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必过50 · 2022年11月20日

这个考察是哪个知识点?

NO.PZ2019012201000056

问题如下:

Regulas Funds: Invests in a combination of global equity securities from 5–10 different countries. Portfolio weights are adjusted to take advantage of companies that appear to have the best near-term growth prospects.

Clickman asks Leeter how Regulas Funds determines its equity selections. Leeter says that Regulas uses monthly data from non-traditional, but measurable, sources to determine the influence of customer and government attitudes toward a firm and its products. Leeter also notes that Regulas compares its performance relative to an equity benchmark customized to its strategy and that the factors tend to be more volatile than traditional market factors. He also states that the fund does tend to suffer in performance when exchange rates are volatile.


Using Exhibit 1 and the equity selection process of Regulas Funds, the strategy will most likely benefit from:


选项:

A.

a portfolio overlay

B.

a new benchmark

C.

using annual rebalancing

解释:

Regulas Funds will benefit from a portfolio overlay of derivative securities to eliminate exchange rate risk.

B is incorrect. Regulas uses a custom benchmark that is already appropriate for its strategy.

C is incorrect. Annual rebalancing is too infrequent given the volatile nature of the factors used by Regulas.

这个考察是哪个知识点?

1 个答案

笛子_品职助教 · 2022年11月22日

嗨,爱思考的PZer你好:


这个考察是哪个知识点?

Hello,亲爱的同学!

同学就借助这道题补充一个名词,portfolio overlay,这里的含义是,使用衍生品给portfolio做对冲。


结合本题,基金投资多个国家,因此面临外汇风险。所以这家基金会使用外汇衍生品,来对冲portfolio的外汇风险。

结合讲义,本题实际上也就是讲义中的,currency overlay的含义。



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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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