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标题: CFA2级 mock25的27 47 59 [打印本页]

作者: towardsutopia21 时间: 2013-9-11 19:36 标题: CFA2级 mock25的27 47 59

27. Dexter's concern regarding TML's management reflects each of the following risk areas
except:
A. asset risk.
B. liability risk.
C. accounting risk.
A和B好象没看到过..是不是就单纯指对资产和负债带来的风险?

47题:
Statement 1: If short‐term interest rates rise, Arc Holdings is more likely to experience cash flow
problems because they have a higher percentage of reset notes. 能解释下为什么错误吗?cash flow
problems到底跟什么有关?

Percentage of Total Debt       Arc Holdings                Tadd Group
Bank Debt                            10%                            40%
Unsecured Reset Notes          20%                               0%
Senior Debt                         15%                               20%
Senior Zero Coupon Bonds    15%                               0%
Subordinated Debt                40%                               40%

59题 B为什么不对? TotalFactor不是Portfolio T更大吗? 另外industry neutral 是怎么判定的?
Based on the analysis reported in Exhibit 3, the most appropriate conclusion regarding the
active risk analysis of the two portfolios is that:
A. Portfolio S assumed more active factor risk than Portfolio T.
B. Portfolio T earned a higher return from active factor selection.
C. Portfolio T was industry neutral compared to the benchmark portfolio

Portfolio          Industry          Risk Indexes TotalFactor    Active Specific Active Risk Squared
S                   10.0 (28%)       12.0 (33%)    22.0 (61%) 14 (39%) 36
T                   2.0 (5%)          26.0 (65%)    28.0 (70%)    12 (30%) 40

作者: apf陈老师 时间: 2013-9-11 19:47

在公司理财中asset risk说的是给管理层发放过高的薪酬.liability risk是说off-balance items

第一个问题：针对的原文部分是： Dexter is concerned about （1）management's ability to receive excessive compensation, （2）to take on unwarranted off-balance-sheet obligations, and to （3）enter into transactions harming shareholders' long-term interest. 这三点中（1）是asset risk，因为管理层拿过多，等于拿走了股东的资产（现金）（2）是liability risk，off-balance sheet 的方式的负债，是负债风险（3）是strategic risk，损害了股东的长期利益的交易，是战略上的问题而accounting risk是指财务做账的问题，比如帐目错误，或者故意误导的假账等等

第二个问题： 1）因为bank debt是浮动利率的，参照Notes第4本第144页倒数第三段。reset notes也是定期重设利率的，所以bank debt+reset notes会随着利率上升而利息支付得更多。 Acr公司总共有bank debt+reset notes是30%，而Tadd公司bank debt+reset notes是40%，所以对Tadd公司现金流影响更大，因为Tadd公司会支付更多利息 2）关于银行的借款，这个不管是中国还是国外都是要优先偿还，优先于其他债券的。

第三题，D对是因为，Portfolio T中industry factor因素只占5%，比例非常低，所以跟benchmark的industry 构成几乎是一样的，所以是industry neutral的portfolio。 B错是因为正文中説了“Mendez computes information ratios for Portfolios S and T equal to 0.25 and 0.55, respectively.”，根据表格我们知道S的active risk squared = 36, T的active risk squared = 40, 所以S的active risk是6，T的active risk是6.32（standard deviation). 那么根据information ratio可以推算出S的active return ＝ 0.25*6＝1.5，T的active return = 0.55 * 6.32 = 3.28，所以T的获得higher return from active asset selection

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