Chapter 13

Question 1

Firm must include

Answer 1

Fair market value of discretionary and non discretionary assets

Question 2

Income effect of a bond is

Answer 2

Equal to the coupon amont

Question 3

With GIPS rules firm must include

Answer 3

All actual fee-paying discretionary in at least one composite

Question 4

A larger OAS

Answer 4

The greater the risk

Question 5

3 key areas that can result in errors and delays

Answer 5

Inadequate technologie (leading cause of error)
Timing of activites
Data integrity and accounting issues (leading cause of failed trades)

Question 6

Style analysis is the study of

Answer 6

Style drift over time

Question 7

Residual factor is

Answer 7

Portion of the return that cannot be explained by the others effects

Question 8

Convexity take into account

Answer 8

The impact of an enbedded option

Question 9

Income effect of a CMO

Answer 9

Incorporates amortization

Question 10

Curve effect

Answer 10

Refers to the impact of a change in the yield curve, ex increase ST and lower LT rates

Question 11

Portfolio management report is for

Answer 11

Institutionel who share it internally, a less detailed unit holder report is crated using the PF mgt report

Question 12

4 steps of performance attribution

Answer 12

1. Calculate return PF
2. Calculate return of the benchmark
3. Calculate PF’s excess return
4. Explain differences

Question 13

Pay-down effect apply to

Answer 13

MBS assets bached securities

Question 14

Convexity effect

Answer 14

Embedded options on returns from callable securities