anyway, -2 for me …
actuaryalfred Wrote: ------------------------------------------------------- > anyway, -2 for me … i wrote them off too
Road2CFA Wrote: ------------------------------------------------------- > > 4.35 > yes > > -------------------------------------------------- > ----- > > net-of-fee lower gross-of-fee lower anyone? > > both lower > > > PJStyles Wrote: > > > -------------------------------------------------- > > > ----- > > > I put Japan and Japan back to back… Thought > > > it > > > was Japan for the 1st one because the hedged > > > return is just the difference in the bond > yield > > > and the cash rate… Only Japan and 1 other > > > country had a positive spread (bond yield - > > cash > > > rate). > > Japan, Japan, UK > > borrower quality > > Level III candidate and passed Level II both > correct > > CFAAtlanta Wrote: > -------------------------------------------------- > ----- > > Mod Dietz 3.3% TWR 4.5% > > > > I f up the currency returns on Singapore dollar > > > question… didn’t notice it was not local > > currency. > > TWR - 3.3% Mod Dietz - 4.5%. Mod Dietz will yield > higher return potentially that’s why GIPS required > TWR after some time in future (2010?) > > 2.86% I think I got 2.83%
mo34 Wrote: ------------------------------------------------------- > itstoohot Wrote: > -------------------------------------------------- > ----- > > my brain was totally fvcked up at that > question, > > > > i tried to find the breakeven by dividing the > > yield by the duration of each country to find > how > > fast your return goes to negative or zero for a > > 100bps change, i guess it was UK the highest. > Some > > people used just duration for that, i dunno > which > > is right > > > The answer was UK. You had to use > > (Bond_Yield - > Singapore_Bond_yield)/Singapore_B_duration correct
2.86 is the correct one. But i one I got the answer. it a few second left, therefore, the fuc**ng proctor called off the exam and i missed. I am mad like hell.
pimp Wrote: ------------------------------------------------------- > D) Risk Free Rate > > Repo Rate is more dependant on the fed funds rate. No. Question said least important factor. Answer was thus borrower credit quality
Etienne Wrote: ------------------------------------------------------- > pimp Wrote: > -------------------------------------------------- > ----- > > D) Risk Free Rate > > > > Repo Rate is more dependant on the fed funds > rate. > > > No. Question said least important factor. Answer > was thus borrower credit quality agreed
comp_sci_kid Wrote: ------------------------------------------------------- > Etienne Wrote: > -------------------------------------------------- > ----- > > pimp Wrote: > > > -------------------------------------------------- > > > ----- > > > D) Risk Free Rate > > > > > > Repo Rate is more dependant on the fed funds > > rate. > > > > > > No. Question said least important factor. > Answer > > was thus borrower credit quality > > > agreed tell that to bear stearns
tibwa Wrote: ------------------------------------------------------- > 2.86 is the correct one. But i one I got the > answer. it a few second left, therefore, the > fuc**ng proctor called off the exam and i missed. > I am mad like hell. hmm, i went through this one three times and couldnt get 2.86, did you hold 500MM notional bonds or 487mm somthing
CFAAtlanta Wrote: ------------------------------------------------------- > Road2CFA Wrote: > -------------------------------------------------- > ----- > > CFAAtlanta Wrote: > > > -------------------------------------------------- > > > ----- > > > not core satellite. > > > > > > portable alpha. He didn’t want to overpay for > > > > manager who delivers passive returns. > > > > > > > he couldnt go alpha as he was restricted to > hold > > only, so it is core satellite > > > > he wants to take advantage of multiple > managers’ > > strategy so core satellite fits in. Portable > alpha > > can’t serve the purpose of minimize the > tracking > > error > > > yeah… I blew this one too. It can’t be core-satellite since it said the guy wanted to minimise misfit risk, which is a core-satellite problem. I went with Port alpha, but I think it should have been stock-based enhanced indexing. I was thinking maybe he can use sell an ETF/future to get rid of the maket risk. Then he would still only be long equities. This doesn’t fit with the no derivs or no short constraints. Common sense dictates stock-based enhanced.
L2 Candidate Wrote: ------------------------------------------------------- > Git R Done Wrote: > -------------------------------------------------- > ----- > > Implied difference between cost of capital and > > growth? > > It was the equity risk premium. I think the Q was > implied difference between growth and the risk > free rate. I derived it… answer is dividend yield.
Etienne Wrote: ------------------------------------------------------- > CFAAtlanta Wrote: > -------------------------------------------------- > ----- > > Road2CFA Wrote: > > > -------------------------------------------------- > > > ----- > > > CFAAtlanta Wrote: > > > > > > -------------------------------------------------- > > > > > > ----- > > > > not core satellite. > > > > > > > > portable alpha. He didn’t want to overpay > for > > > > > > manager who delivers passive returns. > > > > > > > > > > he couldnt go alpha as he was restricted to > > hold > > > only, so it is core satellite > > > > > > he wants to take advantage of multiple > > managers’ > > > strategy so core satellite fits in. Portable > > alpha > > > can’t serve the purpose of minimize the > > tracking > > > error > > > > > > yeah… I blew this one too. > > > > It can’t be core-satellite since it said the guy > wanted to minimise misfit risk, which is a > core-satellite problem. > > I went with Port alpha, but I think it should have > been stock-based enhanced indexing. > > I was thinking maybe he can use sell an ETF/future > to get rid of the maket risk. The he would still > only be long equities. not future, i think he said he didnt want to use derivatives, didn’t think it was portable alpha cuz he was wary of paying managers who can only manage beta
The “not wanting to compensate managers for beta” point is what pushed me to go for portable alpha. With PA, the separation of beta from alpha is totally transparent. I agree this was all a bit perplexing. The SRI one was really bad too. Small cap or growth?!
How could it be portable alpha if they couldn’t short … assuming that’s what “hold-only” or whatever that term was, meant.
emarkhans Wrote: ------------------------------------------------------- > How could it be portable alpha if they couldn’t > short … assuming that’s what “hold-only” or > whatever that term was, meant. lol i didn’t know what hold-only means, does that mean that once you buy you can never sell?
I now think port alpha is wrong, but this is not certain. Does “hold-only equities” preclude using futures? If not, then you go long S&P500 (through a tracker), long an active manager in Europe (for example), short a future on the European index. I think core-satellite is wrong, so if port alpha is also wrong, then it must be stock-based enhanced indexing. Did it actually say he can’t use derivatives at all?
VROD Wrote: ------------------------------------------------------- > pimp Wrote: > -------------------------------------------------- > ----- > > D) Risk Free Rate > > > > Repo Rate is more dependant on the fed funds > rate. > > Yeah but what if you are not in the US? I think I got this one wrong. The choice I took was “level of interest rates in the economy,” which I took to mean ALL interest rates, and short-term rates – which repo rates are – have nothing to do with long-term rates. If the 10 year rate is 8, repo rates could be anything. The correct answer, though, will be quality of borrower. I hate questions like this.
sandy_capone Wrote: ------------------------------------------------------- > borrower quality is the right choice. > > Risk free rate is not correct because it > correlates with prevailing interest rates (or > federal funds rate) which is explicitly listed as > one of the factors on which it depends. I had all > the factors in my notes and felt like an idiot for > spending so much time on trying to remember these. I disagree that the repo rate closely corresponds with interest rates as a whole in the economy, which is what the choice was. I also disagree that Bear Stearns the day before it blew up could have got repo money at the same rate as Goldman, even for the same collateral. However, you will have the right answer and I will have the wrong.
How come I remember it was Fed Funds Rate not general interest rate. Anybody? emarkhans Wrote: ------------------------------------------------------- > sandy_capone Wrote: > -------------------------------------------------- > ----- > > borrower quality is the right choice. > > > > Risk free rate is not correct because it > > correlates with prevailing interest rates (or > > federal funds rate) which is explicitly listed > as > > one of the factors on which it depends. I had > all > > the factors in my notes and felt like an idiot > for > > spending so much time on trying to remember > these. > > I disagree that the repo rate closely corresponds > with interest rates as a whole in the economy, > which is what the choice was. > > I also disagree that Bear Stearns the day before > it blew up could have got repo money at the same > rate as Goldman, even for the same collateral. > > However, you will have the right answer and I will > have the wrong.
CFAAtlanta Wrote: ------------------------------------------------------- > P/E = 16.3 I think. > > g came out to 14.8% I think. Was there a trick in how the payout ratio would have changed between 07 & 08? If so, I got it wrong. (Of course, this was a question I could have done in my sleep after drinking a case on LII, and they choose to ask it on LIII. Ridiculous.)