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Pavel Korchagin · 2024年12月25日

这里是考察的什么知识点？

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000028

问题如下：

The discussion turns to benchmark selection. DFC’s previous fixed-income manager used a custom benchmark with the following characteristics:

  • Characteristic 1: The benchmark portfolio invests only in investment-grade bonds of US corporations with a minimum issuance size of $250 million.
  • Characteristic 2: Valuation occurs on a weekly basis, because many of the bonds in the index are valued weekly.
  • Characteristic 3: Historical prices and portfolio turnover are available for review.
Which of the custom benchmark’s characteristics violates the requirements for an appropriate benchmark portfolio?

选项：

A.

Characteristics 1

B.

Characteristics 2

C.

Characteristics 3

解释：

Correct Answer: B

B is correct. The use of an index as a widely accepted benchmark requires clear, transparent rules for security inclusion and weighting, investability, daily valuation, availability of past returns, and turnover. Because the custom benchmark is valued weekly rather than daily, this characteristic would be inconsistent with an appropriate benchmark.

rt，怎么有点没印象

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1 个答案

发亮_品职助教 · 2024年12月26日

这个是在讲index-based stratregy时，关于benchmark selection的内容。

这道题涉及的就是原版书下面这句话，这个基础课里面没有带到，课后题是出现了，太细节了。

在选bond index作为benchmark时，benchmark需要有：clear清晰/transparent rules透明的规则来新增成份债，调整权重，且指数具有可投资性（investability），是每日核算的（daily valuation），可获得历史收益和交易数据（availability of past returns and turnover.）


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