Without specifics and violating any rules here - on the last question of this exam, was anyone confused by the fact that they didn’t take the differering betas (port. vs. futures) into account?
Yeah, I posted this under the same heading that you have CFAI Sample #2 yesterday or Saturday. I think CFAI is wrong b/c you can only do that when they have the same Betas, but they didnt.
you’re not suppose to discuss the questions on the sample test?
Seemed pretty clearly wrong to me. CFAI text (and common sense) says that formula only applies when the portfolio and the index underlying the contract are identical. They clearly weren’t in the question.
Thanks guys, and sorry for the repeat question.