原版书后题12题。题目问的是 selection部分那个表现不好，为什么还要加Intersection的部分呢？

原版书后题第七题。Fund1中SMB为0.59，大于0。说明Fund偏向Small Cap。为什么B选项不正确？

原版书后题，Reading36中的24题。计算investment management fee 计算中为什么14%-2%？ 我认为应该是14%-0.5%。

2015 Q9 請問正式考試這樣寫可以嗎? A 1. The fund wants to construct a portfolio biased toward small-cap stocks. By choosing an equal-weighted index as a benchmark, which weights amount of positions in the index equally, the fund wont overweight return attributed to large caps. 2. The fund plans to set the position size between 3% to 5% for each position. With a small range of deviation in position size, using an equal-weighted index is suitable. B Objective 1 Hedged return with forward contact: 1.2065/1.1930 = 1.0113 or 1.13%; Unhedged return: 1.2045/1.1930 = 1.0096 or 0.96% 1.0113/1.0096 -1 = 0.17% or 17bps. Objective 1 cant be achieved by buying a 1-yr forward contract. Objective 2 Unhedged volatility: Variance: 5%^2 ＋ 15%^2 -2*15%*5%*-0.07 = 0.0239 Volatility: 0.0239^0.5 = 15.47% Hedged volatility: 15% 15.47% - 15% = 0.47% Objective 2 cant be achieved by buying forward contract. C 1. Aron should execute trade 2; 1.60 * 1.05 = 1.68 Aron should buy a call at 1.6 strike and sell a call at

老师，麻烦问下，现在业绩评估GIPS还是考点吗？

九宫格中竖着的A列不用计入吗？

九宫格中竖着的A列不用计入吗？

九宫格中竖着的A列不用计入吗？

Asset Allocation 2016 Q4 請問考試中這樣寫可以嗎? A 1. We should choose two corner portfolios with the highest sharp ratios, which can synthesize to the required rate of return; they are portfolio 3 and 4. 2. 8.6x – 7.65(1-x) = 8; x = 36.8%; The advisor should allocate 36.8% of capital to portfolio 3 and 63.25% of capital to portfolio 4. B 1. The advisor should suggest the investor to leverage a portfolio with the highest sharp ratio, which is portfolio 4, to achieve the required rate of returns. 2. 7.65x ＋ 0.5(1-x) = 8; x = 1.049. The investor should leverage 1.049 times of portfolio 4. C 1. Unleveraged SAA combines two risky assets together which have a positive correlation and will increase expected volatility. However, leveraged SAA combines a risky asset with a risk-free asset, offering lower expected volatility.

老师，请问这道题对于taxable investor来说，Position A 是浮盈，没有卖掉是不征收realized CG tax ，卖掉Position B怎么抵税？如果不能抵税为什么要卖B?