It was tight, I ended up having to redo the last quesiton once, but squeeked it in. I messed up the Execution question and the Excess question, didin’t have enough time to go back, but over did my best for the other ones…
Who had the credit risk in the 3 scenarios? I had: firm counterparty counterparty
I wonder how you even got these two numbers PJStyles Wrote: ------------------------------------------------------- > former trader Wrote: > -------------------------------------------------- > ----- > > PJStyles Wrote: > > > -------------------------------------------------- > > > ----- > > > So pissed… I answered “Self-Dealing” > thinking > > > they were asking which one was MOST LIKELY. > > blah!! > > > another stupid mistake that might cost me big > > > time. Anyone get an answer for the # of > > contracts > > > on that last question in the AM? > > > > > > 9000 7000 > > Hmmm… I got numbers very close to that… 8900 > and 6900 or something like that… frig… wonder > if I’ll get part marks.
PJStyles Wrote: ------------------------------------------------------- > former trader Wrote: > -------------------------------------------------- > ----- > > PJStyles Wrote: > > > -------------------------------------------------- > > > ----- > > > So pissed… I answered “Self-Dealing” > thinking > > > they were asking which one was MOST LIKELY. > > blah!! > > > another stupid mistake that might cost me big > > > time. Anyone get an answer for the # of > > contracts > > > on that last question in the AM? > > > > > > 9000 7000 > > Hmmm… I got numbers very close to that… 8900 > and 6900 or something like that… frig… wonder > if I’ll get part marks. how is it even possible to get those numbers??? it was a simple division.
jimmylegs Wrote: ------------------------------------------------------- > Who had the credit risk in the 3 scenarios? > > I had: > > firm > counterparty > counterparty I believe I got the same thing…
Corner Portf: 3-4? then 107% for the 2nd Q?
Same
Corrupted Wrote: ------------------------------------------------------- > Corner Portf: 3-4? then 107% for the 2nd Q? got same but i realized that corner 3 and 4 had a standard deviation of over 10%.
This one is super tricky if you simply add 8.7 and 0.7 as the required return you will get std dev = 10% if you did (1+8.7%)(1+0.7%)-1 as the required return then you will get std dev over 10% I can’t believe CFAI would write a question like this former trader Wrote: ------------------------------------------------------- > Corrupted Wrote: > -------------------------------------------------- > ----- > > Corner Portf: 3-4? then 107% for the 2nd Q? > > > got same but i realized that corner 3 and 4 had a > standard deviation of over 10%.
former trader Wrote: ------------------------------------------------------- > Corrupted Wrote: > -------------------------------------------------- > ----- > > Corner Portf: 3-4? then 107% for the 2nd Q? > > > got same but i realized that corner 3 and 4 had a > standard deviation of over 10%. I think it only had a SD over 10 when is was unlevered (part 1). When you allow borrowing at the risk rate (part b), they meet the risk requirement.
My buddy who wrote, who actually finished it said everybody around him was “crying” about it. He has a colorful way of putting things.
Finally someone who asked abouth the corner portfolio. I too had the same problem. In the first problen the weights I got are 0.3 and 0.7 for corner portfolios 3 & 4 but the SD was around 10.18% which didnt match the requirements. Anyone else faced this problem??
pimp Wrote: ------------------------------------------------------- > Same same
zarvan Wrote: ------------------------------------------------------- > Finally someone who asked abouth the corner > portfolio. I too had the same problem. In the > first problen the weights I got are 0.3 and 0.7 > for corner portfolios 3 & 4 but the SD was around > 10.18% which didnt match the requirements. > > Anyone else faced this problem?? how did you solve for SD? did you know the correlations? come on
You assume the corner portfolio SDs are uncorrelated - 0
it says required real return 8.7 plus management fee 0.7 if CFAI literally means “plus” then the required return would be 9.4% you get weight 25% and 75% the std dev is exactly 10% but if you do (1+8.7)(1+0.7)-1 then std dev is over 10% I don’t know what they are looking for comp_sci_kid Wrote: ------------------------------------------------------- > zarvan Wrote: > -------------------------------------------------- > ----- > > Finally someone who asked abouth the corner > > portfolio. I too had the same problem. In the > > first problen the weights I got are 0.3 and 0.7 > > for corner portfolios 3 & 4 but the SD was > around > > 10.18% which didnt match the requirements. > > > > Anyone else faced this problem?? > > how did you solve for SD? did you know the > correlations? come on
zarvan Wrote: ------------------------------------------------------- > Finally someone who asked abouth the corner > portfolio. I too had the same problem. In the > first problen the weights I got are 0.3 and 0.7 > for corner portfolios 3 & 4 but the SD was around > 10.18% which didnt match the requirements. > > Anyone else faced this problem?? zarvan, you hit the nail on the head in describing my delima. I stuck with the same answer, though for 4 reasons 1) no other sharp ratio was as high as corner port 4 (i believe) 2) all other port with a higher E® than port 3 had an even higher stnd deviation 3) no leverage was allowed 4) I ran out of time…grrrrrr
former trader Wrote: ------------------------------------------------------- > Corrupted Wrote: > -------------------------------------------------- > ----- > > Corner Portf: 3-4? then 107% for the 2nd Q? > > > got same but i realized that corner 3 and 4 had a > standard deviation of over 10%. Yeah, this cost me good five minutes as I didn’t know what to do with the standard deviation. I used exact return ((1.087 X 1.0007) = 9.46% and ended up with the result sigma < 10.18%. The problem was not knowing how much less. I just said that plus round it down. That last smart ass comment is gonna cost me. I wonder if the answer would be none in this case and we need to have client revise his objectives. 107.8% is correct.
You assume perfect correlation, not 0 correlation. You simply use the weights of the portfolio to calculate S.D
another vote for 107.8%…Yes!!! that brings my back of the napkin AM score forcast up to 44% ;o)