Knowledge Base

Which formula is used to calculate the annualized volatility σf of a fund according to AMF instruction No. 2011-15?

σf = √(m * (Σ(xi - x̄)² / (n-1)))

σf = Σ(xi - x̄)² / (n-1)

σf = √(Σ(xi - x̄)² / (n-1))

σf = m * √(Σ(xi - x̄)² / (n-1))

What is the annualization coefficient used to calculate annualized volatility of weekly returns according to CESR/ESMA guidelines?

252

260

What is the absolute VaR threshold imposed by the AMF for funds making significant use of derivative instruments?

10% of net assets

20% of net assets

30% of net assets

40% of net assets

The SRRI (Synthetic Risk and Reward Indicator) is calculated based on monthly annualized volatility for UCITS subject to the KIID.

True

False

The SRI was introduced by the PRIIPs regulation to gradually replace the SRRI for all financial products from January 1, 2023.

True

False

SRRI class for a volatility of 7%?

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How many observations are needed to calculate the SRRI over five years of weekly data?

250

260

520

Categorize items by dragging them to the appropriate zones

Items to categorize:

Annualized volatility

VaR-Equivalent Volatility at 97.5% confidence level

Credit Risk Measure (CRM)

Categories:

SRRI

SRI