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玛卡巴卡 · 2021年08月10日

portfolio overlay

NO.PZ2019012201000056

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.

题干中完全没有提到用衍生品对冲,没有提到外汇、exchangerate,从哪里可以判断出是portfolio overlay呢?currency overlay是属于portfolio overlay么?我记得cunrrency overlay的定义是外包,类似于委外,让外部投资经理管理,和利用衍生品对冲好像不是同一个意思?

4 个答案
已采纳答案

伯恩_品职助教 · 2021年08月10日

嗨,爱思考的PZer你好:


同学你好,

题干中完全没有提到用衍生品对冲,没有提到外汇、exchangerate,从哪里可以判断出是portfolio overlay呢?——对的,题干完全没有题用衍生品,应该是同学把问题的意思理解错,这个题不是问用的什么方法,而是问用什么方法最收益。

currency overlay是属于portfolio overlay么?——不属于。portfolio overlay是只用了衍生品来做来消除跟踪误差。

我记得cunrrency overlay的定义是外包,类似于委外,让外部投资经理管理,和利用衍生品对冲好像不是同一个意思?——不是,而是将持有的外币证券收益对冲回本国货币。





然后呢这个题干说Regulas Funds外汇波动特别大,问那种方法最收益,那说白了就是那种方法能最好的对冲外汇波动。选项三个中最合适对冲波动频繁的就是用衍生品了。这样理解了吗?

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努力的时光都是限量版,加油!

伯恩_品职助教 · 2021年09月24日

嗨,努力学习的PZer你好:


currency overlay是属于portfolio overlay么?——这块书上没有明确定义,但是我认为应该不是,为什么呢?currency overlay 分到被动投资那块了,而portfolio分到主动投资那了,应该分属的。

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加油吧,让我们一起遇见更好的自己!

伯恩_品职助教 · 2021年09月18日

嗨,从没放弃的小努力你好:


不是的,何老师讲的currency 课程Reading17里提到了currency overlay,李老师在equity里面也提到了,两处的定义不一样——哦哦,那就对了。在currency那块我也记得是外包。但是equity这里没强调,不用管在这块

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

伯恩_品职助教 · 2021年09月18日

嗨,爱思考的PZer你好:


老师,currency overlay您看下强化班讲义19页reading17,何老师说的就是外包——我这块上次回答的有些着急了,不应该直接否定,我回答的是定义。但是这块市场上绝对部分都是外包。

然后这个equity的可能应该李老师讲的吧?你说是何老师说的?


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努力的时光都是限量版,加油!

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