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徐威廉 · 2023年02月13日

A为什么不行?

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NO.PZ202207040100001005

问题如下:

The most cost efficient strategy to deal with Dashe’s concerns following the equity market correction is a(n):

选项:

A.rebalancing to policy weights by selling bonds and purchasing equities. B.rebalancing by replacing the highest-tracking-error manager with low-cost index exchange-traded funds (ETFs). C.overlay using equity index futures.

解释:

Solution

C is correct. The most cost efficient rebalancing strategy is to implement an overlay using equity index futures. This approach can get the equity exposure up to at least the guideline range without impacting the active managers. Equity index futures will very likely have less tracking error than the active managers.

A is incorrect. Buying equities and selling bonds will incur trading costs and disrupt the present active managers’ execution. This is not the most cost-effective solution compared with a derivatives overlay.

B is incorrect. The IPS does not allow for index ETFs; it allows for only active managers and derivatives.

为什么一定要外包?

2 个答案

考拉 · 2024年01月20日

外汇里面里currency overlay,就是仅指外包,对吗

笛子_品职助教 · 2023年02月14日

嗨,爱思考的PZer你好:


为什么一定要外包?


Hello,亲爱的同学!

overlay在这里并不是外包的意思,overlay是指使用衍生品来对冲风险。

因为担忧市场风险,所以使用股指期货来对冲风险。这是C的含义。

A是说卖出债券买股票,既然持有股票,那么还是会有市场风险的。既然担忧市场风险,就要对冲风险,而A无法对冲整体市场(大盘下跌)的风险。

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