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标题: [ 2009 FRM Sample Exam ] Investment Management Q1 [打印本页]

作者: lalamei 时间: 2009-6-13 11:16 标题: [ 2009 FRM Sample Exam ] Investment Management Q1

1. If the annual tracking error of a CAN 25 billion portfolio is 12%, assuming daily prices are independent, what is the monthly tracking error?

1.00%

2.89%

3.46%

4.52%

作者: lalamei 时间: 2009-6-13 11:16

Correct answer is C

A is incorrect. (0.01 = 0.12 / 12)fficeffice" />

B is incorrect. (0.0289 = 0.12^0.5 / 12)

C is correct. Monthly tracking error * √12 = Annual tracking error. Monthly tracking error = 12%/√12 = 3.46%

D is incorrect.

作者: binsi 时间: 2009-8-1 16:17

顶

作者: xiaodouding 时间: 2009-8-29 14:43

学习一下

作者: longfeng 时间: 2009-9-5 15:07

[em67]

作者: dobino 时间: 2009-11-5 15:16

[em219]

作者: kalinna 时间: 2009-12-23 17:03

顶

[此贴子已经被作者于2009-12-23 17:03:02编辑过]

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