You have performed an attribution analysis on the Gibbons Tech Fund and have concluded that the fund manager’s total value added was 0.874%. Which of the following statements correctly identifies a potential shortcoming in attribution analysis? A) Fund allocations may have changed drastically during the period. B) The returns are not risk adjusted. C) The benchmark may not match the portfolio.
b? Portfolio is 5 million Calls - 100K par value of bonds Delta = 0.4 delta hedge? a) sell 20 b) buy 20 c) sell 125
I would go with C even thou they all seem plausible C seems the strongest
pimpineasy Wrote: ------------------------------------------------------- > I would go with C even thou they all seem > plausible C seems the strongest C is right for delta hedge but you have to post a question in order to answer a question.
B is correct, C sell 125; Which of the following lines of argument has/have been put forth to justify the establishment of the Global Investment Performance Standards (GIPS)? A) Enhancing competition in global markets. B) All of these choices are correct. C) Enhancing the consistency in performance presentation for inter-country holdings.
- ? 2. C 3. C
C for GIPS? welcome LGF. Post a question too A portfolio manager has decided to pursue a contingent immunization strategy over a four-year time horizon. He just purchased at par $26 million worth of 6% semiannual coupon, 8-year bonds. Current rates of return for immunized strategies are 6% and the portfolio manager is willing to accept a return of 5%. Given that the required terminal value is $31,678,475, and if the immunized rates rise to 7% immediately, which of the following is most accurate? The dollar safety margin is: A) negative (-$1,423,980) and the portfolio manager must switch to immunization. B) positive ($6,158,602) and the portfolio manager can continue with contingent immunization. C) positive ($370,765) and the portfolio manager can continue with contingent immunization
B for GIPS C positive ($370,765)… An investor would like to track an index and is considering using optimization. Optimization is characterized by: A) the use of a factor model and infrequent rebalancing. B) the use of a matrix model and frequent rebalancing. C) the use of a factor model and frequent rebalancing.
C is correct We are given the required terminal value of $31,678,475. Next, we calculate the current value of the bond portfolio: PMT = ($26,000,000)(0.03) = $780,000; N = 16; I/Y = 7/2 = 3.5%; and FV = $26,000,000; CPT ¨ PV = $24,427,765. Next, compute the present value of the required terminal value at the new interest rate: FV = $31,678,475; PMT = 0; N = 8; I/Y = 7/2 = 3.5%; CPT ¨ PV = $24,057,000. Alternatively $31,678,475 / (1.035)8 = $24,057,000 The dollar safety margin is positive ($24,427,765 − $24,057,000 = $370,765) and the manager can continue to employ contingent immunization. A for optimization? The Cadbury Report for best practice in maintaining an effective board of directors makes a recommendation concerning non-executive directors. It specifies that there should be: A) a majority of non-executive directors, and no specific number is mentioned. B) no more than five, but no fewer than three. C) a sufficient number so that their views carry weight in the boardfs decisions, but no specific number is mentioned.
- ? 5. A 6. C?
C for optimization C) for Cadbury Report? Which of the following trading tactics would most likely be used by an information-motivated trader? A) Liquidity-at-any-cost. B) Need-trustworthy-agent. C) Costs-are-not-important.
- A (Liquidity-at-any-cost)
C was correct A for information motivated trader Which of the following is the best method of estimating the future dividend payout ratio for a stock market series? Estimate the: A) dividend payout ratio using historical dividend payout ratios. B) dividend payment using historical dividends and then relate this to the estimated earnings. C) earnings for firms and their level of capital investment, from which the retention ratio and hence dividend payout ratio can be derived.
A for information motivated trader is correct. B) dividend payment using historical… Which of the following BRIC countries has been the slowest to open their economy? A) India. B) China. C) Russia.
B) dividend payment using historical dividends and then relate this to the estimated earnings.
C) Russia.
B was correct A) India Which of the following would NOT result in higher dividend growth rates? A) Lower financial leverage. B) Higher retention ratios. C) Lower asset use compared to sales.
A) Lower financial leverage.
A is correct What is risk budgeting? A) Determination of a risk measure that the portfolio can take. B) Determination of the amount of risk the portfolio can take. C) Identification of sources of portfolio risk.
A) India is correct A) lower financial leverage Which of the following best characterizes the relationship between technological progress, the growth in capital stock, and economic output in the BRIC countries? A) Technological progress can have a large impact on economic growth but the growth in capital stock is less important for economic growth. B) Both technological progress and the growth in capital stock can have a large impact on economic growth. C) The growth in capital stock can have a large impact on economic growth but technological progress is less important for economic growth.