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2. Black is managing equity portion small cap and High Tech for XYZ fund (according IPS) and find that recent commodities perfomance well, thus invest a position for parts of his large clients. He say he has no Violate what?
A. Should not deviate IPS
B.
C. should notify his clients
D. should not invest in commodities due to lack of experience
Choose A. I think the answer is c. This question is about a manager manages a portion of assets for a fund. So I think the asset manager code of professional conduct is applicable here, not the regular ethics code of conduct. According to the textbook I page 199, under #2 5a, last two sentenses, it is ok to deviate from the mandate. 5. H ask Black to sent him a written statement following the CFAI Code, and Black response he will send email stating that he will check trading allocation procedure for clients at the end of each month. And interest will be debited from those account which receive shares allocation incorrectly.
The two statement violate CFAI Code?
NO YES 第一个为啥是no? 一个月才查一次？不是每次替账号买卖股票都应该查么？
If you check it every time there is a trade, it is really costly and time-consuming such that the proper price will not be captured. So I think the first statement is YES.
FOF = FOHF because in the textbook FOF is mention only under the section of hedge funds. There is no lock-up periods as mentioned in the textbook. I think it does not matter whether you are in the industry or not, you have to follow whatever it is said in the textbook. Just like I am surprised to learn that the put option holders have no credit risk whatsoever mentioned in the risk management chapters. 6. What should H do to comply with code and standard?
A.
B. reduce Black's allocation of the fund until compliance requirement meet
C. let Black continously manage the fund as long as achieve good return performance
D. 这题A我记得是 fire Black, 应该是A Can you point out where in the textbook mentioned that the manager should be fired when the mandate is not followed properly? This question is very very tricky. I pick B however. 31. Statement: Enhance return strategy is to generate higher active return, tracking error risk than passive indexing but lower information than active strategy. The statement is ?
A. CORRECT
B. Incorrect for information ratio
C. Incorrect for active return
D. Incorrect for tracking error
Choose B. what's wrong with B? Check out textbook 4 p88 exhibit 3 35. To minimize tracking error, add return, and reduce misfit risk, which is most appropriate?
A. Core-Satelitte Approach
B. Completeness Fund
C. Enhance indexing
D. Portable alpha
I choose A, this question have lots of arguements. I choose D, since he said specifically that he doesn't want to overpay beta. This is another tricky one. I choose portable alpha as well, but I went to the text book and find out that I might be wrong. Check out textbook 4 page 142, under section 7.1 2nd paragraph. The answer is core-satellitte I guess/think. 24. How to hedge credit risk if expect the credit spread widen?
A. buy credit defaut swap
B. sell credit defaut swap
C. sell binary call option
D. sell binary put option
这题大家选A，如果是binary put，应该是buy才对 I choose A as well. D is correct one but in the question there is no mention of the underlying. The underlying for credit options can be either 1. the credit rating of a company or 2. the default or not of a designated reference entity. If the question mention the underlying is #1, then this question could have two correct answers. THIS is my though only. Maybe CFAI will give both A & D point as a correct answer. | 
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发表于 2008-6-13 00:59:00
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