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dognmnm · 2023年02月13日

portfolio overlay

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.

这边详解写说overlay可以对冲汇率风险, 但题目问的不是说他对增长有潜在预期吗? 不应该是针对增长预期的短期调整吗? 为何是针对汇率对冲?

Yiyun · 2023年03月22日

“He also states that the fund does tend to suffer in performance when exchange rates are volatile.”这句话对选出A有直接关系

3 个答案

笛子_品职助教 · 2023年02月15日

嗨,爱思考的PZer你好:


我看了讲义说关于overlay的目的是为了让组合更接近自己的目标, 这里的目标应该是既要追求收益, 也希望对冲风险, 我的理解对吗?

同学的理解正确

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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!

笛子_品职助教 · 2023年02月14日

嗨,从没放弃的小努力你好:


但对冲跟overlay是必然关系吗? 我overlay就一定是为了对冲? 难道不会是为了追求更高的收益?

Hello,亲爱的同学~

对冲和overlay是有关系的。overlay就一定是为了对冲。不是为了追求更高的收益。

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加油吧,让我们一起遇见更好的自己!

笛子_品职助教 · 2023年02月14日

嗨,爱思考的PZer你好:


这边详解写说overlay可以对冲汇率风险, 但题目问的不是说他对增长有潜在预期吗? 不应该是针对增长预期的短期调整吗? 为何是针对汇率对冲?

Hello,亲爱的同学!

风险也要区分,想要的和不想要的。

如果我们所有风险都不承担,那么就只有无风险收益率了。

所以要想获取风险收益,就要承担风险。

只是我们去选择,想要承担什么风险。

我们留下想要的风险去承担,然后对冲掉不想要的风险。


在本题:

对增长有潜在预期,这不是风险,这正是基金经理想要的。

而外汇风险是基金经理不想要的,所以我们要对冲掉。

portfolio留下想要的(留下增长),对冲掉不想要的(对冲掉外汇波动)。


如果还有其他问题,欢迎同学随时提问~ 临近考试,预祝同学考试顺利!

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努力的时光都是限量版,加油!

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