratio = Return - Minimum Acceptable Return (MAR) over sum of sqaured min(0, Return - MAR)
this is a measurement of risk, comparable methods such as RaRoC and RoMAD
one of the cfa sample exam. there was this q : the most appropriate measure for evalutating the performance of the proposed call overwriting program would be the: sharpe ratio sortino ratio rtn over max drawdow, now, what the heck is this call overwriting program ??? I understand that all three gives measurement for risk but if I do not know the call overwriting program, how will I know which one to take ? wait a minuites, maybe I do not know what the call overwriting program is but as long as you have call embedded, certainly I can not use sharpe, and the ans becomes sortino. ok, mwvt9 , maybe it is covered call but if you do the online exam you will come up with this word.
Yeah, I think the idea would be when options are introduced you get asymmetic payoffs. All types of measurements that are built on a normal distribution will not effectively capture these types of payoffs. On the actual exam I would have gone to my thought above and then asked on AF what the hell a call overwriting program is… : )
call overwriting is writing covered calls on a portfolio in order to generate more income
hey, rekooh, cool. thanks, CFA should say the thing in a simple word.