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二三六七七九九 · 2021年04月04日

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请问这题为什么选B 没太明白考察的点在哪儿


Because of the intended size of our South American debt portfolio, it would be too expensive to attempt full replication of any of these indexes. The two choices available to us are purchasing securities that, together, match the primary risk characteristics of the chosen index or purchasing pooled investments, such as mutual funds or exchange-traded funds. A synthetic strategy cannot be pursued because there are no exchange-traded derivative contracts for these indexes.”

Q. Are Honanie’s comments to Puhuyesva regarding replicating a South American debt index most likely correct?

  1. Yes.
  2. No. He is incorrect regarding synthetic strategies.
  3. No. He is incorrect regarding full replication.

Solution

B is correct. Honanie is incorrect regarding synthetic strategies because an active futures market is not required. A total return swap could be entered into in the over-the-counter market to achieve exposure to the desired index.

A is incorrect because Honanie is incorrect regarding synthetic strategies.

C is incorrect because Honanie is correct regarding the prohibitive costs of a full replication strategy for a relatively small portfolio; 6% of $217.3 million is only $13.0 million.

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发亮_品职助教 · 2021年04月07日

嗨,从没放弃的小努力你好:


请问这题为什么选B 没太明白考察的点在哪儿


这道题的考点是:获得债券指数头寸几种方法的优缺点。具体可以参考讲义:147-166


我们获得债券指数头寸的方式,按大类来分,有两种。


第一种:直接投资、获得债券指数头寸(Direct investments);

第二种:其他方式(间接)获得债券指数头寸(Indirect investments)。


直接投资获得债券指数头寸的方法有:

1、Pure indexing;

2、Enhanced indexing

3、active investment

其中,1、2是被动投资债券指数的方式,他们各有优缺点,但是,共同点就是他们必须要实打实地买入债券,然后模拟指数头寸。


间接投资获得指数被动头寸的方法有:

1、Bond mutual funds;买入债券指数公募基金,这种并不需要真实的买入债券,咱们买债券基金就好了

2、bond ETF;也无需真实地买入债券,只需在2级市场上买入债券指数ETF份额就好了,也可以获得债券指数被动头寸

3、衍生品获得债券指数头寸,既包括场外衍生品,Total return swap、CDS、Interest rate swap;又包括场内衍生品,bond futures、options on futures;


从题干来看:

it would be too expensive to attempt full replication of any of these indexes.

表述正确,这是Fully replication(Pure indexing)的缺点,就是模拟指数被动投资的成本高。


The two choices available to us are purchasing securities that, together, match the primary risk characteristics of the chosen index

这句说,还有2种方式可以获得指数被动头寸,第一种是,模拟指数Primary risk characteristics的方法,其实这个说的是Enhanced-indexing的方式。


purchasing pooled investments, such as mutual funds or exchange-traded funds.

这是第二种方式,pooled investments,例如Mutual funds和ETF。


以上2句也都正确,都是获得指数被动头寸的方法。


A synthetic strategy cannot be pursued because there are no exchange-traded derivative contracts for these indexes

下面这句说,不能通过合成方式(Synthetic strategy)获得债券头寸,因为不存在交易所的衍生品来模拟指数。这点完全错误;

场外的衍生品如Total return swap、IRS/CDS等可以获得债券指数被动头寸;场内的产品如bond futures/Options也可以获得债券指数头寸。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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