I vaguely remember it being commodities and the crack spread. Thanks. This was one of the several topics I f’d-up on 6/7/09…
I thought it was related to commodity futures and the spot yeild, roll yield, etc?
landrybj Wrote: ------------------------------------------------------- > I thought it was related to commodity futures and > the spot yeild, roll yield, etc? That was 2008 pretty sure.
Are you sure? Because I remember they asked what the impact of change in the forward curve for a commodity would have on the components of a future’s return. 2008 was the reverse cash-and-carry and convenience yield.
I was thinking that was the 2008 exam also…
landrybj Wrote: ------------------------------------------------------- > I thought it was related to commodity futures and > the spot yeild, roll yield, etc? One of the questions on commodity futures was definitely spot, convenience and roll returns. I think that was a two part question though, and can’t remember what the second half was. They should be posting the questions/answers soon enough though. http://www.cfainstitute.org/cfaprog/courseofstudy/essaylevelthree.html I think last year the 2008 exam was posted around October-ish…
yeah, checked with another guy at work. there was roll return convenience yield Q for sure… and i certainly don’t remember crack spread at all (can’t remember if it was LOS or not)… makes me think two different tests at the very least, if not 3 or 4 tests.