开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

little_back · 2021年05月05日

请问老师两个问题。

NO.PZ2019012201000048

问题如下:

After determining Winthrop’s objectives and constraints, the CAD147 million portfolio’s new strategic policy is to target long-term market returns while being fully invested at all times. Tong recommends quarterly rebalancing, currency hedging, and a composite benchmark composed of equity and fixed-income indexes. Currently the USD is worth CAD1.2930, and this exchange rate is expected to remain stable during the next month. Exhibit 2 presents the strategic asset allocation and benchmark weights.

In one month, Winthrop will receive a performance bonus of USD5,750,000. He believes that the US equity market is likely to increase during this timeframe. To take advantage of Winthrop’s market outlook, he instructs Tong to immediately initiate an equity transaction using the S&P 500 futures contract with a current price of 2,464.29 while respecting the policy weights in Exhibit 2. The S&P 500 futures contract multiplier is 250, and the S&P 500 E-mini multiplier is 50.

In preparation for receipt of the performance bonus, Tong should immediately:

选项:

A.

buy two US E-mini equity futures contracts

B.

sell nine US E-mini equity futures contracts

C.

buy seven US E-mini equity futures contracts

解释:

The amount of the performance bonus that will be received in one month (USD5,750,000) needs to be invested passively based upon the strategic allocation recommended by Tong. Using the strategic allocation of the portfolio, 15% (USD862,500.00) should be allocated to US equity exposure using the S&P 500 E-mini contract, which trades in US dollars. Because the futures price is 2,464.29 and the S&P 500 E-mini multiplier is 50, the contract unit value is USD123,214.50 (2,464.29 × 50).

The correct number of futures contracts is (5,750,000.00 × 0.15)/123,214.50 = 7.00.

Therefore, Tong will buy seven S&P 500 E-mini futures contracts.

请问老师:

1.为什么不是5750000全部投资于equity?为什么5750000也要按照benchmark去配置?5750000相对现有的CADportfolio规模也不是很大。

2.做passive投资,因为一个月后有USD增加,且预计股市要上涨,应该是围绕benchmark的权重保持equity15%不变,应该是要sell衍生品才对呀,为什么这里又可以对未来股市看涨呢?

1 个答案
已采纳答案

maggie_品职助教 · 2021年05月06日

嗨,爱思考的PZer你好:


注意这道题其实涉及很多衍生的知识,不是一道常规权益的题目,在真正考试中也不会出现在权益这里,我简单解释一下:W同学预期目前美股会大涨,但是1个月后他才会收到5.75M的奖金,但他又不想错过这一波涨势,因此就选择买一个月的股指期货。根据表格2,投入美国股票的资金占比为15%,说明他的奖金中15%*5.75M可以用来买股票,那么现在反求我们能买多少只期货。

 (1)   被动投资的基金经理需要严格遵照基金的投资政策来配置资产,权益在组合的policy weight设定为15%,那么每一次都投资都要按照这个比例来走,这和资金量的大小无关。

(2)   预期股票要上涨,那么就要提前布局即获得一个股票的风险敞口,鉴于钱还没到位,那么基金经理只能选择买期货来获得这个敞口。

----------------------------------------------
努力的时光都是限量版,加油!

  • 1

    回答
  • 1

    关注
  • 1228

    浏览
相关问题

NO.PZ2019012201000048问题如下 After terminingWinthrop’s objectives anconstraints, the CA47 million portfolio’s newstrategic poliis to target long-term market returns while being fullyinvesteall times. Tong recommen quarterly rebalancing, currenheing,ana composite benchmark composeof equity anfixeincome inxes.Currently the USis worth CA.2930, anthis exchange rate is expectetoremain stable ring the next month. Exhibit 2 presents the strategic assetallocation anbenchmark weights.In one month,Winthrop will receive a performanbonus of US,750,000. He believes ththeUS equity market is likely to increase ring this timeframe. To take aantageof Winthrop’s market outlook, he instructs Tong to immeately initiate equitytransaction using the S P 500 futures contrawith a current priof2,464.29 while respecting the poliweights in Exhibit 2. The S P 500futures contramultiplier is 250, anthe S P 500 E-mini multiplier is50.Inpreparation for receipt of the performanbonus, Tong shoulimmeatelyA.buy two US E-mini equity futures contracts B.sell nine US E-mini equity futures contracts C.buy seven US E-mini equity futures contracts The amount of theperformanbonus thwill receivein one month (US,750,000) nee to beinvestepassively baseupon the strategic allocation recommenTong.Using the strategic allocation of the portfolio, 15% (US62,500.00) shoulbeallocateto US equity exposure using the S P 500 E-mini contract, whichtras in US llars. Because the futures priis 2,464.29 anthe S P 500E-mini multiplier is 50, the contraunit value is US23,214.50 (2,464.29 ×50).The correnumberof futures contracts is (5,750,000.00 × 0.15)/123,214.50 = 7.00.Therefore, Tongwill buy seven S P 500 E-mini futures contracts. 请问老师这个期货价格不是标普500的吗 为啥标普小型期货也可以直接带入了

2024-10-20 18:35 1 · 回答

NO.PZ2019012201000048 问题如下 After terminingWinthrop’s objectives anconstraints, the CA47 million portfolio’s newstrategic poliis to target long-term market returns while being fullyinvesteall times. Tong recommen quarterly rebalancing, currenheing,ana composite benchmark composeof equity anfixeincome inxes.Currently the USis worth CA.2930, anthis exchange rate is expectetoremain stable ring the next month. Exhibit 2 presents the strategic assetallocation anbenchmark weights.In one month,Winthrop will receive a performanbonus of US,750,000. He believes ththeUS equity market is likely to increase ring this timeframe. To take aantageof Winthrop’s market outlook, he instructs Tong to immeately initiate equitytransaction using the S P 500 futures contrawith a current priof2,464.29 while respecting the poliweights in Exhibit 2. The S P 500futures contramultiplier is 250, anthe S P 500 E-mini multiplier is50.Inpreparation for receipt of the performanbonus, Tong shoulimmeately A.buy two US E-mini equity futures contracts B.sell nine US E-mini equity futures contracts C.buy seven US E-mini equity futures contracts The amount of theperformanbonus thwill receivein one month (US,750,000) nee to beinvestepassively baseupon the strategic allocation recommenTong.Using the strategic allocation of the portfolio, 15% (US62,500.00) shoulbeallocateto US equity exposure using the S P 500 E-mini contract, whichtras in US llars. Because the futures priis 2,464.29 anthe S P 500E-mini multiplier is 50, the contraunit value is US23,214.50 (2,464.29 ×50).The correnumberof futures contracts is (5,750,000.00 × 0.15)/123,214.50 = 7.00.Therefore, Tongwill buy seven S P 500 E-mini futures contracts. Because the futures priis 2,464.29 anthe S P 500 E-mini multiplier is 50, the contraunit value is US23,214.50 (2,464.29 × 50).老师,可以再一下2464.29*50算出来的是什么吗。这里有点混future price和multiplier的关系了

2024-06-30 16:57 1 · 回答

NO.PZ2019012201000048问题如下 After terminingWinthrop’s objectives anconstraints, the CA47 million portfolio’s newstrategic poliis to target long-term market returns while being fullyinvesteall times. Tong recommen quarterly rebalancing, currenheing,ana composite benchmark composeof equity anfixeincome inxes.Currently the USis worth CA.2930, anthis exchange rate is expectetoremain stable ring the next month. Exhibit 2 presents the strategic assetallocation anbenchmark weights.In one month,Winthrop will receive a performanbonus of US,750,000. He believes ththeUS equity market is likely to increase ring this timeframe. To take aantageof Winthrop’s market outlook, he instructs Tong to immeately initiate equitytransaction using the S P 500 futures contrawith a current priof2,464.29 while respecting the poliweights in Exhibit 2. The S P 500futures contramultiplier is 250, anthe S P 500 E-mini multiplier is50.Inpreparation for receipt of the performanbonus, Tong shoulimmeatelyA.buy two US E-mini equity futures contracts B.sell nine US E-mini equity futures contracts C.buy seven US E-mini equity futures contracts The amount of theperformanbonus thwill receivein one month (US,750,000) nee to beinvestepassively baseupon the strategic allocation recommenTong.Using the strategic allocation of the portfolio, 15% (US62,500.00) shoulbeallocateto US equity exposure using the S P 500 E-mini contract, whichtras in US llars. Because the futures priis 2,464.29 anthe S P 500E-mini multiplier is 50, the contraunit value is US23,214.50 (2,464.29 ×50).The correnumberof futures contracts is (5,750,000.00 × 0.15)/123,214.50 = 7.00.Therefore, Tongwill buy seven S P 500 E-mini futures contracts. 请教一下老师,这道题是不是要等学了rivative那一章之后才会做呢?在Equity这章rivative baseapproaches课件中基本都是结论,不涉及任何计算。感谢解答~

2024-05-29 22:49 1 · 回答

NO.PZ2019012201000048 问题如下 After terminingWinthrop’s objectives anconstraints, the CA47 million portfolio’s newstrategic poliis to target long-term market returns while being fullyinvesteall times. Tong recommen quarterly rebalancing, currenheing,ana composite benchmark composeof equity anfixeincome inxes.Currently the USis worth CA.2930, anthis exchange rate is expectetoremain stable ring the next month. Exhibit 2 presents the strategic assetallocation anbenchmark weights.In one month,Winthrop will receive a performanbonus of US,750,000. He believes ththeUS equity market is likely to increase ring this timeframe. To take aantageof Winthrop’s market outlook, he instructs Tong to immeately initiate equitytransaction using the S P 500 futures contrawith a current priof2,464.29 while respecting the poliweights in Exhibit 2. The S P 500futures contramultiplier is 250, anthe S P 500 E-mini multiplier is50.Inpreparation for receipt of the performanbonus, Tong shoulimmeately A.buy two US E-mini equity futures contracts B.sell nine US E-mini equity futures contracts C.buy seven US E-mini equity futures contracts The amount of theperformanbonus thwill receivein one month (US,750,000) nee to beinvestepassively baseupon the strategic allocation recommenTong.Using the strategic allocation of the portfolio, 15% (US62,500.00) shoulbeallocateto US equity exposure using the S P 500 E-mini contract, whichtras in US llars. Because the futures priis 2,464.29 anthe S P 500E-mini multiplier is 50, the contraunit value is US23,214.50 (2,464.29 ×50).The correnumberof futures contracts is (5,750,000.00 × 0.15)/123,214.50 = 7.00.Therefore, Tongwill buy seven S P 500 E-mini futures contracts. 助教你好这是equity M2 被动投资的题目,M2这章的核心话题就是被动投资型的基金经理要replicate inx performance。但我在这题里没觉得哪里像是被动投资,跟着benchmark portfolio里的权重去买,就算被动吗?权益所有章节都很虚,导致我做权益的题目老是不知道自己看见的题干信息是否就是某某知识点,所以我想请你指出这道题,被动投资的被动体现在哪?题干一开始给的美加汇率在本题没用到,但考试时会出现把权益和汇率的题目联系在一起的这种难度么?如果这题考虑到了汇率且用的是加拿大债券这一个asset class,那就要把美元换成家币performanbonus of US,750,000换成CA然后才能进行后续的计算,是么?谢谢 😭

2024-05-16 12:12 1 · 回答

NO.PZ2019012201000048 问题如下 After terminingWinthrop’s objectives anconstraints, the CA47 million portfolio’s newstrategic poliis to target long-term market returns while being fullyinvesteall times. Tong recommen quarterly rebalancing, currenheing,ana composite benchmark composeof equity anfixeincome inxes.Currently the USis worth CA.2930, anthis exchange rate is expectetoremain stable ring the next month. Exhibit 2 presents the strategic assetallocation anbenchmark weights.In one month,Winthrop will receive a performanbonus of US,750,000. He believes ththeUS equity market is likely to increase ring this timeframe. To take aantageof Winthrop’s market outlook, he instructs Tong to immeately initiate equitytransaction using the S P 500 futures contrawith a current priof2,464.29 while respecting the poliweights in Exhibit 2. The S P 500futures contramultiplier is 250, anthe S P 500 E-mini multiplier is50.Inpreparation for receipt of the performanbonus, Tong shoulimmeately A.buy two US E-mini equity futures contracts B.sell nine US E-mini equity futures contracts C.buy seven US E-mini equity futures contracts The amount of theperformanbonus thwill receivein one month (US,750,000) nee to beinvestepassively baseupon the strategic allocation recommenTong.Using the strategic allocation of the portfolio, 15% (US62,500.00) shoulbeallocateto US equity exposure using the S P 500 E-mini contract, whichtras in US llars. Because the futures priis 2,464.29 anthe S P 500E-mini multiplier is 50, the contraunit value is US23,214.50 (2,464.29 ×50).The correnumberof futures contracts is (5,750,000.00 × 0.15)/123,214.50 = 7.00.Therefore, Tongwill buy seven S P 500 E-mini futures contracts. He believes ththe US equity market is likely to increase ring this timeframe.这句话作用是什么?题目后面说根据W的市场观点来判断要做什么交易。但是其实不管W的观点什么样,都是按照SAA的比例来买US equity futures?所以这个观点其实并没有作用,是这样么?

2024-05-09 17:11 1 · 回答