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𝒜𝒩𝒥𝒜 安雅🎃 · 2024年01月20日

total return swap的capital commitment为啥比ETF小?

NO.PZ2022051904000007

问题如下:

Clive Staples is a consultant with the Leedsford Organization (Leedsford), a boutique investment consulting firm serving large endowments and private foundations. Leedsford consults on tactical asset allocation (TAA) program development, implementation, and ongoing TAA idea generation.

Staples has just completed his quarterly client review of the Narnea Foundation. Based on the Foundation’s current asset allocation and Leedsford’s updated fair value models, Staples believes there is an exploitable TAA opportunity in US large-cap growth stocks. He recommends a 2% overweight position to the US equities policy allocation either through an unlevered ETF or total return swap exposures to the Russell 1000 Growth Index.

Q. Compare the efficiency of the ETF and total return swap TAA implementation alternatives from the perspectives of capital commitment, liquidity, and tracking error.


选项:

解释:

关于capital commitment解析中,倒数第三行【In contrast, a total return swap generates a similar economic exposure to ETFs with much lower capital.】


  1. 这里的capital commitment是指购买total return swap和购买ETF的成本吗?还是其他意思?我看不懂。
  2. 怎么知道他们俩的capital commitment谁大谁小?


谢谢助教!



1 个答案

lynn_品职助教 · 2024年01月21日

嗨,努力学习的PZer你好:


关于capital commitment解析中,倒数第三行【In contrast, a total return swap generates a similar economic exposure to ETFs with much lower capital.】

  1. 这里的capital commitment是指购买total return swap和购买ETF的成本吗?还是其他意思?我看不懂。
  2. 怎么知道他们俩的capital commitment谁大谁小?


谢谢助教!


三级的知识比较综合哈,


这个是一个case中的小题,所以放在了机构IPS,实际上是交叉点知识点。


这道题让从capital commitment, liquidity, and tracking error三个方面来对比。因为是互换,不需要买入卖出因此不存在现金流;是OTC交易,没有二级市场,因此流动性较差;因为交换的是全体收益,所以不存在任何tracking error。


commitment capital是承诺资本,是整个阶段的投资金额,也是管理费的计费依据,


paid in capital是commitment capital中已经投入到项目的资金。


这道题的回答是从题干中找信息来看的


Russell 1000Growth ETF is less efficient than total retrun swap,since etf require larger cash outlay.


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

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