NO.PZ2017121101000009
问题如下：
An equity portfolio manager is invested 100% in US large- cap stocks, but he wants to reduce the current allocation by 20%, to 80%, and allocate 20% to US small caps. He decides not to sell the stocks because of the high transaction costs. Rather, he will use S&P 500 Index futures and Russell 2000 Index futures for achieving the desired exposure in, respectively, US large caps and small caps. To achieve the new allocation, he will for an equivalent of 20% of the portfolio value:
选项：
A.
purchase Russell 2000 futures only.
B.
purchase Russell 2000 futures and sell S&P 500 futures.
C.
sell Russell 2000 futures and purchase S&P 500 futures.
解释：
B is correct.
To reduce the current allocation by 20%, to 80%, in US large- cap stocks, the portfolio manager will sell S&P 500 futures. At the same time, to allocate this 20% to US small caps, he will purchase Russell 2000 futures for the same notional amount.
中文解析：
为了将目前美国大盘股的配置从100%减少20%，至80%，该投资组合经理将出售标准普尔500指数期货。同时，为了将这20%的资金分配给美国小盘股，他将以同样名义金额购买罗素2000期货。
他最初持有的大盘股默认就是S&P 500形式么？是不是应该先用20%的股票换为S&P头寸，也就是买入S&P futures，获得头寸。然后后续就是卖出S&P futures，买入Russel futures，一进一出， S&P futures抵消了
