标题: Reading 43: Evaluating Portfol....rmance－LOS s [打印本页]
作者: tycoon 时间: 2008-9-18 09:25 标题: [2008] Session 16- Reading 43: Evaluating Portfol....rmance－LOS s
CFA Institute Area 3-5, 7, 12, 14-18: Portfolio Management
Session 16: Performance Evaluation and Attribution
Reading 43: Evaluating Portfolio Performance
LOS s: Discuss the issues involved in manager continuation policy decisions, including the costs of hiring and firing investment managers.
作者: tycoon 时间: 2008-9-18 09:26
Which of the following would NOT be a feature of a well formulated manager continuation policy?
| A) | A formalized, written manager continuation policy including goals and guidelines. |
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B) | Underperformance, in any circumstances, will lead to automatic replacement of the manager. |
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| C) | Regular periodic manager review should be undertaken. |
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| D) | Decisions to replace managers should always be taken on a clear cost benefit analysis basis. |
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Answer and Explanation
Short periods of underperformance should not necessarily lead to automatic replacement of the manager. Underperformance for consecutive review periods should put the plan sponsor on notice of a potential problem.
作者: tycoon 时间: 2008-9-18 09:27
Suppose that a portfolio management firm has abnormally high turnover in their staff. Which of the following is the most likely scenario?
| A) | The firms Type I error rate is high and their Type II error rate is high. |
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| B) | The firms Type I error rate is low and their Type II error rate is low. |
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C) | The firms Type I error rate is low and their Type II error rate is high. |
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| D) | The firms Type I error rate is high and their Type II error rate is low. |
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Answer and Explanation
Type I error is retaining a poor manager and Type II error is firing a superior manager. If a firm has high turnover in staff, it is unlikely they are retaining poor managers but more likely that they are firing good managers.
作者: tycoon 时间: 2008-9-18 09:27
Suppose that a portfolio management firm has decided that the costs of hiring and firing managers are excessive. Which of the following would be their most appropriate course of action? The firm should:
A) | tolerate more Type I error to reduce Type II error. |
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| B) | tolerate more Type II error to reduce Type I error. |
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| C) | reduce both Type I and Type II errors. |
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| D) | tolerate more Type I and Type II errors. |
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Answer and Explanation
Type I error is retaining a poor manager and Type II error is firing a superior manager. If a firm wishes to reduce the costs of hiring and firing managers, then they should reduce staff turnover. So they should err on the side of retaining poor managers (Type I error) to reduce the chance of firing superior managers (Type II error). They might do this by relaxing the performance criteria managers must meet.
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