slaxlw

我做的比较慢，最后30秒钟检查完答题卡。说容易不如说考点不是很偏，但是确实有很多小陷阱。House Money在某年早上的真题当中出现过，当时问的是一个人把所有bonuns投资到了一个VC，然后血本无归，答案是这种行为叫做house money。google一下定义大概是--"house money effect," where people are more likely to bet recklessly in casinos with money they have recently won. 所以选择应该是increase xxx. 另外The Flemings lot are now talking about "regret aversion," investors' inclination to sell their winners and stick by their losers。所以regret avoidance那道应该是holding existing stocks。

 

不知道immunization的第一题答案应该选哪个，另外GIPS的第一题investment division是否可以被定义为firm？

slaxlw

关于GIPS那道，选项中没有Seperate managed这个，A是可以，B是NO because of shared trading desk, C是no because it's unincorporated. 感觉应该是B。因为“seperate trader evidence the notion of a seperate entity, even if the division is not a seperate legal entity, such as a subsidiary"-- notes上的clarification on firm definition.

 

Ethics那道 possession of non-public information,我选的是可以，as indepent research indicates reasonable basis and it's reasonable to assume that the manager is acting on the results provided by the research not the information he possessed. 另外我记不得那个公司的人到底是怎么描述takeover了，是肯定还是有可能。

 

我说的immunization 第一道题是计算题，一个是40000多，一个是80000多，还有一个是99990好像。选方法的那题我选的是classic，这道大题我最后做的，不是很确定。

 

还有一道ethics关于commodity and hedge fund proposal, 我选的是 consistent with codes, i think they would provide diversification benefits given the fact that the original portfolio is 100% invested in fix income.

 

关于GIPS disclouse 那道，我记得题目是问 the one LEAST likely to be required to disclose (at the end of the year)。A说的好像是 BOTH net and gross of fee return, 但是requirement 似乎只要求 either one. In anycase the correct answer should be either A or C. 看了楼上的quote以后感觉应该选A了，

[此贴子已经被作者于2009-6-8 20:17:53编辑过]

slaxlw

thx goldentime,我也选的是83000那个。GIPS还有一道是说 claim compliance first and tell the guy that verfication will be completed soon. Is it consistent with GIPS. I picked A, yes consistent.

 

用justified P/E算index price那题 如果是trailing P/E就要x（1+G) and use 2008 EPS. If using leading P/E then should be using 2009 estimated EPS. I think they should yield the same answer but unfortunately I forgot the 1+g part

[此贴子已经被作者于2009-6-8 20:24:52编辑过]

slaxlw

QUOTE:

以下是引用yuji在2009-6-8 23:55:00的发言：

I choose A,

B - As long as the trading desk does not involve in any investment decision making process, and the question explicitly stated that the trading desk only placing the order. Hence, it's acceptable. Reference: CFAI Vol 6 Page 243 - Implementation (2) - Defining the Firm, the last 9 sentences.
C - Is correct too, same reference as above.

恩，这么看Yuji应该是对的。 另外GIPS Verification is highly ENCOURAGED, it's not a requirement.所以我认为那题应该选consistent,nothing wrong with it. I recalled that the verification has already been in process PRIOR to the client's request. It has nothing to do with influence from clients. Manager simply stated the fact that it's in process and will be available soon.

[此贴子已经被作者于2009-6-9 10:49:35编辑过]

slaxlw

QUOTE:

以下是引用wuque在2009-6-8 23:25:00的发言：
下午有道关于future的题目有点tricky。前两题，股票持仓量的单位是CHF，而index future的价格单位是USD，问需要多少张future来改变allocation。开始我没有注意到货币单位，检查的时候发现表里面有一个CHD/USD的汇率没用到，才检查了一下，发现了问题。还有一个把Synthetic cash的题目，给了一个NASDAQ future的beta值，实际上是多余条件。因为书上面的公式是：number of future=T(1+r) / P*m，跟beta是无关的。

CHF should be converted to USD for the first questions, and NASDAQ beta is not used in the last question since it's equitizing cash.

slaxlw

QUOTE:

以下是引用88link88在2009-6-9 10:52:00的发言：

但是,RULES规定,如果COMPLIANCE VERIFIED的话,就必须要取得VERIFICATION REPORT.现在题目的说法是VERIFICATION 马上就完成,明显属于要给自己的COMPLIANCE增加可信度的意图,但是现在还没有取得报告,怎么能间接地说将VERIFIED呢?

该题的考点意图很明确,一问COMPLIANCE是不是需要VERIFICATION(当然不是必须的)二如果声称VERIFIED的话,需要满足什么条件?(其中包括是不是可以声称将被VERIFIED,以及还没有取得VERIFICATION REPORT的情况下就声称VERIFIED.以及任何合规声称都必须有文件记录基础这一普遍要求.

我记得他并没有称已经Verified，只是客户要求V report, 然后他说it's in the process and will be available soon. 他说的是report will be available soon,这个report的结论可以是compliance or NOT in compliance.他没有增加可信度的意图。他也没有说 a report that should verify the compliance status will be available soon.

slaxlw

QUOTE:

以下是引用hehelulu在2009-6-10 17:18:00的发言：

 

Leading P/E = (Dividend1/Earning1)/(Ks-g), 但是请注意 leadingP/E 里面的E 应该是E1，所以是P0/E1。

而E1=E0×（1+g），所以还是要用（1+g） 的，答案应该是4380

如果问的真是09年末的数值估计要用09年estimate x (1+g) x payout/(r-g).....这题陷阱也未免太多了。。。。。。

slaxlw

QUOTE:

以下是引用bostonyang在2009-6-11 9:53:00的发言：

10.85%那道，我也是这么想的，但是我是用加法加的通胀率，然后求税前，所以出来好像是10.6%

有谁记得上午swap那道，选择哪个？

swap 3

slaxlw

QUOTE:

以下是引用eastdeer在2009-6-11 1:05:00的发言：
不同意，应该选A,

没有任何问题，此基金经理选择买入基于两个客观的专业的判断标准：

1. 被收购公司的股票被低估

2. 原文明确说在组合中提高比例是合适的

尽管一开始是由于被收购公司提出这个建议的，但是作出买入的判断标准与这个建议无关，换句话说，如果这两个标准不符合，你在怎么建议我也不买！！

至于有人说的是为了买才做出有利的分析，全是猜测，原文没有提到只言片语，可以忽略。

所以没有任何悬念， A,

我很想同意你的观点，只不过

STANDARD V. RELATIONSHIPS WITH AND RESPONSIBILITIES TO THE INVESTING PUBLIC

    A. Prohibition against Use of Material Nonpublic Information.  Members who possess material nonpublic information related to the value of a security shall not trade or cause others to trade in that security if such trading would breach a duty or if the information was misappropriated or relates to a tender offer.

slaxlw

QUOTE:

以下是引用chon在2009-6-12 10:56:00的发言：

 

越是稀罕的 repo rate 越低

 

50题我也选 inflation

因为interest rate 低的话，根据汇率--利率平价， currency will apprecation

 

是的，currency will appreciate on interest rate change, inflation 是持平的，但有人说选technology那个选项。

 

那道GIPS 算Ture TWR应该分两段算subperiod return then chain linked. Sub-period return = （MV1-MV0-CF）/（MV0）, True TWR = (Sub1+1)(Sub2+1)-1

 

Repo 同意 两个条件都会让repo降低。

 

Spread Duration 那题不知道正确的算法是怎么样的，怎么得出2.53%的？ 

 

另外 Acute vs Chronic 那道我选的是 Chronic，notes上好像写过 most of the investors will seek for chronic as they are long term and less easily identified. Acute inefficiency is easily identified and thus can be eliminated/hedged away quickly.

 

True active return= Manager's return - normal portfolio return

Misfit active return = normal portforlio return - Benchmark return

数字题目都给出了，Benchmark return对于三个manager来说是固定的，好像是要算第三列的加权平均值得出。Manager and normal portfolio 都是根据每一行变化的，记得第一列好像是manager return，第二列是normal portfolio return。把每个manager对应的两个值相减分别算出，忘了是选哪个manager。

 

[此贴子已经被作者于2009-6-12 14:02:40编辑过]