slaxlw

I've edited on that original post and below is a detailed clarification. hope that helps.

 

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 return 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。

 

这个计算关系到两道题，one question is about misfit return, the other is about true active return.

[此贴子已经被作者于2009-6-12 14:08:58编辑过]

slaxlw

QUOTE:

以下是引用nzharbinger在2009-6-13 9:23:00的发言：

 

what u said was the increase in short term rate was associated with the depreciation in the currency due to the expansion of the economy. Further, the decrease in short term rate is associated with the apprciation of the currency. But the exam question is which one will NOT trigger the currency appreciation.

 

Let me put them in this way:

According to IRP F/S=(1+id)/(1+if)   Currency: DC/FC

If "if" decrease, "F/S" will increase. Therefore, the foreign currency will appreciate

 

Therefore, unless the real interest rate changes, the decrease in the norminal interest will cause the increase in the exchange rate. 

[此贴子已经被作者于2009-6-13 9:31:40编辑过]

The question asked which indicator is LEAST likely to cause appreciation.

 

A interest rate . B inflation.  C technology.  Inflation is flat and this factor alone (holding all others constant) is least likely to trigger appreciation. Note also that only nominal intererst rate was given in the vignette, so the interest rate in the question should refer to nominal rate implicitly. If it meant to be real rate it would have been otherwise stated. You shouldn't use your own assumption (that it's talking about real rate) when picking the answer.

 

有没有人同意acute chronic那道题选chronic？

 

另外有一道Ethics问is recommendation for hedge fund/commodity consistent with code? A. consistent,

B. No because commodity risk is too high, C. No because hedge fund return is too low.

 

I picked A because they both provide diversification given the original portfolio is 100% in debt securities.

[此贴子已经被作者于2009-6-13 20:45:15编辑过]

slaxlw

2 cents on GIPS Firm Definition:

 

Quotes from Curriculum:

 

V6 page 242: If a unit of a larger company specializes in providing investment management services to private cliients, and is marketed as a specialist in meeting the investment needs of high net worth individuals and family officers, then that organizational unit might qualify as a "firm" for the purpose of GIPS compliance. Certainly, however, the unit's entitlement to be considered a firm under the GIPS standards could be justified IF IT ADDITIONALLY WERE INCORPORATED AS A SUBSIDIARY and had its own dedicated financial analysts, portfolio managers, and traders located in a separate building or area of the company and reoporting through a separate chain of command to the parent organization's senior management.

 

V6 page 243 If the two divisions were organizationally segregated but share the same trading desk, the institutional trust division would have to determine whether its decision-making autonomy is compromised by the trading agreement -  if the traders merely fill the portfolio manager's orders, then the institutional trust division ARGUABLY REMAINS AUTONOMUS, but if the traders actively participate in the identification of misvalued securities, a greater impediment to the autonomy argument would exist.

 

So it appears that for that question, B, shared trading desk is NOT a violation but C, Unincorporated Subsidiary is the corret answer.

 

有人记得早上倒数第三题有没有credit risk？好像是日元和加元汇率。

[此贴子已经被作者于2009-6-15 17:22:51编辑过]