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.
这道题应该是课后题新增的吧，之前没见过。
答这道题我的灵感来自经典题的一个选择题，好像是让选择tracking error最小的，最终好像也是选了个持有现金头寸但是投资到futures中的。以下是我的答题思路，请帮忙看看
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.
