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肖瀚 · 2023年02月19日

老师可以分析一下A选项吗

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000020

问题如下：

After providing Trey with advice on direct investment, Serena offered him additional information on alternative indirect investment strategies using (1) bond mutual funds, (2) exchange-traded funds (ETFs), and (3) total return swaps.

Trey expresses interest in using bond mutual funds rather than the other strategies for the following reasons.

1. Reason 1: Total return swaps have much higher transaction costs and initial cash outlay than bond mutual funds.

2. Reason 2: Unlike bond mutual funds, bond ETFs can trade at discounts to their underlying indexes, and those discounts can persist.

3. Reason 3: Bond mutual funds can be traded throughout the day at the net asset value of the underlying bonds.

Which of Trey’s reasons for choosing bond mutual funds as an investment vehicle is correct?

选项：

A.

Reason 1

B.

Reason 2

C.

Reason 3

解释：

Correct Answer: B

B is correct. Although a significant spread between the market price of the underlying fixed-income securities portfolio and an ETF’s NAV should drive an authorized participant to engage in arbitrage, many fixed-income securities are either thinly traded or not traded at all. This situation might allow such a divergence to persist.

老师可以分析一下A选项吗

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1 个答案

pzqa015 · 2023年02月19日

嗨，爱思考的PZer你好：


A是错的

total return swap期初没有outlay，只交换期间的现金流，所以，它的成本是低于mutual fund的，A这句话刚好说反了。

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