Optimizer quiz

Multiple Choice Quiz


1. HHV displays one account and the fields: position, weight, exposure, security ID. The view currency is GBP. I want to increase the exposure in a single holding by 300000 GBP. What functionality can I use to do this?

(i) in-cell edit
(ii) optimiser
(iii) order entry
(iv) cash management
(v) rebalance

a. (i), (ii), (iii)
b. (i), (ii) and (iv)
c. (i), (ii), (iii) and (iv)
d. (i), (ii), (iii), (iv) and (v)
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2. HHV with 2 accounts aggregated by security ID with fields: client code, weight, position, exposure, price.

Weight Position Exposure Price
HSBA.L 4.33 1699999.00
MFO1 3.60 93168 600001.92 6.44
MFO2 4.87 170807 1099997.08 6.44

In the optimiser using method Level Order, I select the factor exposure and target amount as +300000 GBP. I highlight the aggregate row for HSBA.L and set this as optimising (any). How will the order be generated?

a. Approx £300000 will be distributed across the two accounts according to the allocation method set for ‘across multiple accounts’
b. the exposure of each account’s holding in HSBA.L will be increased by approx £300000.
c. Approx £600000 will be distributed across the two accounts according to the allocation method set for ‘across multiple accounts’
d. the exposure of each account’s holding in HSBA.L will be increased by approx £150000.

3. In the POV I have 4 SL orders totalling £3476215.84 all for the same accounts. The workspace contains an HHV for this account. The HHV is aggregated by sector and I want to re-invest the proposed sale proceeds into a sector that contains 2 positions, spending approximately the same value on each security. Which 2 optimisation methods will achieve this?

a. best fit (nearest cash) and best fit (least lots)
b. best fit (nearest cash) and level
c. level and prioritised
d. best fit (nearest cash) and prioritised

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4. In the HHV I have an account, which is 40% GBP equities, 40% EUR equities and 20% GBP cash. I want to be fully invested in equities. I want to reduce EUR equities to 30%. My target account beta is 1. Which optimisation method is best suited to this problem? (Hint this problem requires in-cell editing before optimisation.)

a. best fit – nearest cash
b. prioritized
c. best fit – least lots
d. level

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5. Initial Dur-Mat (mod) = 6.83. Initial cash = £271896.44. Using the method best fit (nearest cash); target Dur-Mat (mod) – neutral, tolerance 5%. Target cash is neutral. Ignoring the time factor which of the following solutions would the optimiser present as optimal (proposed cash, proposed dur-mat (mod))?:

a. £271895.99 and 6.83
b. £271897.52 and 7.11
c. £271897.74 and 6.81
d. £271896.42 and 7.02
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6. The user originally specified 3 factors in the factor grid but only 2 are used in the calculation of the solution. Which of the following is a likely representation of the grid after optimisation has occurred?

Original Grid
Factor Target amount Tolerance Used
Dur-Mat (mod) +0.5 1%
Yield Neutral 1%
Convexity Neutral 1%


a.
Factor Target amount Tolerance Used
Dur-Mat (mod) +0.5 1% Yes
Yield Neutral 1% No
Convexity Neutral 1% Yes

b.
Factor Target amount Tolerance Used
Dur-Mat (mod) +0.5 1% Yes
Convexity Neutral 1% Yes

c.
Factor Target amount Tolerance Used
Dur-Mat (mod) +0.5 1% Yes
Yield Neutral 1% Yes
Convexity Neutral 1% No

d.
Factor Target amount Tolerance Used
Convexity Neutral 1% No
Yield Neutral 1% Yes
Dur-Mat (mod) +0.5 1% Yes


7. There are no orders in the POV. The HHV contains one account with cash of £375000 and Dur-Mat (mod) of 5.15. The user has created some proposed orders: Dur-Mat (mod) has become 4.72 and cash has become £525000. The user now wants to use the optimisation feature to investigate some switches while maintaining portfolio duration at 4.72 and cash of at least £525000. What is the best way to achieve this?

a. use best fit (nearest cash). Set Dur-Mat (mod) as factor with target of 4.72 and cash target of £525000.
b. use best fit (least lots). Set Dur-Mat (mod) as factor with target of 4.72 and cash target of £525000.
c. submit existing PO’s to blotter, then use best fit (nearest cash) with Dur-Mat (mod) as neutral and cash target as neutral
d. submit existing PO’s to blotter, then use level method with Dur-Mat (mod) as neutral and cash target as neutral

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8. The user has generated a PO through in-cell editing and then uses the optimisation feature to generate more PO’s. The user wants all the PO’s to be executed as a basket (ie he wants all the PO’s to be executed together). What can he do?

(i) use ticket instruction dialog to assign a trade group name to all PO’s in POV
(ii) use trade group field on optimiser dialog to assign a trade group name to all optimising orders
(iii) in-cell edit trade grp name field on POV and type in the desired name
(iv) use ticket instruction dialog to assign a client defined special handling code that denotes that the PO’s form a basket trade.

a. all of the above
b. (i), (ii) and (iii)
c. (i), (ii) and (iv)
d. (i), (iii) and (iv)

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9. The user has used best fit (least lots) but doesn’t agree that the proposed solution is optimal. What should he try first?

a. check optimisation window information to verify initial and proposed values
b. reduce factor tolerance
c. increase factor tolerance
d. increase max acct calc time

10. The HHV contains 25 accounts. The HHV is aggregated by security ID. The HHV aggregation rule for modified duration contribution is weighted average. In the optimiser I specify a target for modified duration contribution. What aggregation rule does the optimisation functionality use:
a. uses the same aggregation rule as the HHV display
b. always uses weighted average
c. uses the aggregation rule specified by the user in the default optimiser settings
d. always uses sum