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我叫仙人涨 · 2022年03月12日

请问一下C选项

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.

追求短期收益,不是需要经常做rebalancing根据市场而调整么?

3 个答案

笛子_品职助教 · 2022年03月13日

嗨,努力学习的PZer你好:


补充一下portfolio overlay


从原版书中看出,portfolio就是用衍生品,把投资组合(portfolio)中不想要的风险,给对冲掉。


原版书中的词portfolio overlay就是讲义中的词overlay的意思。因为用衍生品对冲,一定是针对portfolio的风险来对冲。

overlay有3种,其中一种是currency overlay

本题的情况,属于currency overlay。由于currency overlay是overlay的一种,并且overlay就是portfolio overlay,所以选portfolio overlay。


在基础讲义对应知识点如下:(68页)

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努力的时光都是限量版,加油!

笛子_品职助教 · 2022年03月13日

嗨,爱思考的PZer你好:


是的,理解正确。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

笛子_品职助教 · 2022年03月13日

嗨,从没放弃的小努力你好:


追求短期收益,不是需要经常做rebalancing根据市场而调整么?


是选择近期earning增长率最高的公司进行投资,这是一种策略。

确实需要rebalancing,根据市场而调整。但是这里的rebalancing,是指不断选择近期增长率高的公司投资。原来投资的公司,增长率低了,就卖掉,换成增长率高的公司,是这种rebalance。

这种热balance聚焦于公司层面的增长,但是这家基金投资多个国家,所以它需要对冲掉外汇波动的风险。


a portfolio overlay是个术语,在这里的意思是,用外汇衍生品,对冲掉各个国家外汇波动的风险。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

我叫仙人涨 · 2022年03月13日

就和currency overlay差不多么?

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