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蕾 · 2024年01月16日

请全题解释

NO.PZ2019012201000056

问题如下:

Regulas Funds: Invests in a combination of global equity securities from 5–10 different countries. Portfolio weights are adjusted to take advantage of companies that appear to have the best near-term growth prospects.

Clickman asks Leeter how Regulas Funds determines its equity selections. Leeter says that Regulas uses monthly data from non-traditional, but measurable, sources to determine the influence of customer and government attitudes toward a firm and its products. Leeter also notes that Regulas compares its performance relative to an equity benchmark customized to its strategy and that the factors tend to be more volatile than traditional market factors. He also states that the fund does tend to suffer in performance when exchange rates are volatile.


Using Exhibit 1 and the equity selection process of Regulas Funds, the strategy will most likely benefit from:


选项:

A.

a portfolio overlay

B.

a new benchmark

C.

using annual rebalancing

解释:

Regulas Funds will benefit from a portfolio overlay of derivative securities to eliminate exchange rate risk.

B is incorrect. Regulas uses a custom benchmark that is already appropriate for its strategy.

C is incorrect. Annual rebalancing is too infrequent given the volatile nature of the factors used by Regulas.

请解释

1 个答案

笛子_品职助教 · 2024年01月17日

嗨,努力学习的PZer你好:


请全题解释

Hello,亲爱的同学~

老师三个选项都解释一下。

先看A选项。

同学注意Regulas Funds的做法:Invests in a combination of global equity securities from 5–10 different countries.

Regulas Funds投资5-10个国家,意味着Regulas Funds基金面临外汇波动的风险。

既然面临外汇波动的风险,就要用衍生品来对冲管理这些外汇风险。

因此选A选项:a portfolio overlay。overlay就是指用衍生品来管理风险。


再看B选项

B选项说使用一个新的benchmark。这里不必要这么做。

因为题干里有这一句:

Leeter also notes that Regulas compares its performance relative to an equity benchmark customized to its strategy and that the factors tend to be more volatile than traditional market factors. 

这句话表明,现在使用的benchmark是合适的。因此不需要使用new benchmark。


再看C选项

C选项是说,基金持有股票后,一年内就不用管了,一年后再看是否调仓。

而题干里有这么一句:

Portfolio weights are adjusted to take advantage of companies that appear to have the best near-term growth prospects.

抓住近期的增长机会。

既然想抓near -term的机会,那么如果只是1年1次的调整频率,显然是太低了。因此也不选C。


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

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