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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。

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