接着上一帖的题 Regarding their reasons for underperformance being related to the construction of their benchmark: A) | Beshlians statement is valid; Haggertys statement is invalid |
| | B) | Beshlians statement is invalid; Haggertys statement is invalid. |
| | C) | Beshlians statement is valid; Haggertys statement is valid. |
| | D) | Beshlians statement is invalid; Haggertys statement is valid. |
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Answer and Explanation
Beshlians statement is valid. With international indexes, higher breadth, or coverage of an index comes at the expense of investability, or liquidity. Haggertys statement is invalid. When an emerging market country reaches a size where it is added to a developed market index, its equities become more accessible as a result of developed countries being more widely traded. This in turn can help the former emerging market country develop more quickly, and will increase, not decrease the countrys investability.
The currency allocation effect for the Waterfront International Fund was closest to:
Answer and Explanation
First, calculate the difference between the U.S. dollar return and the local currency return for both the portfolio and the benchmark in each country:
Portfolio Japan = (14.95% - 21.00%) = -6.05%
Benchmark Japan = (13.53% - 19.50%) = -5.97%
Portfolio United Kingdom = (7.52% - 12.00%) = -4.48%
Benchmark United Kingdom = (8.96% - 13.50%) = -4.54%
Portfolio France = (6.09% - 8.25%) = -2.16%
Benchmark France = (7.80% - 10.00%) = -2.20%
Currency allocation effect = SUM (w j,p C j.p) - (w j,b C j.b)
[(0.40 × -6.05%) (0.20 × -5.97%)] + [(0.30 × -4.48%) (0.40 × -4.54%)] + [(0.30 × -2.16%) (0.40 × -2.20%)] = [-1.23% + 0.47% + 0.23%] = -0.53%
The market allocation effect for the Waterfront International Fund was closest to:
Answer and Explanation
Market allocation effect = SUM (w j,p - w j,b ) R j.b,f
[(0.40% - 0.20%) × 19.50%] + [(0.30% - 0.40%) × 13.50%] + [(0.30% - 0.40%) × 10.00%] = [3.90% -1.35% - 1.00%] = 1.55%
The security selection effect for the Waterfront International Fund was closest to:
Answer and Explanation
Security selection effect = SUMw j,p (R j.p,f - R
j.b,f)
[0.4 × (21.00% - 19.50%)] + [0.3× (12.00% - 13.50%)] + [0.3 × (8.25% - 10.00%)] = [0.60% -0.45% - 0.53%] = -0.38%.
Regarding their statements about fixed income benchmarks: | A) | Fulop is correct; Liwo is correct. |
| | B) | Fulop is incorrect; Liwo is incorrect. |
| C) | Fulop is incorrect; Liwo is correct. |
| | D) | Fulop is correct; Liwo is incorrect. |
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Answer and Explanation
Fulops statement is incorrect. It is true that the weighting of corporate bonds in bond benchmarks has risen at the expense of the weighting of Treasuries. However, this has caused the credit quality of benchmarks to decline and become riskier resulting in a rise in duration. Liwos statement is correct. The bums problem is a unique characteristic of capitalization-weighted fixed income benchmarks because the cap weighting puts more emphasis on issuers that borrow the most. The result is increased credit risk since the greater amount of borrowing increases the risk of the issuing firm, and in turn also increases the weight of that issuing firm in the benchmark.
Traditionally, Waterfront Capital Management has used holdings-based analysis to analyze the managers of its funds, however, Joseph King, WCAs Director of Research believes that returns-based style analysis is a superior methodology. King cites the following reasons to support his claim: | Reason 1: | One of the problems with portfolio-based style analysis is the both the fund composition and the benchmark composition need to be known, but this information can be difficult to obtain. | | | Reason 2: | Since returns-based style analysis classifies funds based on actual fund performance in relation to index returns representing specific asset classes, the fund manager will always know exactly what asset classes are in the fund. | | | Reason 3: | Data input requirements means that returns-based style analysis is quick to detect any changes in a managers style. |
Which of Kings reasons for supporting returns-based style analysis are CORRECT?
Answer and Explanation
Reason 1 is correct. Portfolio-based style analysis requires both the fund composition and benchmark composition to be known in order to conduct the analysis. Since many funds only release their holdings twice per year, getting accurate, up to date data on the fund could be problematic, thus favoring returns-based rather than holdings-based analysis. Reason 2 is incorrect. Because of spurious correlations and its purely statistical nature, returns-based style analysis can lead to misleading results. For example, a fund with no commodity exposure could show up as having significant commodity exposure as a result of spurious correlation. Reason 3 is also incorrect. Data input requirements means that returns-based style analysis may detect changes to a managers style slowly, or possibly not at all.
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发表于 2008-9-18 09:40
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