P390 Q13, it says invest internationally can increase sharpe ratio and international investing has more profitable investments(see P394), I disagree, as we know sharp ratio is determined by return and risk, we should also consider risk, secondarily, if I am indonesian, in 2009-2010 I’m better off if I invest in Indonesia only, invest in china or internationally will reduce my return and sharp, it is not correct to say ” international investing has more profitable investments”
P341, Q10A, (p331 also), the question is asking frontier A belongs to conventional or resamped? I would like to know is resamped frontier give better return than conventional, if this is case, then A should be resamped and B is conventional, I ‘m not sure the answer is correct or not, can anyone explain?
10.B, how estimation error in expected return affect efficient portfolio optimization? any evidence from text book?
11.A, can anyone tell me what does 1, 1”, 1’ means?
P332, Q12, it says we should look at 10% line one(page P342), but why it is not 90% line? question is asking 90 percent of probability, not 10%, right?
p333, Q15, what happens to age 60 or 58?do we still allocate 100/0 or 60/40? what is the guide line? why not 70/30? why age 50 can still have 100/0? in 50, most of people are out of job already.
p334, Q16. A, the long term return for A is 0.5*8+0.5*10=9, but my answer is using 0.3*8+0.3*10, is it correct, why? 30% is from page 333 bottom.
Q16. B, why we should overweight US equity and underweight ex-US equity? from the long term point of view, US equity only provide 8% return, far less than ex-US equity. policy portfolio asset weight should based on long term target, isn’t it?
P344, Q17, it says “portfoilio C’s sharp ratio is lower than, but in line with those of A and B”, any one can easily caclulate in P335, portfolio C’s sharp is 13.3/19.8, very large and more than A and B, isn’t it?作者: marsilni 时间: 2013-4-8 21:22
I can only say :Read the assigned reading:
If you feel the CFAI books are so wrong - why are you in the program at all?
For example - first question - an oft repeated theme is international investing reduces risk because of diversification benefits, which happen because there is low correlation amongst international investments.
Also there is the potential higher return possible. Increase of return increases numerator of the sharpe ratio, while Reduction of risk due to diversification reduces denominator == combination is a increase in the sharpe ratio.作者: wizofoz 时间: 2013-4-8 21:22
READ the books作者: studyn 时间: 2013-4-8 21:22
francis ,
hindsight is a wonderful thing. Indonesia looked hot in 2009-2010 , but that is in the rearview mirror. Going into 2009 , would you have been able to say for certain that Indonesia would overperform , therefore you should abandon all else?
Diversification would reduce risk ex-ante , never question that. Unless you have very strong opinions and are willing to bet big. Or you are a gambler作者: anish 时间: 2013-4-8 21:23
If you are arguing that investing in an emerging economy is better than diversifying, I have nothing to say… apart from “Good luck!” because you will need loads of it.
