标题: 2011 AM Question 9C [打印本页] 作者: yodacaia 时间: 2013-4-22 15:03 标题: 2011 AM Question 9C
Manager A says he adds value by actively managing duration. I assumed the answer was that we don’t have enough information – all we know is that the interest rate effect was negative; we don’t know which of the 3 components (duration / convexity management or yield curve shape) are negative. Duration effect could be +1% and convexity could be -2% and vice versa.
CFAI says that because he has negative interest rate management effect, he fails at duration management. Am I missing something?作者: dyga 时间: 2013-4-22 15:03
Curriculum doesn’t really mention “managing” convexity focus is on duration. Yield shape is key rate duration
I actually thought Manager A explanation was clearer than Manager B. For Manager B I put Yes originally, but then changed it because I thought Other Management Effects was too vague. If I had Yes/No only to choose, I would have definitely said Yes.作者: Chuckrox 时间: 2013-4-22 15:04
I might choose “cannot determine…”, but the over-thinking on this Q can cost points.作者: iteracom 时间: 2013-4-22 15:04
The second part is also bad because if other mgmt effects includes the transaction cost component, then that could of been the result of outperformance. A stretch maybe, but unless they are gonna give numbers both questions are bad.作者: pacmandefense 时间: 2013-4-22 15:05
I think the part of Manager A is awful. What an unfair question. Somewhere in fixed income we learn the 90%+ of yield curve changes are due to twists and shifts rather than parallel changes (i.e. duration), so he could have very easily had a much more negative effect from the other factors than a positive effect from duration. So you have no idea what the contribution from duration was unless you see a breakout.作者: amqata 时间: 2013-4-22 15:05
markCFAIL wrote:
The second part is also bad because if other mgmt effects includes the transaction cost component, then that could of been the result of outperformance. A stretch maybe, but unless they are gonna give numbers both questions are bad.
also the problem with part B is that it says he gained from undervalued securities. how do you know he didnt short overvalued securities? that is another reason why B can be “cannot determine.”作者: Palantir 时间: 2013-4-22 15:06
I don’t think there’s any over-thinking! They asked about managing duration but only gave us information on interest rate effect. Those are not synonyms!作者: ruchita 时间: 2013-4-22 15:07
