Boston Mock exam question

Hi All,

this is a question from the 2021 Boston mock exam. The question is: Calculate the percentage contribution to total portfolio risk for each of the three funds held in Kibble’s US equity portfolio

I understand the guideline answer, but how come that:

  • when I square the SD for a given fund, it does not equal to the covariance of that fund with itself (which, I believe, should as the covariance with itself is just variance, right)?
  • how come the formula for contribution of a given asset / fund to variance, which equals to: Covariance of given fund / asset to portfolio * weight of that asset / fund; does not produce the correct answer?

Thanks for your help,
Martin

You’re correct about what it should be.

Welcome to the world of third party prep materials.

1 Like

Thanks magician. So I will treat as the mistake of the mock exam provider :slight_smile:

Another one I have doubts with:
2021 PM Q21


Shouldn’t the Call strikes for both call options be higher than the put strike in a bullish seagull spread? otherwise it will only have one shoulder…
i think the correct construction should be short 490put, long 510call, short 530call, but it’s not one of the choices :frowning: