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菜頭 · 2023年12月06日

benchmark selection

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000028

问题如下：

The discussion turns to benchmark selection. DFC’s previous fixed-income manager used a custom benchmark with the following characteristics:

  • Characteristic 1: The benchmark portfolio invests only in investment-grade bonds of US corporations with a minimum issuance size of $250 million.
  • Characteristic 2: Valuation occurs on a weekly basis, because many of the bonds in the index are valued weekly.
  • Characteristic 3: Historical prices and portfolio turnover are available for review.
Which of the custom benchmark’s characteristics violates the requirements for an appropriate benchmark portfolio?

选项：

A.

Characteristics 1

B.

Characteristics 2

C.

Characteristics 3

解释：

Correct Answer: B

B is correct. The use of an index as a widely accepted benchmark requires clear, transparent rules for security inclusion and weighting, investability, daily valuation, availability of past returns, and turnover. Because the custom benchmark is valued weekly rather than daily, this characteristic would be inconsistent with an appropriate benchmark.

请问老师这道题为什么不选A？

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2 个答案

pzqa015 · 2023年12月07日

嗨，从没放弃的小努力你好：


嗯 这个发行规模流动性就很好了，可以这样认为A是对的。

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努力的时光都是限量版，加油！

pzqa015 · 2023年12月06日

嗨，爱思考的PZer你好：


A是符合benchmark 选择要求的。A说的是投资于美国市场的投资级债券且最小发行规模在25亿以上的债券，是可以基于这个标准构建出benchmark的。

B是一个比较小的知识点，应该是value daily而不是weekly，所以选择B。


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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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