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dognmnm · 2022年04月30日

Derivatives-Based Approaches练习中的计算

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.


我在这个知识点当中完全没看到相关的计算, 麻烦老师指出来是在equity中关于Derivatives-Based Approaches当中关于这算题的知识点在哪? 而且我感觉李老师在equity中关于Derivatives-Based Approaches也没讲解计算题, 是不是你们视频少放了?

3 个答案

笛子_品职助教 · 2022年05月03日

嗨,从没放弃的小努力你好:


你的回答很清晰, 主要是我是在被动投资这各知识点练习到这个题目, 所以我对这题目的主被动投资表示困惑, 你说"股指期货并不属于被动投资", 但后面又说"不是主动投资", 那既不是主动也不是被动, 他这种看好未来而使用期货的投资方是属于哪种投资?


主动投资和被动投资,它的投资标的,必须是现货。在股市里,现货就是股票,只有投资股票,或者股票指数基金,才涉及到主动投资或被动投资。

股指期货不是现货,是期货,属于衍生品。衍生品不涉及主动投资和被动投资,只会涉及到风险对冲。

结论就是:股指期货,既不属于主动投资,也不属于被动投资,它只是风险对冲。所有的衍生品,期货、期权、远期,在CFA里的作用,都是风险对冲,不涉及到主动投资和被动投资的概念。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

笛子_品职助教 · 2022年05月01日

嗨,从没放弃的小努力你好:


我感觉题目是预期上涨,

我感觉题目是预期上涨:理解正确,题目确实是预期上涨。


怎么你说是担心上涨所以买入期货?

因为预期上涨,但是现在没有钱,买不了股票,题目中讲,In one month, Winthrop will receive a performance bonus of USD5,750,000,一个月后才收到钱,那么如果股市上涨,就会错过这轮上涨,如何办呢,买期货,买期货不需要在一开始就花钱,但是如果股市上涨,股指期货也会上涨,同样获得上涨的收益。


而且这里我没看懂为何拿到绩效奖之后要做被动投资?


这是题目中讲的,预期股市上涨,为了不错过这个上涨,决定买股指期货。

要说明一下,这名投资者预期整个股市上涨,并不是预期某只股票上涨,所以要买股指期货。

另外股指期货并不属于被动投资,衍生品只是对冲风险的手段。这里的风险就是,看涨,但是现在没钱买,错过上涨的风险。


绩效奖不是经理人的奖金吗?

绩效奖是经理人的奖金,理解正确。


怎么还拿去做被动投资?

经理人拿到奖金之后,如何处理,是经理人自己的事情。他看涨股市,不想错过上涨,但是奖金现在没拿到,一个月后才拿到,于是他现在买入股指期货。股指期货不需花钱就能买(CFA里initial outlay为零,实际生活中会需要少量保证金),但是同样可以享受股市整体上涨。


而且他提到她是有自己个人观点未来股票要涨, 那这种参杂个人观点的怎么体现是被动投资? 

是的,理解正确,他自己个人观点确实是未来股票要涨。

注意,他预期是 US equity market 上涨,是指整体股票指数上涨。

举个例子:

比如说,同学预期沪深300指数在1个月内会上涨10%,但是同学手里没钱,没法买股票,又不想错过这个10%上涨,如何办呢,买沪深300股指期货即可。


不应该是主动投资吗?

不是主动投资。主动投资会预测某只股票上涨,而他预期的是US equity market上涨。

另外这道题的考查角度并非主动投资和被动投资,而是预期股市整体上涨,但是手里没钱,买不了,如何不错过这个上涨。它考查的角度是衍生品。





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努力的时光都是限量版,加油!

笛子_品职助教 · 2022年04月30日

嗨,努力学习的PZer你好:


equity在这段只要定义和概念,并没有计算的例题。这块的计算,通过定义和概念就可以理解了。

在本题,担心上涨,于是买入股指期货,买入市值为5,750,000.00 × 0.15,一张合约的市值是2,464.29 × 50,一共买入(5,750,000.00 × 0.15)/123,214.50 = 7.00张。


以后专门学到衍生品这门课的时候,还会有futures的内容,会专门讲到这块计算,在衍生品课程里会详细讲解如何计算期货张数的问题,非常详尽。所以,为了各科目内容不会有太多重复,教材在equity这里就没放计算。关于这块的计算内容,就用这道课后题来补充吧。



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