NO.PZ202110280100000202
问题如下：
Morris next meets Robin Barker, portfolio manager for North Circle Advisors’ small-cap value fund, the Pengwyn Fund, which just received a very large cash inflow. Barker expects equity markets will drift higher in the near-term and asks Morris about the best ways to minimize cash drag for the Pengwyn Fund after the inflow.
Describe an appropriate cash management strategy for Barker.
选项：
解释：
To minimize cash drag on a portfolio, or fund underperformance from holding uninvested cash in a rising market, Barker may use a strategy known as equitization. In this case, equitization refers to temporarily investing cash using futures or ETFs to gain the desired equity exposure before investing in the underlying securities longer term. Equitization may be required if large inflows into a portfolio are hindered by lack of liquidity in the underlying securities. So, if the Pengwyn Fund’s large inflow cannot be invested immediately, Barker can equitize the cash using equity futures or ETFs and then gradually trade into the underlying positions and trade out of the futures/ETF position.
这个题目应该是课后题新增的吧？之前好像没有见过。这道题我的答题思路来源于 好像有道选择题 也是选择 那个 tracking error 最小的，当时好像是有很多持有现金的头寸，最后也是选择了一个 是把现金用于期货投资的选项。如果没记错应该是经典题里还是押题里有一道这样的。以下是我的答题思路，老师帮忙看下：the Pengwyn Fund received a very large cash inflow. the cash should be invested into small-cap value index or derivative to minimize cash drag due to higher market prospect.
