Some lame tire industry sales regresstion: Sales(t) = 504.44 + 13.18INDRUB(t) + 9.88CAP(t) + 11.66INDTR(t) + 5.92MILES(t) + 10.45PERS(t) T-values: intercept 1.02 INDRUB 0.67 CAP 1.48 INDTR 0.83 MILES 1.76 PERS 1.13 n = 36 st. error of estimate 1637.38 R2 = 0.955 Variable estimates for 2003: INDRUB 144.1 CAP 90.7 INDTR 143.9 MILES 2359.8 PERS 36.6 1. The 95% confidence interval for PERS is: a. -8.434 to 29.334 b. Insignificant c. -8.416 to 29.316 d. 8.190 to 12.710 2. The goodness of fit for a multiple regression equation is given by: a. Standard error of estimate b. F-statistic c. R2 d. t-values for the regression coefficients 3. What’s the forecast of sales for 2003? a. 19,330.154 mn b. 504.440 mn c. 19.330 mn d. 1,637.38 mn 4. Which is a symption of multicollinearity? a. Low R2 but coefficients statistically significant b. High R2 but coefficients statistically insignificant c. Regression coefficients hardly change when independent variables are dropped d. High standard error of estimate for the regression Open questions: 5. is CAP different from value 6.89 ?
A1. D? 8.14254 - 12.75746 A2. C? R2 is the one A3. A? 19330.138m A4. B? despite of having coefficients statistically insignificant, we are having high R2 - then there is MC A5. Can’t figure this out… don’t we need the STD of the slope for CAP here? t(calc) = [9.88 - 6.98]/(?)
man this is an aggressive question when it’s this late! 1. b 2. a 3. c (doesn’t specify if its in million or thousand though, or did i miss it?) 4. b 5. no?
You can use the t-value to calculate the standard error for Q5.
dinesh.sundrani Wrote: ------------------------------------------------------- > A5. > > Can’t figure this out… don’t we need the STD of > the slope for CAP here? > > t(calc) = [9.88 - 6.98]/(?) Dinesh, I smell victory lol. That was a bit of a weird flick though… anyhow, you dont need std. dev I dont think. You need s.e. which you can get from the t-value and the estimate, which are both given.
I see mcpass beat me to it.
guys… I am far far far light-years away from Quant (I am on PM now… so you could imagine) I don’t remember the exact procedure to get the ans to Q5, but this is what I think. 9.88-0/1.48 = 6.67567568 Ho: b0 = 6.98 Ha: b0 != 6.98 t(calc) = [9.88 - 6.98]/6.67567568 = 0.434413 t(stat) = T(30, 0.025) = 2.042 Decision: Fail to reject null Conclusion: is CAP different from value 6.89 = NO? Let me know if this is correct?
mcpass Wrote: ------------------------------------------------------- > You can use the t-value to calculate the standard > error for Q5. You don’t need standard error here. The t value is 1.48 for CAP_coeff. Given that this is the t statistic for a hypothesis test of CAP_coeff= 0 (and it’s still not significant at any reasonable level), then it’s pretty clear that for 0
Spot on Dinesh. You got the rest right too.
wow mcpass… you made my day… I owe you one nasty question… 
wow. i guess i need to brush up on my quant. can you go over how you got #1. i obviously plugged in the wrong numbers then gave up on it. and on 3, how did you know to use mm. or thousands? sorry, i’m getting sleepy over here, don’t know how dinesh does it!
Do it when you wake up tomorrow. One b*tch question to get the day started 
lola Wrote: ------------------------------------------------------- > dinesh.sundrani Wrote: > -------------------------------------------------- > ----- > > A5. > > > > Can’t figure this out… don’t we need the STD > of > > the slope for CAP here? > > > > t(calc) = [9.88 - 6.98]/(?) > > Dinesh, I smell victory lol. That was a bit of a > weird flick though… > > anyhow, you dont need std. dev I dont think. You > need s.e. which you can get from the t-value and > the estimate, which are both given. lola good to have you back. You should be well set to score a 120 on 120, right?
thanks Dinesh I wished…
cfasf1 Wrote: ------------------------------------------------------- > wow. i guess i need to brush up on my quant. can > you go over how you got #1. i obviously plugged in > the wrong numbers then gave up on it. and on 3, > how did you know to use mm. or thousands? sorry, > i’m getting sleepy over here, don’t know how > dinesh does it! Hi cfasf1, here is what I did… A1. 10.45 ± 1.13*2.042 A3. 504.44 + 1899.238+896.116+1677.874+13970 + 382.47 Subjectve Ans: Redbull does it to me
you, cpk, delhirockz were ridiculously brutal at L1. I dunno where delhirockz disappeared all of a sudden?
i should go to sleep. i think i was using CAP numbers and on the third question got the correct answer then went a step further to ask myself whether it was in millions or thousands… wtf. i’ll hit it hard tomorrow… I get up at 4:45am to get to work an hour before the mkt opens. you east coasters have it easy… i’ve been up for almost 21 hours with no drugs, except coffee, that is. have fun studying…
Here’s a cute question for you …mcpass. Very easy but dead lenthy Yoo Jin, CFA, is the Chief Investment Officer of Park, Kim & Lee Investment Management (PKL), which specializes in private wealth management for affluent families. Yoo has recently met with a potential new client, the Ahn family. PKL was highly recommended by a business associate of eldest member of the family, Ahn Kwan, and three generations of the family are considering investing with the firm to establish a new investment portfolio. The portfolio is intended solely to provide capital for the fourth and youngest generation of the family and their descendents, so the family can maintain its position in future generations. Portfolio income is not currently needed to support the three eldest generations of the Ahn family because the business ventures provide an income sufficient to maintain a luxurious lifestyle. Since the elderly Ahn Kwan is not in sufficiently good health to attend the meeting in person, the family represented at this initial conference by Ahn Kwan’s eldest son, Ahn Yong. He explains to Yoo that the family wants to take a cautious approach to its investments. The family takes substantial risk in its business ventures and does not want to risk its capital. As the discussion proceeds, he informs Yoo that the family is also interested in exploring new investment opportunities for their existing portfolios as well. The three adult generations of the Ahn family have so far kept their money in various bank accounts because of concern about possible losses in the securities market. The accounts generally pay an interest rate between 4% and 5%. Ahn Kwan, however, has been persuaded by his business associate that the family is losing an important opportunity to increase its returns by not investing in the stock market. The Korean equity market soared more than 40% in the previous year, and Ahn Kwan realizes that keeping money in interest-bearing accounts is costing the family substantially in missed opportunities. He has agreed to consider moving a substantial portion of the family’s assets over to PKL since he has been assured that PKL is a responsible, cautious firm. In discussing the move into equities, Ahn Yong explains his father’s position. “My father has devoted his entire life to establishing the success of his family. The financial position of his children, his grandchildren, and their descendants is of primary importance to him. He does not want to risk losing money that he has worked decades for.” Ahn Yong elaborates on his father’s concerns by saying, “My father has seen what happened in Japan. The peak in the Nikkei index came in 1989, and the market has never recovered. Anyone who invested back then lost nearly two-thirds of his money. My father does not want that to happen to our family.” Yoo Jin asks, “We would of course only invest your family’s money in markets that you want to participate in. Would your father want the family’s money invested in the Japanese market?” Ahn Yong asserts emphatically, “My father is only interested in participating in the Korean markets. He does not want our money invested overseas.” The portfolio manager who would be responsible for the Ahn family portfolios is Shin Sun, CFA. In reviewing the meeting with Shin, Yoo explains that in her view, the family’s goals are inconsistent and education is required to resolve the inconsistency. Yoo notes that the family is only interested in investing in the Korean equity market, but the Korean equity market is highly volatile. It would not be possible to create a portfolio consisting solely of Korean equities that would be consistent with Ahn Kwan’s investment risk tolerance. Shin makes the case that the family has a very high risk tolerance. Shin argues, “The time horizon of the Ahn family is virtually infinite, since the money is intended for future generations. In addition, the portfolio has no current income requirements. In this case, they can have a very high risk tolerance. Certainly the Ahn family is in an excellent position to invest in the Korean equity market.” Shin suggests, “Educating a new client can be a very delicate issue. That is especially true when the client is the elderly head of a very successful family. I would not want to tell Ahn Kwan that we cannot do what he wants. We should follow his instructions and invest the family’s money in a portfolio of Korean equities. If that is what he says, then it is our duty to follow his wishes.” Shin concludes that PKL should construct a portfolio consistent with the Ahn family’s substantial ability to assume risk. The best description of the importance of portfolio perspective is that investors, analysts and portfolio managers should analyze the: A) unsystematic risk of the individual investments in the portfolio. B) risk-return tradeoff of the individual investments in the portfolio. C) risk-return tradeoff of the portfolio as a whole. D) systematic risk of the individual investments in the portfolio. -------------------------------------------------------------------------------- Which of the following is least likely to determine an individual investors ability to accept risk? A) Liabilities. B) Long-term wealth target. C) Required spending needs. D) Market expectations. -------------------------------------------------------------------------------- The two principal risk objective measurements are best described as: A) absolute risk and qualitative risk. B) relative risk and tracking risk. C) absolute risk and relative risk. D) tracking risk and absolute risk. -------------------------------------------------------------------------------- Regarding Shins and Yoos assertions about the familys risk tolerance and the implications for the management of their portfolios: A) Yoos statement is incorrect; Shins statement is correct. B) Yoos statement is incorrect; Shins statement is incorrect. C) Yoos statement is correct; Shins statement is incorrect. D) Yoos statement is correct; Shins statement is correct. -------------------------------------------------------------------------------- A return objective should best be considered from the perspective of: A) return from income relative to return from capital gains. B) desired return. C) total return. D) required return. -------------------------------------------------------------------------------- Which is least likely to be considered one of the three integrative steps in the portfolio management process? A) Developing an investment policy statement. B) Planning. C) Execution. D) Feedback.
Darn… haven’t gone through PM decently yet. give me a few minutes!
C D C C C not sure. D?