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奔走的狗尾巴草 · 2022年02月26日

最大收益来源

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.

老师好,问题问的是这个策略的最大收益来源,不应该是增长快的股票权重吗?策略里没有说要对冲汇率风险呀,而且如果是对冲,那也不能算是收益吧,只是避免损失。如果主动承担汇率风险,才有收益,但是策略里也没有写。

1 个答案

笛子_品职助教 · 2022年02月26日

嗨,从没放弃的小努力你好:


这题的意思是:

Regulas Funds基金投资了5-10个国家的股票,涉及到外汇对冲的问题

而且这个基金的策略已经明确,投资于近期增长最快的公司。

所以说,基金的策略,就是投资公司,主要通过公司的快速成长来盈利,基金的策略中并没有说,希望在外汇投机中获利。

由于只投资于快速成长的公司,需要面临外汇风险,因此,需要对冲外汇风险。


回到你的问题

这个策略的最大收益来源

这句话理解不正确。

the equity selection process of Regulas Funds, the strategy will most likely benefit from

这句话的英文翻译,并不是策略的最大收益来源,而是这个策略可能会从以下哪些措施中受益。


仔细体会一下,最大收益来源并不同于从以下哪些措施中获益。最大收益来源是来自于股票投资,但是外汇对冲不是最大收益来源,只是可以让基金获益。


策略里没有说要对冲汇率风险呀,而且如果是对冲,那也不能算是收益吧,只是避免损失

策略没说,所以基金的策略就是投资股票,此时如果有外汇对冲,可以规避汇率风险,让基金得以专心选择股票,所以是受益


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