rongsummer

恩，我也觉得，陷阱好多啊，再问下，那个performace attribution里的，bench mark 的currency risk ...
greenturtle 发表于 2012-6-5 16:33

    benchmark的那个事3点几的，算出来5点几要减去总的CURRENCY ALLOCATION.这个应该给确定的

宾克斯的酒

VOL 4 P137：Note that the breakeven spread widening analysis must be associated with an investment h ...
greenturtle 发表于 2012-6-5 16:41

Keynes said：when the fact change, I change my mind.

reonade

从NOTE上看到这段,  是不是那题该选 irrevocable discretionary trust? 题目有没有说那老人一定要定额分配阿？  With a discretionary trust, the trustee determines how the assets are to be distributed.
The primary concern is that the assets are distributed to produce the greatest benefit to
the beneficiary or beneficiaries. The settlor can convey her general wishes through the
trust documentation or separately through a letter of wishes

tyggt001

回复 241# 宾克斯的酒


就这题来说无所谓吧

德国的久期5.x，波兰的7.x

不管你选波兰还是选长的那个，都是一样的

tyggt001

回复 242# reonade



   直觉上来说，老人怕孩子败家，强制fixed，让孩子后半生有保障

reonade

回复 244# tyggt001


    YY下哦,呵呵,如果数额一直固定,更不上通货膨胀啊,以后小孩子结婚了花费肯定更大,是不是该根据需求让trustee去决定支出呢

tt501916

"unexpected inflation" is referred to underlying asset here. "hedge" is defined as instrument that can attain negative movement with the underlying asset (from the CFA texbook). so when asset goes up, hedge instrument must go down in order to achieve the hedging purpose. i.e. negative correlation.

I am sorry to tell for most of you but the answer is definitely negative corelation. Answer: -0.3

tyggt001

回复 246# tt501916


这题题干是啥？
我忘了


如果用工具对冲资产，当然是选<0的

但问题是unexpected inflation(产生的short fall)是负债
对冲负债当然得用correlation>0的资产了

直觉上来说，如果(只有)你知道未来有未预期得通胀，当然会去买real bond咯

tt501916

FOF (Fund of fund) does not or is least likely to need "due diligence", read from textbook. So the answer is B: due diligence.

foravenir

回复 247# tyggt001


    其实我觉着吧。。正负有什么关系呢？做多或者卖空不都可以么。。所以选个绝对值大的吧  - -