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曼联天下 · 2024年01月24日

如果是BOND FUTURES 和BOND的区别呢?可以仔细说下吗 谢谢

NO.PZ2022123002000059

问题如下:

Hood’s tactical equity fund has a current allocation of 50% small-cap equity and 50% mid-cap equity. He wants to change the fund’s allocation to 70% small-cap equity and 30% mid-cap equity for the next three months. To implement this change, Hood executes a futures overlay strategy of buying small-cap and selling mid-cap equity index futures contracts that expire in three months. The underlying for each contract is a broad small-cap equity total return index and a broad mid-cap equity total return index, respectively.

At the end of the three-month period, Hood calculates that his fund’s return, including the futures overlay strategy, was different than it would have been had he used a cash-market strategy of buying and selling equity securities. Bullseye’s head trader demonstrates that the difference in return between the strategies was not a result of transaction costs, rounding of fractional futures contracts, or inefficient execution prices.

Explain, with two reasons, why the return of Hood’s futures overlay strategy was not the same as that of the cash-market strategy.

选项:

解释:

Correct Answer:

The reasons Hood’s return using the futures overlay strategy was not the same as that of the cash-market strategy are as follows:

Ÿ Futures hedge only the relationship between the portfolio and the index/security underlying the futures contract, so an equity portfolio could contain non-systematic risk, which would cause the portfolio to behave differently than the futures contract. Smallcap and mid-cap equity index futures contracts were used as proxies for equity portfolios. Portfolio holdings and weights may not match those of the indices underlying the futures contracts.

Ÿ Equities do not always respond in the precise manner predicted by their betas.

Ÿ Betas are difficult to measure precisely and are often unstable.

如题

1 个答案

pzqa31 · 2024年01月25日

嗨,从没放弃的小努力你好:


直接买卖债券现货的主要缺点是:对于一些流动性比较差的债券,买卖成本可能比较高,有时候还可能买不到或者卖不出去,整体流动性不如bond futures。

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