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:
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.
Equities do not always respond
in the precise manner predicted by their betas.
Betas are difficult to measure precisely and are often unstable.
futures overlay: will introduce basis risk, and mark-to-market
这两点应该可以作为futures的缺点？
