Team Clever Lever quiz application form

If you have an interest in understanding the calculation principles of leverage investment, we invite you to participate in the quiz.

It should take anywhere from 5 to 30 minutes, and you are free to use any supplementary tools, such as calculators and online resources. (A cheat sheet is also available at the bottom of the page for your convenience). Please note that for the calculation section, we will temporarily exclude variables such as futures spreads, management fees, psychological factors, risk-free rates, etc.

  • If you find the questions too simple or come across any errors that you'd like to discuss, don't hesitate to reach out to MadX. madx_madz@proton.me.
  • Also, if you're encountering difficulty in comprehending the questions or seek correct answers, you can get in touch with Jin on Facebook.

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1. What are you good at? (Please answer at least the first question lol)
2. Please briefly describe your coding skills and any Python backtesting framework.
3. Please briefly describe your time series analysis skills and explain one of the following: ARMA, ARIMA, ARCH and GARCH .
4. Please briefly describe your knowledge of the volatility analysis field and introduce a non-constant volatility model.
5. Please briefly describe your other expertise (for example: organizing information/collecting data/mathematics/typing)
6. For the following calculation problems, use these data. (annualized)

Stock return: 20%
Standard deviation of stock returns: 20%
Bond return: 10%
Standard deviation of bond returns : 5%
Stock-bond correlation coefficient: -0.5
6A.
Stocks:bonds = 9:1, leverage ratio = 1.0 (total exposure 100%)
What are the portfolio return, standard deviation and its Sharpe? 
6B.
Stock:bond=4:6, leverage ratio = 1.5 (total exposure 150%)
What are the portfolio return, standard deviation and its Sharpe? 
6C.
If there is an optimal-Sharpe allocation for stocks and bonds, and the total exposure is 100%, what is the allocation ratio?
7. For the following calculation problems, use these data. (daily)

Stock daily arithmetic average return: 0.046%
Standard deviation of stock returns: 1.141%
Bond daily arithmetic average return: 0.028%
Standard deviation of bonds rerurns: 0.708%
Stock-bond correlation coefficient: -0.19

7A. There are stocks and bonds in an investment portfolio. What is the "efficiency frontier" line drawn using the LETF of each of the two assets and the standard deviation and return? (Hint: The efficiency frontier is not the capital allocation line.)

Clear selection

7B.

Definition: The optimal leverage ratio maximizes return on the investment portfolio.

What is the optimal leverage ratio for stock LETF?
What is the long-term return (252 days or 1 year) at this ratio?

What is the optimal leverage ratio of bond LETF?
At this ratio, what is the long-term return (252 days or 1 year)?

7C.
There are stock LETFs and bond LETFs in the portfolio.

What is the optimal configuration ratio?
What is the optimal leverage ratio for each?
At this ratio and multiple, what is the long-term return (252 days or 1 year)?
8. Please give three reasonable reasons why SSO (2xLETF of SP500) is not always the best choice.
9. Assuming that returns follow a normal distribution, which problem is the most serious "in the long run"?
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10. Assuming that the original index returns follow a normal distribution, what is the most impossible value for LETFs' skewness to have?
Clear selection
11. Please leave your contact information. (Facebook/Instagram/Discord/Email..)
We may contact you later, and of course it doesn't matter if you don't want to fill this up.
Cheat sheet: Dual Assets Portfolio
Cheat sheet: Single Asset LETF
Cheat sheet: Optimal weights of dual LETFs
Cheat sheet:
Returns are normal while prices are lognormal distributed.
The third moment of price (skewness)
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