Reference desk / edition 2026.10
Worked model reconciliations
Keep the inputs, denominators and interpretation beside each result.
Why 60/40 capital is not 60/40 risk
Reconcile a two-exposure synthetic allocation through portfolio variance and signed Euler volatility contributions.
A twenty-percent turnover with four basis points of drag
Follow a self-financing synthetic rebalance from weight differences to gross traded notional and a linear cost deduction.
One active-return series, two different summaries
Inspect sample tracking error and an annualized arithmetic information ratio without turning a short synthetic sample into performance evidence.
Terminal compounding and the path of losses
Distinguish multiplicative terminal return from observed maximum drawdown, including the initial wealth point and complete-loss convention.