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13675759099 · 2024年06月03日

关于选futures其实犹豫了一下

* 问题详情,请 查看题干

NO.PZ202209060200004305

问题如下:

What trades can Moynahan most likely make to accomplish the objective outlined on page 5 of his presentation?

选项:

A.Enter into a fixed-rate payer swap contract B.Buy long bond futures contracts C.Sell an overnight repurchase agreement

解释:

Solution

B is correct. To accomplish Moynahan’s objective of increasing the investment exposure of a fully invested portfolio, he would buy long bond futures. Futures contracts embed significant leverage because they permit the counterparties to gain exposure to a large quantity of the underlying asset without having to actually transact in the asset.

A is incorrect because entering into a fixed-rate payer swap contract would not increase the portfolio’s investment exposure.

C is incorrect because selling an overnight repurchase agreement would not increase the portfolio’s investment exposure.

the portfolio is fully invested这句话是什么意思?我以为是说这个组合已经满仓了,那就没有钱买futures了,毕竟买futures还是有outlay的。但是后来咩有其他可以选还是选了futures。

请老师再解读一下。

1 个答案

发亮_品职助教 · 2024年06月04日

嗯是的,the portfolio is fully invested就是满仓的意思,可投资的资金已经全部投出去了。


这块应该是CFA的出题风格,应该说碰到的衍生品题目都会有这种情况,就是题干说资产已经满仓,如果要增加头寸或者管理风险的话,会使用衍生品。相当于这里默认衍生品的抵押物or保证金是不占用原始投资资金的哈。


所以碰到这类题目看到the portfolio is fully invested就要联想到,使用自有资金调整头寸是不行了,可能要加杠杆或者使用衍生品了。剩下的分析就按照futures特性分析即可。

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