An Investor's portfolio is made up as follows.
40% Passive Index
20% Enhanced Index, .5% Active Return, 1.0% Tracking Risk.
20% Manager A, 1.5% Active Return, 2.5% Tracking Risk
20% Manger B, 3.0% Active Return, 6% Tracking Risk
1.) What percentage of the portfolio is the satellite.
A.) 40%
B.) 50%
C.) 60%
2.) What is the Information Ratio of the Portfolio.
A.) .76
B.) .78
C.) .80
Edited 2 time(s). Last edit at Tuesday, May 24, 2011 at 09:15AM by Paraguay.作者: justin88 时间: 2011-7-11 19:54
1) 40%
2) I'm getting an IR of .76
Active Return of 1%, Active Risk of 1.32%作者: bboo 时间: 2011-7-11 19:54
It certainly was. I'm just glad to see I know something.....作者: Roflnadal 时间: 2011-7-11 19:54
5% Active Return?you mean 0.5% or 5%?作者: pennyless 时间: 2011-7-11 19:54
niraj_a Wrote:
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> damn good question. is this a shweser product?
I wrote it myself, which is why the answer was screwed up to start.作者: NakedPuts2011 时间: 2011-7-11 19:55
so what is the right answer for the IR?作者: IAmNeil 时间: 2011-7-11 19:55
ok, no clue what you are doing in that equation作者: Colum 时间: 2011-7-11 19:55
mcap11 Wrote:
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> ok, no clue what you are doing in that equation
Weighted average active return / weighted average deviation assuming uncorrelated active returns.作者: zwjy 时间: 2011-7-11 19:55
dhwit Wrote:
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> So, just to confirm... ehnahced index does or does
> not count towards the core? A is 40% (index only)
> and C is 60% (index and enhanced index).
You have the answer backwards. 40% is the satellite via 100-40-20 = 40. 60% is the core.
Pg 257. "The type of portfolio that Nakasone constructed in the previous section is referred to as a core-satellite portfolio. Specifically, 52% of the overall portfolio--THE INDEX AND SEMIACTIVE MANGERS--constitutes the core holding."
Core holding is active and semiactive(enhanced indexing).作者: Valores 时间: 2011-7-11 19:55
Paraguay Wrote:
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> dhwit Wrote:
> --------------------------------------------------
> -----
> > So, just to confirm... ehnahced index does or
> does
> > not count towards the core? A is 40% (index
> only)
> > and C is 60% (index and enhanced index).
>
> You have the answer backwards. 40% is the
> satellite via 100-40-20 = 40. 60% is the core.
>
> Pg 257. "The type of portfolio that Nakasone
> constructed in the previous section is referred to
> as a core-satellite portfolio. Specifically, 52%
> of the overall portfolio--THE INDEX AND SEMIACTIVE
> MANGERS--constitutes the core holding."
>
> Core holding is active and semiactive(enhanced
> indexing).
Got it - misread the question. Thought it was worded as what percent represents the core.作者: mar350 时间: 2011-7-11 19:55
Paraguay Wrote:
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> niraj_a Wrote:
> --------------------------------------------------
> -----
> > damn good question. is this a shweser product?
>
> I wrote it myself, which is why the answer was
> screwed up to start.
Wow. You are not supposed to reveal CFA exam question here 作者: PalacioHill 时间: 2011-7-11 19:55
hellscream Wrote:
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> Paraguay Wrote:
> --------------------------------------------------
> -----
> > niraj_a Wrote:
> >
> --------------------------------------------------
>
> > -----
> > > damn good question. is this a shweser
> product?
> >
> > I wrote it myself, which is why the answer was
> > screwed up to start.
>
>
> Wow. You are not supposed to reveal CFA exam
> question here
I don't get it?作者: mp3bu 时间: 2011-7-11 19:55
Yes. Enhanced and Passive are BOTH included in Core holding. This is straight out of the CFAI curriculum folks.
C
A作者: oneboy 时间: 2011-7-11 19:55
jdane416 Wrote:
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> Yes. Enhanced and Passive are BOTH included in
> Core holding. This is straight out of the CFAI
> curriculum folks.
>
> C
> A
The answer would be A then. 40% of the portfolio in the Satellite, 60% in the core.作者: bkballa 时间: 2011-7-11 19:55
Paraguay Wrote:
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> hellscream Wrote:
> --------------------------------------------------
> -----
> > Paraguay Wrote:
> >
> --------------------------------------------------
>
> > -----
> > > niraj_a Wrote:
> > >
> >
> --------------------------------------------------
>
> >
> > > -----
> > > > damn good question. is this a shweser
> > product?
> > >
> > > I wrote it myself, which is why the answer
> was
> > > screwed up to start.
> >
> >
> > Wow. You are not supposed to reveal CFA exam
> > question here
>
> I don't get it?
Sorry, bad joke... Was trying to say you are so good! You can create better question than the CFA paper!
Edited 1 time(s). Last edit at Friday, May 27, 2011 at 10:38PM by hellscream.
