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Arnie · 2022年10月25日

基础班讲义没有翻到这个daliy basis

NO.PZ2018120301000028

问题如下:

The discussion turns to benchmark selection. DFC’s previous fixed-income manager used a custom benchmark with the following characteristics:

  • Characteristic 1: The benchmark portfolio invests only in investment-grade bonds of US corporations with a minimum issuance size of $250 million.
  • Characteristic 2: Valuation occurs on a weekly basis, because many of the bonds in the index are valued weekly.
  • Characteristic 3: Historical prices and portfolio turnover are available for review.
Which of the custom benchmark’s characteristics violates the requirements for an appropriate benchmark portfolio?

选项:

A.

Characteristics 1

B.

Characteristics 2

C.

Characteristics 3

解释:

Correct Answer: B

B is correct. The use of an index as a widely accepted benchmark requires clear, transparent rules for security inclusion and weighting, investability, daily valuation, availability of past returns, and turnover. Because the custom benchmark is valued weekly rather than daily, this characteristic would be inconsistent with an appropriate benchmark.

考点是基金经理的业绩归因? smart beta??

1 个答案

pzqa015 · 2022年10月26日

嗨,爱思考的PZer你好:


这是原版书的一句话,比较偏, Valuation occurs on a daily basis.单独记一下这句话好了。

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

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