) WITH RESPECT TO ITS CURRENT COMPLIANCE OFFICER, DO TWAIN'S ACTIONS...

6.) With respect to its current compliance officer, do Twain's actions and procedures most likely comply with the recommendations and requirements of the Asset Manager Code of Professional Conduct? A. Yes B. No, with regard to reporting to the CEO C. No, with regard to independence Allison Amy Allison is a fund manager at Downing Securities. The third quarter ends today, and she is preparing for her quarterly review with her five largest U.S.-based clients. To complete her analysis, she has obtained the market data in Exhibit 1. Exhibit 1 Market Data As of 30 September Level of NASDAQ 100 Index 1223.14 Level of S&P 500 Index 984.03 Level of S&P/Barra Growth Index 496.24 Level of S&P/Barra Value Index 484.28 Price of December S&P 500 Index futures contract $245,750 Price of December S&P/Barra Growth futures contract $117,475 Price of December S&P/Barra Value futures contract $120,875 Beta of S&P/Barra Growth futures contract 1.15 Beta of S&P/Barra Value futures contract 1.03 Price of December U.S. Treasury-bond futures contract $106,906 Implied modified duration of U.S. Treasury-bond futures contract 6.87 Macaulay duration of U.S. Treasury-bond futures contract 7.05 Allison’s assistant has prepared the following summaries of each client’s current situation, including any recent inquiries or requests from the client. · Client A has a $20 million technology equity portfolio. At the beginning of the previous quarter, Allison forecasted a weak equity market and recommended adjusting the risk of the portfolio by reducing the portfolio’s beta from 1.20 to 1.05. To reduce the beta, Allison sold NASDAQ 100 futures contracts at $124,450 on 25 December. During the quarter, the market decreased by 3.5%, the value of the equity portfolio decreased by 5.1%, and the NASDAQ futures contract price fell from $124,450 to $119,347. Client A has questioned the effectiveness of the futures transaction used to adjust the portfolio beta. · Client B’s portfolio holds $40 million of U.S. large-cap value stocks with a portfolio beta of 1.06. This client wants to shift $22 million from value to growth stocks with a target beta of 1.21. Allison will implement this shift using S&P/Barra Growth and S&P/Barra Value futures contracts. · Client C anticipates receiving $75 million in December. This client is optimistic about the near-term performance of the equity and debt markets and does not want to wait until the money is received to invest it. The client wants Allison to establish a position that allocates 60% of the money to a well-diversified equity portfolio with a target beta of 1.00 and 40% of the money to a long-term debt portfolio with a target modified duration of 5.75. Allison plans to use the December U.S. Treasury-bond futures to establish the debt position. · Client D’s $100 million portfolio contains $60 million in U.S. large-cap stocks, $20 million in U.S. Treasury bills, and $20 million in U.S. Treasury bonds. The client wants to create a synthetic cash position because he believes that in three months, the level of the S&P 500 Index will be 925.00, and Treasury bond yields will have declined. · Client E’s $60 million portfolio contains $40 million in large-cap growth stocks and $20 million in U.S. Treasury bonds. The beta of the stock portfolio is 1.25 and the duration of the bond portfolio is 5.0. The client believes that macro economic conditions over the next three months are such that the level of the S&P/Barra Growth Index will be 400.00 and the price of the U.S. Treasury bond futures contract will be $110,400. · Client F has $10 million in cash and is optimistic about the near-term performance of U.S. large-cap stocks and U.S. Treasury bonds. The client anticipates positive performance for approximately three months. Client F asks Allison to implement a strategy that will create profit from this view if it proves to be correct.