azimao

1 Ethics Trade allocation - violation
2 Ethics Traded on material nonpublic info – violation
3 Ethics ?

4 Ethics Flash email and follow-up – not a violation
5 Ethics?
6 Ethics ?

7 -12 portfolio too risky; allocation with clients ,unfair(front-running)

13 Beh Fin - house money (take more risk)
14 Beh Fin - short term memory effect, changing from long term return to annual return (make things worse)
15 Beh Fin - acute vs. chronic (acute)
16 Beh Fin - equity allocation (60% or 50%?, forgot)
17 Beh Fin client is making most decisions but still using professional - self attribution
18 Beh Fin - loss averse ( hold)
19 PM-?
20 PM-?
21 PM-Asset alloc'n Float – first comment was correct, second was correct
22 PM-?

23 PM-Asset alloc'n Strategy= contrarian
24 PM-Asset alloc'n Completeness fund – lose misfit active return
25 Alt Inv SRI – both comments were right (style, negative screens)
26 Alt Inv The manager that was long-only had more constraints
27 Alt Inv The manager with higher leverage would have to liquidate
28 Alt Inv Repo lower rate for both
29 Alt Inv ?
30 Alt Inv ?
31 FI ?
32 FI Duration of 4.5

33 FI Duration of 4.5, with cash flow matching on the first one
34 FI Cash Flow Matching
35 FI Spread duration – 2.53%
36 FI Dollar duration - $341,000
37 FI.2 2-bond hedge – $0.8 million
38 FI.2 Contingent Immunization Cushion – $83,000
39 FI.2 Equity=>cash w/ future
40 FI.2 Rebalance W/ future
41 FI.2 Equity swap for emerging markets – pay interest rate
42 FI.2 ?
43 PM Information ration using IC = 0.6(0.06*100^0.5)
44 PM Active risk = sq of true active + misfit active = 6.3% or something close
45 PM ?
46 PM ?
47 PM ?
48 PM ?
49 Fylasia Investability
50 Fylasia The currency appreciation question – interest rates
51 Fylasia Government reduces import tariffs
52 Fylasia integration cost of capital will fall
53 Fylasia %change in index = a + b * %change in GDP
54 Fylasia ?
55 PM_GIPS ?
56 PM_GIPS Create a new SRI composite
57 PM_GIPS Range highs and lows for internal valuation
58 PM_GIPS Terminated portfolio – August
59 PM_GIPS ?

60 PM_GIPS number of portfolio, not be required to disclose

[此贴子已经被作者于2009-6-12 1:33:57编辑过]

azimao

还有一个题就记得答案是COLLAR. 考试的时候发高烧, 可能有很多回忆的不对,请大家指正.

nzharbinger

问大家阿，8181卷有一题算spread duration的，他说equal weight,是不是就简单的把duration加起来然后初以3阿，我记得答案是C 4，还有一题，算misfit return的，为啥么条件不足阿，他就给了portfolio return和benchmark return阿

alaiyeshi

QUOTE:

以下是引用azimao在2009-6-12 1:16:00的发言：

1 Ethics Trade allocation - violation
2 Ethics Traded on material nonpublic info – violation
3 Ethics ?

4 Ethics Flash email and follow-up – not a violation
5 Ethics?
6 Ethics ?

7 -12 portfolio too risky; allocation with clients ,unfair(front-running)

13 Beh Fin - house money (take more risk)
14 Beh Fin - short term memory effect, changing from long term return to annual return (make things worse)
15 Beh Fin - acute vs. chronic (acute)
16 Beh Fin - equity allocation (60% or 50%?, forgot)
17 Beh Fin client is making most decisions but still using professional - self attribution
18 Beh Fin - loss averse ( hold)
19 PM-?
20 PM-?
21 PM-Asset alloc'n Float – first comment was correct, second was correct
22 PM-?

23 PM-Asset alloc'n Strategy= contrarian
24 PM-Asset alloc'n Completeness fund – lose misfit active return
25 Alt Inv SRI – both comments were right (style, negative screens)
26 Alt Inv The manager that was long-only had more constraints
27 Alt Inv The manager with higher leverage would have to liquidate
28 Alt Inv Repo lower rate for both
29 Alt Inv ?
30 Alt Inv ?
31 FI ?
32 FI Duration of 4.5

33 FI Duration of 4.5, with cash flow matching on the first one
34 FI Cash Flow Matching
35 FI Spread duration – 2.53%
36 FI Dollar duration - $341,000
37 FI.2 2-bond hedge – $0.8 million
38 FI.2 Contingent Immunization Cushion – $83,000
39 FI.2 Equity=>cash w/ future
40 FI.2 Rebalance W/ future
41 FI.2 Equity swap for emerging markets – pay interest rate
42 FI.2 ?
43 PM Information ration using IC = 0.6(0.06*100^0.5)
44 PM Active risk = sq of true active + misfit active = 6.3% or something close
45 PM ?
46 PM ?
47 PM ?
48 PM ?
49 Fylasia Investability
50 Fylasia The currency appreciation question – interest rates
51 Fylasia Government reduces import tariffs
52 Fylasia integration cost of capital will fall
53 Fylasia %change in index = a + b * %change in GDP
54 Fylasia ?
55 PM_GIPS ?
56 PM_GIPS Create a new SRI composite
57 PM_GIPS Range highs and lows for internal valuation
58 PM_GIPS Terminated portfolio – August
59 PM_GIPS ?

60 PM_GIPS number of portfolio, not be required to disclose

[此贴子已经被作者于2009-6-12 1:33:57编辑过]

呵呵，这不就是analystforum里面那个帖子么……

nzharbinger

28 Alt Inv Repo lower rate for both

 

我觉得第一个repo rate低，第二个高

 

50 Fylasia The currency appreciation question – interest rates

 

我选inflation

 

chon

QUOTE:

以下是引用nzharbinger在2009-6-12 10:00:00的发言：

28 Alt Inv Repo lower rate for both

 

我觉得第一个repo rate低，第二个高

 

50 Fylasia The currency appreciation question – interest rates

 

我选inflation

 

 

越是稀罕的 repo rate 越低

 

50题我也选 inflation

因为interest rate 低的话，根据汇率--利率平价， currency will apprecation

 

nzharbinger

QUOTE:

以下是引用chon在2009-6-12 10:56:00的发言：

 

越是稀罕的 repo rate 越低

 

50题我也选 inflation

因为interest rate 低的话，根据汇率--利率平价， currency will apprecation

 

 

同意，我知道我repo那题不对了

 

有谁知道那题spread duration with equal weight得是选沙么阿，接下去后面那题DD和这题有联系马？

chon

QUOTE:

以下是引用nzharbinger在2009-6-12 11:00:00的发言：

 

同意，我知道我repo那题不对了

 

有谁知道那题spread duration with equal weight得是选沙么阿，接下去后面那题DD和这题有联系马？

这个题目有点tricky

 

treasury 本身的spread 是0， 因此只要考虑 另外两个 spread,而且 他们的 spread duration 就是他们自己的duration.

 

 

nzharbinger

QUOTE:

以下是引用chon在2009-6-12 11:04:00的发言：

这个题目有点tricky

 

treasury 本身的spread 是0， 因此只要考虑 另外两个 spread,而且 他们的 spread duration 就是他们自己的duration.

 

 

 

我也想明白了，呵呵，那还有提算misfit return得是不是条件没给全阿，因为只看到portfolio return和benmark retuan阿

chon

QUOTE:

以下是引用nzharbinger在2009-6-12 11:00:00的发言：

 

同意，我知道我repo那题不对了

 

有谁知道那题spread duration with equal weight得是选沙么阿，接下去后面那题DD和这题有联系马？

 

我觉得fixed income那个题目好难啊

 

interest rate上升的话，选 cash flow 还是或有免疫策略。。

 

 

我选的是或有免疫策略