Quiz: Core Satellite. percentage, 2011

adehbone

An Investor's portfolio is made up as follows.
40% Passive Index
20% Enhanced Index, .5% Active Return, 1.0% Tracking Risk.
20% Manager A, 1.5% Active Return, 2.5% Tracking Risk
20% Manger B, 3.0% Active Return, 6% Tracking Risk

1.) What percentage of the portfolio is the satellite.
A.) 40%
B.) 50%
C.) 60%

2.) What is the Information Ratio of the Portfolio.
A.) .76
B.) .78
C.) .80



Edited 2 time(s). Last edit at Tuesday, May 24, 2011 at 09:15AM by Paraguay.

bkballa

Paraguay Wrote:
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> hellscream Wrote:
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> > Paraguay Wrote:
> >
> --------------------------------------------------
>
> > -----
> > > niraj_a Wrote:
> > >
> >
> --------------------------------------------------
>
> >
> > > -----
> > > > damn good question. is this a shweser
> > product?
> > >
> > > I wrote it myself, which is why the answer
> was
> > > screwed up to start.
> >
> >
> > Wow. You are not supposed to reveal CFA exam
> > question here
>
> I don't get it?

Sorry, bad joke... Was trying to say you are so good! You can create better question than the CFA paper!



Edited 1 time(s). Last edit at Friday, May 27, 2011 at 10:38PM by hellscream.

oneboy

jdane416 Wrote:
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> Yes. Enhanced and Passive are BOTH included in
> Core holding. This is straight out of the CFAI
> curriculum folks.
>
> C
> A

The answer would be A then. 40% of the portfolio in the Satellite, 60% in the core.

PalacioHill

hellscream Wrote:
-------------------------------------------------------
> Paraguay Wrote:
> --------------------------------------------------
> -----
> > niraj_a Wrote:
> >
> --------------------------------------------------
>
> > -----
> > > damn good question. is this a shweser
> product?
> >
> > I wrote it myself, which is why the answer was
> > screwed up to start.
>
>
> Wow. You are not supposed to reveal CFA exam
> question here

I don't get it?

mp3bu

Yes. Enhanced and Passive are BOTH included in Core holding. This is straight out of the CFAI curriculum folks.

C
A

mar350

Paraguay Wrote:
-------------------------------------------------------
> niraj_a Wrote:
> --------------------------------------------------
> -----
> > damn good question. is this a shweser product?
>
> I wrote it myself, which is why the answer was
> screwed up to start.


Wow. You are not supposed to reveal CFA exam question here

zwjy

dhwit Wrote:
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> So, just to confirm... ehnahced index does or does
> not count towards the core? A is 40% (index only)
> and C is 60% (index and enhanced index).

You have the answer backwards. 40% is the satellite via 100-40-20 = 40. 60% is the core.

Pg 257. "The type of portfolio that Nakasone constructed in the previous section is referred to as a core-satellite portfolio. Specifically, 52% of the overall portfolio--THE INDEX AND SEMIACTIVE MANGERS--constitutes the core holding."

Core holding is active and semiactive(enhanced indexing).

Valores

Paraguay Wrote:
-------------------------------------------------------
> dhwit Wrote:
> --------------------------------------------------
> -----
> > So, just to confirm... ehnahced index does or
> does
> > not count towards the core? A is 40% (index
> only)
> > and C is 60% (index and enhanced index).
>
> You have the answer backwards. 40% is the
> satellite via 100-40-20 = 40. 60% is the core.
>
> Pg 257. "The type of portfolio that Nakasone
> constructed in the previous section is referred to
> as a core-satellite portfolio. Specifically, 52%
> of the overall portfolio--THE INDEX AND SEMIACTIVE
> MANGERS--constitutes the core holding."
>
> Core holding is active and semiactive(enhanced
> indexing).

Got it - misread the question. Thought it was worded as what percent represents the core.

IAmNeil

ok, no clue what you are doing in that equation

Colum

mcap11 Wrote:
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> ok, no clue what you are doing in that equation


Weighted average active return / weighted average deviation assuming uncorrelated active returns.