greenturtle

回复 226# casey8192


   唉，考完了，讨论了，还是不能确定结果，可见出题出的那个绕啊，这还只是这一道题，其他想不起来的就别提了，郁闷啊，还有那道proxy是否要披露的问题，回来查了书，书上说要向client披露，那这个client是已有的，还是包括potential呢？看了我也确不准选什么

greenturtle

回复  greenturtle


    国际归因前2题，都是B.中间那个
casey8192 发表于 2012-6-5 16:51

    恩

greenturtle

下午哪个 RUIN RATE 的计算题，选什么？

我实在是不会做。

哪个能最好的对冲UNEXPECTED INFLATION 的题 ...
casey8192 发表于 2012-6-5 16:57

    ruin rate选A 10500那个，对冲inflation的没有1的选项呀貌似，一个是0.3，一个是0，一个负的好像

greenturtle

回复  casey8192


    还有个9分的第二题，考税的，问的是对investment risk的影响，题干记不清了 ...
guozeyu 发表于 2012-6-5 20:49

    一个是tax exempt的account，一个是taxable的account，都有亏损，有人说如果都放在taxable的account里面，after tax和investment risk都会增加，问你这个说法对不对

greenturtle

回复 247# tyggt001


    通货膨胀越高，资产价格也越高，这样才是hedge，通货膨胀了，你的房子还跌价，那叫什么hedge啊，只有价格跟着inflation上升，也就是有正的corrolation才有意义

greenturtle

回复  CFANS


   Please read reading 18. Capital market expectation P.63. different asset classes m ...
tt501916 发表于 2012-6-5 20:28

    it has nothing to do with capital market expectation. instead with should refer to  Vol 5 alternative investment. P137, answer for question 25: Commodity classes such as livestock and agriculture exhibit negative correlation with unexpected inflation as measured by monthly changes in the inflation rate. Thus they are poor inflation hedges. Storable commodities directly linked to economic activity exhibit positive correlation with changes in inflation and have superior inflation-hedging properties.

greenturtle

我刚开始也是这么想的，算出来是3点几，但回来想想，有些拿不准了。题目是问currency attribution f ...
robertwen 发表于 2012-6-5 21:50

    portfolio的total currency contribution正好是每个asset的currency contribution乘以每个asset的比例，我算过的，于是我就拿bench mark每个asset的百分比乘以currency contribution，结果是3.5几，答案里一个都对不上，唉

greenturtle

回复  tt501916


    think in another way again.

if the question is changed to "unexpected DEFLAT ...
tt501916 发表于 2012-6-5 21:56

according to you，a hedge must have negative corrolation with the underling asset,
then how can you explain “ Commodity classes such as livestock and agriculture exhibit negative correlation with unexpected inflation as measured by monthly changes in the inflation rate. Thus they are poor inflation hedges. Storable commodities directly linked to economic activity exhibit positive correlation with changes in inflation and have superior inflation-hedging properties“ from the text book

greenturtle

回复 266# dmy949


    it's getting more and more complicated......

greenturtle

Ur right fof does not need details dd, however the question asked what was the problem with fof,  ...
dmy949 发表于 2012-6-5 22:25

    I agree with you.