which question is this? i couldnt remember anything about this question. pls shed me some light Etienne Wrote: ------------------------------------------------------- > CFAAtlanta Wrote: > -------------------------------------------------- > ----- > > jmychasi Wrote: > > > -------------------------------------------------- > > > ----- > > > yes…at first i thought self > dealing…but > > > then i realized there was clearly a self > > interest > > > > > > insuficcient effort > > > > > > No… entrenchment strategy. Insufficient > effort > > is if you are a lazy bum. > > ] > > The question said which is least likely. Ans: > Insufficient Effort
this is my repeat and yet i still find it confusing the way they arrange the answer template. i thought there were 10 questions in total (don’t know where i get that idea from) and located the Q11 when i was starting to do Q10 when there were 4 mins left. i guess i’m in a worse situation that u… virginia.hagan Wrote: ------------------------------------------------------- > Maybe it’s because it’s my first time taking 3 but > I found the answer book very confusing too. I > thought there were 10 questions and located the > 11th with minutes to spare…then went into a > panic wondering if there was a 12th question until > I saw the words extra pages…things don’t seem > well marked…
This was a PM paper question concerning a shady director buying a company half owned by the CFO… Other questions / answers I remember: AM paper - Reverse cash and carry SYNTHETIC components (long bond + long forward - thought this was weird as wanted to add ‘sell stock’?). (B) Made a profit of 2.21c / lb. © Bigger convenience yield increased no arb range. PM paper - -Ethics - Eliminate the manager or reduce holdings? I went for eliminate. -I said it was OK for him to keep the manager on whilst he completes his evaluation. -FI - three country answers were Japan, Japan and UK (in that order)? -Zero coupon most consistent with classical immunisation. -Hedge (can’t remeber what) with 35 contracts -Swap notional 215,500,000 -Swap net payment - 9,975,000 -Buy a credit default swap to hedge spread widening - best of a bad bunch versus sell CDS, buy binary credit call or sell binary credit put -Buy a payer swaption to hedge bank’s floaring rate loan -Incorrect, cash flow risk is greater, market value risk is lower (from switching from fixed to floating) -Swap duration - 0.71 -GIPS - 12.3% and 7.6% -GIPS- Verification must not exclude PE composites and recommended to verify period of compliance claim
Etienne, I agree with almost all of them Fyi, nice “siesta” after the test 
(cited from Etienne) This was a PM paper question concerning a shady director buying a company half owned by the CFO… About that this question is a trap, self-dealing is so obvious then in the last minute I found that it asks the violation not most likely but most unlikely…
Etienne Wrote: ------------------------------------------------------- > This was a PM paper question concerning a shady > director buying a company half owned by the > CFO… > > Other questions / answers I remember: > AM paper - Reverse cash and carry SYNTHETIC > components (long bond + long forward - thought > this was weird as wanted to add ‘sell stock’?). > (B) Made a profit of 2.21c / lb. © Bigger > convenience yield increased no arb range. > > PM paper - > -Ethics - Eliminate the manager or reduce > holdings? I went for eliminate. same > -I said it was OK for him to keep the manager on > whilst he completes his evaluation. i said suspend > -FI - three country answers were Japan, Japan and > UK (in that order)? same > -Zero coupon most consistent with classical > immunisation. same > -Hedge (can’t remeber what) with 35 contracts sounds right > -Swap notional 215,500,000 same > -Swap net payment - 9,975,000 same > -Buy a credit default swap to hedge spread same > widening - best of a bad bunch versus sell CDS, > buy binary credit call or sell binary credit put > -Buy a payer swaption to hedge bank’s floaring > rate loan same > -Incorrect, cash flow risk is greater, market > value risk is lower (from switching from fixed to > floating) same > -Swap duration - 0.71 0.95 for me > -GIPS - 12.3% and 7.6% dont remember, remember 3.5 and 4.5 or whatever the other one was > -GIPS- Verification must not exclude PE composites > and recommended to verify period of compliance > claim same
csk, swap duration 0.95 (agree) and overall duration = 0.71 which one were they asking for?
Think they were asking for net of the loan. The footnote said loan was the same as floating payment, hence 0.95-0.24 = 0.71
i think they were asking for net duration (loan plus swap) = 0.95 (the floating durations off set)!
sorry, I think i said it wrong fixed = 0.95 floating = 0.24 swap = 0.71 fixed = 0.95 floating = 0.24 existing loan = 0.24 overall = 0.95
the 0.24 is eliminated if you net!..no?
^ Your answer makes sense to me now. Something in the question made me go for the 0.71, though. Really not sure.
0.95 was certainly the correct answer on that one. must net the +24 and -24 since the floating rate loan and floating component of swap had the same duration.
you can pay mgmt fees on ending assets, there is not hard rule. That questoin was BS
.95 – he was long the swap and long the loan. Swap duration .71, loan duration .24.
Leaving qu1 for last definitely worked for me as I came back to it at the end with 45min to spare. Wasted a LOT of time on the coner portfolio question. Came back to it again at the end as i couldn’t get the SD below 10% (same prob as others were saying). I tried lots of different portfolio combos but couldn’t gt anything below 10%. Didn’t really know bond attribution either…
Portfolio 3 stdev = 9.1, w=0.25 Portfolio 4 stdev = 12.7, w=0.75 Combined stdev = 9.1*0.25 + 12.7*0.75 = 10 exactly 10…
Did anyone, treat the portfolio likea two asset portfolio with a zero correlation w^2 sd^2+w^2 sd^2 and then take the square root
Scruffy Wrote: ------------------------------------------------------- > Did anyone, treat the portfolio likea two asset > portfolio with a zero correlation > > w^2 sd^2+w^2 sd^2 > > and then take the square root no u dont do tht for corner port calc sorry u blew it up
I don’t think you can do that for corner portfolios because they are on efficient frontier or some other reason I don’t know @#%@^%*^& Scruffy Wrote: ------------------------------------------------------- > Did anyone, treat the portfolio likea two asset > portfolio with a zero correlation > > w^2 sd^2+w^2 sd^2 > > and then take the square root