以下是引用goldenbin在2008-6-12 14:09:00的发言：这几道题讨论一下：
6. What should H do to comply with code and standard?
A.
B. reduce Black's allocation of the fund until compliance requirement meet
C. let Black continously manage the fund as long as achieve good return performance
D.
I choose suspend....just feeling..
26. The repo rate is determined by collateral and position of the borrower?
Collateral position
YES YES
I choose Yes No. 没看到书上写position和repo rate有关系 有关系的是1.collateral quality 2.term of repo 3.delivery requirement 4.availability of collateral 5.prevailing interest rate 6.seasonal factor
35. To minimize tracking error, add return, and reduce misfit risk, which is most appropriate?
A. Core-Satelitte Approach
B. Completeness Fund
C. Enhance indexing
D. Portable alpha
I choose A, this question have lots of arguements.
I Choose A. Feeling....reduce misfit can also be done by comleteness fund but the return will be sacrified.
37. The university is want to maxmize information ratio, minimize tracking error, and there is instable cash inflow and outflow, the best strategy is
A. enhance indexing
B. enhance indexing with optimization
C. active management
D. enhance indexing with
Choose B.
I choose D. Enhanced indexing has highest IR. (instable cash inflow and outflow：don't know this means what? Is it means cannot use full-replication?）
38. The appropriate strategy for investing in an international market for the university if use an indexing strategy and want to reduce transaction cost:
A. investability rather than breath
B. target float adjustment rather than flexible adjust
C. band float adjustment rather than
I choose A. International equity volumn 4 page 170 - investability rather than breath
39. To reduce rebalance cost and tracking error, the appropriate strategy
A. Indexing with optimization
B.
C. Passive Indexing
D.
Choose C.
don't remember...
40. Which of following statement is false?
Statement1:
Statement2:if active risk double, the active return will be double
Statement3:
Statement4:portable alpha can be added to indexing portfolio to ....?
I choose Statement 2.
I choose Statement 2.
48. Statement about manage future: it is a good diversified investment because investors tend to pay a premium for hedge. CTA has storage cost advantage than most individual, institution investors and traders.
A. YES
B. NO, first statement is true but second is false because CTA don't have such advantage
C. NO, because investor tend to receive a premium for hedge
D. NO, both statement is incorrect.
Choose B, not sure.
Choose B, not sure also.
27. Statement regarding scenario analysis, can use it to determine the effect of only one variable change and scenario analysis can result in different result from total return approach
The statement is:
A. YES
B. NO, because it can't measure one variable change
C.
D. NO, can't result in different result with total return approach.
I choose A. B&C both wrong and it's a supplement to total return analysis.
发表于 2008-6-13 01:10
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