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梁 · 2022年03月13日

这个教材第几页啊

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.

能不能讲解一下其他需要记忆的overlay的定义

4 个答案
已采纳答案

笛子_品职助教 · 2022年03月13日

嗨,努力学习的PZer你好:


各种overlay在基础讲义68页


总结如下



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加油吧,让我们一起遇见更好的自己!

梁 · 2022年03月13日

教材上没写portfolio overlay

椰子皮 · 2022年08月15日

老师,图中的currency overlay,是不是衍生品里的外汇外包?我糊涂了

笛子_品职助教 · 2022年08月18日

嗨,从没放弃的小努力你好:


但是您截图里的注释,是说比如用swap之类的工具去对冲,并没有提外包呀?而且portfolio overlay是否也可以解释为组合外包?另外,我没报基础班,总复习课程老师也没讲这里,请问哪里可以找到老师的讲解?


外汇外包,这一章节的内容在衍生品课程,外汇章节,可以看看强化讲义。equity这里并没有讲到外包,只要知道用外汇去对冲风险即可。

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努力的时光都是限量版,加油!

笛子_品职助教 · 2022年08月16日

嗨,从没放弃的小努力你好:


老师,图中的currency overlay,是不是衍生品里的外汇外包?我糊涂了

是的。理解正确。

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

椰子皮 · 2022年08月16日

但是您截图里的注释,是说比如用swap之类的工具去对冲,并没有提外包呀?而且portfolio overlay是否也可以解释为组合外包?另外,我没报基础班,总复习课程老师也没讲这里,请问哪里可以找到老师的讲解?

笛子_品职助教 · 2022年03月13日

嗨,努力学习的PZer你好:


确实,这块比较偏,讲义上没有涉及。但是也不涉及解题,overlay就是覆盖的意思,含义是用衍生品对冲掉风险。

portfolio overlay对应到讲义上就是overlay,因为一定是针对于portfolio的风险来对冲。


原版书有一个角落有提到:

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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