Curveballs + things often overlooked

CFA Level III
#21

How to distinguish BB&K and Pompian? Pompian is more IPS appropach? Risk and investment style dimension.

#22

From what I understand, Pompian is a questionaire and BB&K is more “approach life in general”

#23

Type 1…

*Cue breaking bad theme song*

#24

In 2013 AM I used trailing earnings yield (E0) instead of forward (E1)

#25

For fed model and Yardeni

#26

My tip: GIPS needs 7 columns: ycbp-dcf. If there are fewer than 7 columns it’s missing something.

Key GIPS statement has 3 parts: XXX claims compliance with g…i…p…s.

has prepared and presented this report in compliance with gips.

XXXX has not been independently verified.

#27

jsobes i like that…

year, composite return, benchmark return, # portolios, dispersion, composite assets, firms assets

? is that right?

#28

Post 2011, you need std dev for the composite and benchmark too. So, at minimum you need to have 9 things.

#29

Nothing so fancy compared to the other ones, but here are the ones that have been tripping me on all the mock exams:

  • Which reason is MOST likely / LEAST likely . No matter how many times I do these, I still misread it occasionally and put in the wrong answer.

  • Last year vs this year values in IPS. ALWAYS carefully read if it’s specified “living expenses LAST year were” (apply inflation!) or “living expenses for the COMING year are”.

  • VAR is easy. But read carefully that they don’t specify a yearly VAR and then ask for MONTHLY figures.

#30

I usually cross out least likely and most likely and just write in big words: WHICH ONE IS CORRECT/WRONG? It has saved me a few times.

#31

I thought 9 columns?

#32

Year

Composite Return (Gross or Net)

Benchmark Return

Number of Portfolios

Internal Dispersion

Composite Assets

Total Firm Assets

What am I missing

#33

Composite 3-Yr St Dev (%)

Benchmark 3-Yr St Dev (%)

#34

If you review page 176 and 178 in book 5 (Schweser) I think it leads to a different conclusion - though 2015 AM CFAI Does say that the 3 year st dev of the composite for each needs to be disclosed post-2011. I don’t think the benchmark must be disclosed…

In conclusion I think post-2011 you’re half right, but I could be wrong

#35

Schweser p160. 5.A.2 a.

#36

For periods ending on or after 1 January 2011, firms must present, as of each annual period end: a. The three-year annualized ex-post standard deviation (using monthly returns) of both the composite and the benchmark; and

http://www.cfapubs.org/doi/pdf/10.2469/ccb.v2012.n4.full

page 20

#37

Thanks, that’s ridiculous to use a 2010 compliant example at the end of the text, 9 columns it is!

#38

When they ask “Top Down” or “Behavioral Alpha” approach, use Pompian.

#39

It’s a bit vague… When they ask risk tolarence, use Pompian:)

#40

Grinold-Kroner:

The formula has minus delta S for share repurchaces. But sometimes they don’t give you the amount of shares purchased/released. Instead they use the share repurchase yield. This is positive! So if you’re given a share repurchase yield of 1%, you have to add 1%, not subtract it.