[学习疑问] level 3, 读notes发现的一些问题，希望大家给解答 一共10个 谢谢！ contract, objective, investor

minminmin

 

1.Notes1 294 equity collar part: the last sentence—note that the collar must be set wide enough such that the investor can lose money, or it will be deemed a constructive sale. What does this mean?

2.Notes3 Page 80 the example, since the %delta value is -2million, and the objective is to limit it to 1 million, and the answer says that we should short future contract. Am wondering that, from -2 to -1, shall we buy futures instead? Confused here….

3.Notes 3 Page 135, the last paragraph, equity swaps are discussed as part of potential moral hazard problem with upper management. What’s that about?

4.Notes4 page 70 last paragraph,…especially comparing the differences in the basis risk of financial and commodity futures. Who can tell me what is the difference?

5.Notes4 Page 124, the middle paragraph of this page…”short term contracts may generate higher commission costs than longer-term contracts, but they may reduce the number of transactions necessary to adjust the hedge.” Since we have to roll up the short term contracts for many times, why we say it reduces the number of transactions?

6.Notes 4 Page 204, the delta hedge example, cannot understand it well…

7.Notes5 page 44, the paragraph of “changes in asset class expected returns”. “if quality spreads are abnormally wide, lower quality bonds may be more attractive over the next period” why?

8.Notes 5 Page 50, last paragraph of this page. “…the very last dollar in the portfolio consists of the established proportion of debt and equity (i.e., effectively the portfolio goes to zero)” what does it mean?

9.Notes 5 Page 149, FOR THE EXAM part, it is describing a contradiction appeared in the curriculum, who knows what’s that about and is it really serious?

10.Notes 5 Page 196, the 2^nd paragraph: “if a portfolio’s status changes from discretionary to nondiscretionary, the portfolio may not be removed from a composite retroactively. However, the portfolio must be removed going forward.” Does it mean that, the history record will be kept, but the portfolio will not be included in this composite anymore?

suyer

Q10: It means the portfolio performance before excluded from composite should be kept in the composite calculation
Eg.  If the portfolio ABC entered into composite on 1/1/2009 but excluded from composite on 7/1/09 due to its status changing. The composite performance for the period 1/1/09-7/1/09 should still be included this portfolio performance.  If you calculating the composite performance for the period 1/1/09-7/1/09 without portfolio ABC, it's a retroactively  method and violation of GIPS.

tutusia

Q8, the established proportion, means always the constant weight. so the last dollar is almost nothing.

Jack_Bauer

You are right about #10,I am just working on it now. but dont have time to look at the others. sorry

dinno007

“if quality spreads are abnormally wide, lower quality bonds may be more attractive over the next period” why?

Spread too wide means price is cheap now, thus an interesting buy.

PassCFA2010

MM好强。我只知道一个。

answer to Q1: in Schweser exams v2 p272 Discussion on Equity Collar
a concern with equity collars is the constructive sale rule...
看书吧，我就不码字了。

minminmin

自己顶一个了。。