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silviaws · 2021年01月30日

问一道题:NO.PZ201603110100001601 第1小题 [ CFA III ]

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问题如下:

1.The core-plus fixed-income composite includes a portfolio managed on behalf of the Avonfield Academy endowment fund. The trustees of Avonfield inform Belltower in writing that, due to a change in investment policy, the endowment fund is no longer permitted to hold below-investment-grade securities. Belltower determines that henceforth the Avonfield portfolio should be included in the core fixed-income composite, rather than the core-plus fixed-income composite. The historical record of the portfolio must be:

选项:

A.

included in both composites.

B.

kept in the core-plus fixed income composite.

C.

excluded from the core-plus fixed income composite.

解释:

B is correct.

Provision I.3.A.7 states, "Portfolios must not be switched from one composite to another unless documented changes to a portfolio’s investment mandate, objective, or strategy or the redefinition of the composite make it appropriate. The historical performance of the portfolio must remain with the original composite." (Emphasis added.) (See Section 3.9 of the reading.)

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1 个答案

韩韩_品职助教 · 2021年01月31日

嗨,从没放弃的小努力你好:


同学你好,首先这个题目的背景是B是一个投资公司,负责管理投资组合,他在管一个core-plus fixed income composite,投的都是high-yield debt, 这个composite中间的一个组合是帮AA这个endowment fund来管理的。现在AA endowment fund的投资policy改变了,不能再投资投资级以下的债券,所以B公司决定把这个portfolio要加入到core fixed-income composite当中,应该就是投资投资级以上的composite,然后问这个组合的过去的历史业绩应该放在哪里?

A是说要同时放在两个composite当中,B说放在core-plus fixed income composite, 也就是高收益债的composite,C说从高收益债的composite当中剔除掉。

那么了解背景之后,就可以知道,这个portoflio的投资标的发生了重大变化,要从一个composite换到另外一个composite当中了,但是呢,这个portfolio原来的历史业绩还是要放在原来的composite当中的,因为之前还是投资的HYB,所以答案是B选项。

 


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