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raojingzi1001 · 2022年10月11日

哪里讲到这一块了呢

  1. CFA III
  2. 机构IPS

NO.PZ2022051904000008

问题如下：

The Lemont Family Foundation follows a systematic quarterly rebalancing policy based on rebalancing corridors for each asset class. In the latest quarter, a significant sell-off in US public equities resulted in an unusually large 1.2% underweight position relative to the applicable lower corridor boundary. This is the only policy exception requiring rebalancing attention.

The Foundation’s investment team views the sell-off as temporary and remains pleased with the performance of all external managers, including that of its US public equities manager. However, the sell-off has increased the significance of liquidity and flexibility for the team. As a result, the team now considers whether to rebalance through the cash market or the derivatives market.

Q. Determine the most appropriate rebalancing choice for the Foundation’s investment team. Justify your response.


解释：

完全没有印象 请问在基础班讲义第几页

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2 个答案

lynn_品职助教 · 2023年08月13日

嗨，努力学习的PZer你好：


可以给个截图吗 没有找到


就是这道case题目哈。


流动性越差的资产，这个Rebalancing band就定的宽一点，因为流动性差的资产，很难执行交易，交易成本很高，如果把Rebalancing band定的很窄的话，可能随随便便的市场波动就会让该资产的权重超出Rebalancing band，于是Portfolio就需要进行频繁的调整。那这样的话，Portfolio需要调整的频率就很大，加大了交易成本。


为了避免这种情况，流动性差的资产、波动大的资产，Rebalancing band需要定得宽一点。

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lynn_品职助教 · 2022年10月12日

嗨，努力学习的PZer你好：


Reading 2 8 ■ Case Study in Portfolio Management : Institutional课后题第11题，在原版书的378页，这个知识点是考察如何做rebalance，关于Rebalance的知识点我们主要学习理解在AA中讲解的部分，但是机构IPS中（reading25及case）也出现了这个知识点，并有几个题目，我们把相应的题目做完看一下就行。

这道题主要是想说用期货市场做rebalance的优点，看一下答案稍微有个印象就行。

考场上如果遇到这类题目，我们的应对方法就是读题干，比如这道题中However, the sell-off has increased the significance of liquidity and flexibility for the team. 这句话是想告诉我们抛售虽然偏离了rebalance band，但是大大增加了流动性和灵活性。那么我们的回答中优点就包括flexibility以及high level of liquidity这两条。

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努力的时光都是限量版，加油！

hyi725 · 2023年08月11日

reading 25哪个知识点呢 老师可以给个截图吗 没有找到

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