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Lisa Li · 2020年05月10日

问一道题:NO.PZ2019012201000056 [ CFA III ]

问题如下:

Regulas Funds: Invests in a combination of global equity securities from 5–10 different countries. Portfolio weights are adjusted to take advantage of companies that appear to have the best near-term growth prospects.

Clickman asks Leeter how Regulas Funds determines its equity selections. Leeter says that Regulas uses monthly data from non-traditional, but measurable, sources to determine the influence of customer and government attitudes toward a firm and its products. Leeter also notes that Regulas compares its performance relative to an equity benchmark customized to its strategy and that the factors tend to be more volatile than traditional market factors. He also states that the fund does tend to suffer in performance when exchange rates are volatile.


Using Exhibit 1 and the equity selection process of Regulas Funds, the strategy will most likely benefit from:


选项:

A.

a portfolio overlay

B.

a new benchmark

C.

using annual rebalancing

解释:

Regulas Funds will benefit from a portfolio overlay of derivative securities to eliminate exchange rate risk.

B is incorrect. Regulas uses a custom benchmark that is already appropriate for its strategy.

C is incorrect. Annual rebalancing is too infrequent given the volatile nature of the factors used by Regulas.

有點不明白這一題想考的知識點到底是什麼?
1 个答案
已采纳答案

maggie_品职助教 · 2020年05月11日

嗨,爱思考的PZer你好:


1、这道题问你根据题干信息,R基金最能从下面哪种策略中获益,这道题题干说了R基金是投资全球股票市场的,所以就会存在大量的汇率风险,因此选择使用portfolio overlay策略在规避风险的同时还能获得收益。另外,B和C都是凑选项的。

2、其实这个知识点在后面的课程(衍生品)才会着重讲到,因为今年的课程提前上线了,所以有些知识没有特别铺垫(在权益不是重点)。此外,这道题在之后上线的经典题里会讲到,所以现在搞不懂也别担心。


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