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swiflower · 2020年02月29日

问一道题:NO.PZ2017121101000009

问题如下:

An equity portfolio manager is invested 100% in US large- cap stocks, but he wants to reduce the current allocation by 20%, to 80%, and allocate 20% to US small caps. He decides not to sell the stocks because of the high transaction costs. Rather, he will use S&P 500 Index futures and Russell 2000 Index futures for achieving the desired exposure in, respectively, US large caps and small caps. To achieve the new allocation, he will for an equivalent of 20% of the portfolio value:

选项:

A.

purchase Russell 2000 futures only.

B.

purchase Russell 2000 futures and sell S&P 500 futures.

C.

sell Russell 2000 futures and purchase S&P 500 futures.

解释:

B is correct.

To reduce the current allocation by 20%, to 80%, in US large- cap stocks, the portfolio manager will sell S&P 500 futures. At the same time, to allocate this 20% to US small caps, he will purchase Russell 2000 futures for the same notional amount.

RUSSEL2000 和SP500 两者的指数是对应大盘小盘股不同吗,两者有什么区别

1 个答案

xiaowan_品职助教 · 2020年02月29日

嗨,从没放弃的小努力你好:


同学你好,两个指数的成分股不同,Russell2000包括2000只成分股,基本都是中小市值;标普500指数包括500只成分股,偏向大市值的公司。


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


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