开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

米妮涵 · 2023年06月18日

C能解释一下么？

  1. CFA III
  2. Equity

* 问题详情，请 查看题干

NO.PZ202207040100001002

问题如下：

Which of Parker’s statements about Manager B in Exhibit 1 is most appropriate? The statement about:

选项：

A.tracking errors.

B.excess return.

C.currency overlays.

解释：

Solution

B is correct. The comment about excess return being luck rather than skill is correct. Replication managers attempt to create a portfolio that tracks the performance and the volatility of the underlying index as closely as possible. The proper measure of skill is the tracking error: Manager B has the highest tracking error among the three managers.

A is incorrect. Tracking error does not measure volatility of the portfolio; rather, it measures the volatility of the excess return between the index and the portfolio.

C is incorrect. A currency overlay assists a portfolio manager in hedging (not levering) the returns of securities that are held in foreign currency back to the home country’s currency.

这道题为什么不选择C呢？

添加评论
2 个答案

笛子_品职助教 · 2023年06月19日

嗨，爱思考的PZer你好：


currency overlay的作用只能是 hedge，是这个意思么？

是的，同学理解正确。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

笛子_品职助教 · 2023年06月19日

嗨，努力学习的PZer你好：


这道题为什么不选择C呢？


Hello，亲爱的同学~

currency overlays是指投资多个国家的股票市场时，通过货币衍生品，对冲掉外汇的风险。关键词是对冲风险。


而陈述中原文是：

He used currency overlays to lever the returns of securities held in foreign currency.

这句话的意思是：通过在外汇市场加杠杆（lever），扩大外币持有的证券收益。关键词是：用杠杆扩大收益。


关于currency overlay的statement，说法错误。因此C不入选。




----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

  • 2

    回答

  • 1

    关注

  • 539

    浏览
相关问题

NO.PZ202207040100001002 问题如下 Whiof Parker’s statements about Manager B in Exhibit 1 is most appropriate? The statement about: A.tracking errors. B.excess return. C.currenoverlays. SolutionB is correct. The comment about excess return being lurather thskill is correct. Replication managers attempt to create a portfolio thtracks the performananthe volatility of the unrlying inx closely possible. The proper measure of skill is the tracking error: Manager B hthe highest tracking error among the three managers.A is incorrect. Tracking error es not measure volatility of the portfolio; rather, it measures the volatility of the excess return between the inx anthe portfolio. C is incorrect. A currenoverlassists a portfolio manager in heing (not levering) the returns of securities thare helin foreign currenbato the home country’s currency. 为什么high tracking error不能说明market volatile，而是excess return comes from lunot skills?

2024-03-23 10:49 2 · 回答

NO.PZ202207040100001002 问题如下 Whiof Parker’s statements about Manager B in Exhibit 1 is most appropriate? The statement about: A.tracking errors. B.excess return. C.currenoverlays. SolutionB is correct. The comment about excess return being lurather thskill is correct. Replication managers attempt to create a portfolio thtracks the performananthe volatility of the unrlying inx closely possible. The proper measure of skill is the tracking error: Manager B hthe highest tracking error among the three managers.A is incorrect. Tracking error es not measure volatility of the portfolio; rather, it measures the volatility of the excess return between the inx anthe portfolio. C is incorrect. A currenoverlassists a portfolio manager in heing (not levering) the returns of securities thare helin foreign currenbato the home country’s currency. 本题tracking error大不是应该说明excess return来自于skill而不是luck吗？看了其他的答案还是不能理解这一点

2024-01-18 12:28 1 · 回答

NO.PZ202207040100001002问题如下Whiof Parker’s statements about Manager B in Exhibit 1 is most appropriate? The statement about:A.tracking errors.B.excess return.C.currenoverlays.SolutionB is correct. The comment about excess return being lurather thskill is correct. Replication managers attempt to create a portfolio thtracks the performananthe volatility of the unrlying inx closely possible. The proper measure of skill is the tracking error: Manager B hthe highest tracking error among the three managers.A is incorrect. Tracking error es not measure volatility of the portfolio; rather, it measures the volatility of the excess return between the inx anthe portfolio. C is incorrect. A currenoverlassists a portfolio manager in heing (not levering) the returns of securities thare helin foreign currenbato the home country’s currency. 怎么看出b是full replication

2023-12-07 09:06 1 · 回答

NO.PZ202207040100001002 问题如下 Whiof Parker’s statements about Manager B in Exhibit 1 is most appropriate? The statement about: A.tracking errors. B.excess return. C.currenoverlays. SolutionB is correct. The comment about excess return being lurather thskill is correct. Replication managers attempt to create a portfolio thtracks the performananthe volatility of the unrlying inx closely possible. The proper measure of skill is the tracking error: Manager B hthe highest tracking error among the three managers.A is incorrect. Tracking error es not measure volatility of the portfolio; rather, it measures the volatility of the excess return between the inx anthe portfolio. C is incorrect. A currenoverlassists a portfolio manager in heing (not levering) the returns of securities thare helin foreign currenbato the home country’s currency. 请问老师，tracking error越大， excess return越归因于幸运？

2023-02-06 21:55 2 · 回答