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13675759099 · 2024年05月09日

关于W的观点。

NO.PZ2019012201000048

问题如下:

After determining Winthrop’s objectives and constraints, the CAD147 million portfolio’s new strategic policy is to target long-term market returns while being fully invested at all times. Tong recommends quarterly rebalancing, currency hedging, and a composite benchmark composed of equity and fixed-income indexes. Currently the USD is worth CAD1.2930, and this exchange rate is expected to remain stable during the next month. Exhibit 2 presents the strategic asset allocation and benchmark weights.

In one month, Winthrop will receive a performance bonus of USD5,750,000. He believes that the US equity market is likely to increase during this timeframe. To take advantage of Winthrop’s market outlook, he instructs Tong to immediately initiate an equity transaction using the S&P 500 futures contract with a current price of 2,464.29 while respecting the policy weights in Exhibit 2. The S&P 500 futures contract multiplier is 250, and the S&P 500 E-mini multiplier is 50.

In preparation for receipt of the performance bonus, Tong should immediately:

选项:

A.

buy two US E-mini equity futures contracts

B.

sell nine US E-mini equity futures contracts

C.

buy seven US E-mini equity futures contracts

解释:

The amount of the performance bonus that will be received in one month (USD5,750,000) needs to be invested passively based upon the strategic allocation recommended by Tong. Using the strategic allocation of the portfolio, 15% (USD862,500.00) should be allocated to US equity exposure using the S&P 500 E-mini contract, which trades in US dollars. Because the futures price is 2,464.29 and the S&P 500 E-mini multiplier is 50, the contract unit value is USD123,214.50 (2,464.29 × 50).

The correct number of futures contracts is (5,750,000.00 × 0.15)/123,214.50 = 7.00.

Therefore, Tong will buy seven S&P 500 E-mini futures contracts.

He believes that the US equity market is likely to increase during this timeframe.这句话作用是什么?

题目后面说根据W的市场观点来判断要做什么交易。

但是其实不管W的观点什么样,都是按照SAA的比例来买US equity futures?所以这个观点其实并没有作用,是这样么?

1 个答案
已采纳答案

笛子_品职助教 · 2024年05月09日

嗨,爱思考的PZer你好:


题目后面说根据W的市场观点来判断要做什么交易。

但是其实不管W的观点什么样,都是按照SAA的比例来买US equity futures?所以这个观点其实并没有作用,是这样么?


Hello,亲爱的同学~

这个观点是有用的,用处在于,决定买入还是不买入。

我们看到,他一个月后才会收到钱,而且他的观点是,在收到钱之前,市场会上涨。

正因为他认为收到钱之前,市场会涨,所以才会现在立即买入。也就是买入future。

如果他的观点是,收到钱之前,市场不会涨,那么他就可以等一个月后,钱拿到了,再去买。


SAA只决定比例,而观点决定了现在是否要买入future。

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

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