NO.PZ2023010903000007
问题如下：
Mika Välimaa is an equity portfolio manager with two new clients: The Pinheiro University Endowment Fund and the Missipina Foundation.
The Pinheiro University Endowment Fund (the Fund) is overseen by an investment committee. Välimaa is tasked with developing a strategy for the equity portion of the Fund’s portfolio. In her initial meeting with the Fund’s investment committee, Välimaa compiles the following notes:
n The Fund pays taxes on interest, dividends, and realized capital gains.
n The committee expects an increase in interest rates.
n The committee believes that equity markets are highly efficient.
n The committee mandates that the portfolio shall have minimal tracking risk.
At the end of the initial meeting, Välimaa recommends that the Fund’s portfolio be managed using a passive investment approach.
Justify, with three reasons based only on Välimaa’s notes, why the use of the passive investment approach is appropriate for the Fund’s portfolio.
选项：
解释：
The passive investment approach is appropriate for the Fund’s portfolio for the following three reasons:
1. The passive approach typically has low turnover and generates lower capital gains relative to active strategies. Since the Fund is taxed on investment income, the passive approach would likely result in lower taxes.
2. The Fund’s investment committee members believe that equity markets are highly efficient, suggesting that a manager’s ability to generate alpha may be limited. An efficient market with limited alpha generation potential supports the use of the passive investment approach.
3. The Fund’s investment committee mandates that the portfolio shall have minimum tracking risk. The passive approach provides low tracking risk relative to an active approach. In particular, indexing has the goal of minimizing tracking error, subject to realistic portfolio constraints.
Three reasons for passive investment approach based only on Välimaa’s notes:
- Firstly, given that the committee believes that equity markets are highly efficient, in EMH theory, active investment approach could not have superior performance.
- Secondly, given that the committee expects an increase in interest rates, passive investment that focus on fixed-income could achieve the goal of interest rates growth.
- Thirdly, given that the committee mandates that the portfolio shall have minimal tracking risk, passive investment approach is appropriate for minimize tracking risk and reduce trading cost.
