CFA Society Boston Mock Exam

CFA Level II
#21

Here’s a link to the addendum:

https://www.cfaboston.org/CFAB/Landing_Pages/Practice_Exam/PracticeExamAddendum2018.aspx

#22

Yikes, I’m sitting for the mock with the CFA Denver society this weekend. I believe it’s the same exam, said to see errors! I need as much clarity on my scores as possible going into the homestretch.

#23

Hi,

Quick question about the risk management applications of derivatives part.

Question 2-C

Assuming that we want to keep beta of the portfolio unaffected (1.21) , and that I want to cover my stock position:

I sell futures on the stock with a beta of 1.12. Understood

I buy futures on the index with a beta of 1.12. The solution says 1.21. I don’t understand it. If I want to keep the total portfolio unaffected in terms of beta, why do I have to gain exposure of 1.21?

PD: I am assuming that my portfolio without the stock has a higher beta than 1.21 to compensate for the lower beta of the stock (1.12).

Is it me or boston society?