NO.PZ201812020100000408
问题如下：
SD&R
Capital (SD&R), a global asset management company, specializes in fixed-income
investments. Molly, chief investment officer, is meeting with a prospective
client, Leah of DePuy Financial Company (DFC).
Leah
informs Molly that DFC’s previous fixed-income manager focused on the interest
rate sensitivities of assets and liabilities when making asset allocation
decisions. Molly explains that, in contrast, SD&R’s investment process first
analyzes the size and timing of client liabilities, and then it builds an asset
portfolio based on the interest rate sensitivity of those liabilities.
Molly notes that SD&R generally uses actively managed portfolios designed to earn a return in excess of the benchmark portfolio. For clients interested in passive exposure to fixed-income instruments, SD&R offers two additional approaches.
- Approach 1: Seeks to fully replicate a small range of benchmarks consisting of government bonds.
- Approach 2: Follows an enhanced indexing process for a subset of the bonds included in the Bloomberg Barclays US Aggregate Bond Index. Approach 2 may also be customized to reflect client preferences.
Leah informs Molly that DFC has a single $500 million liability due in nine years, and she wants SD&R to construct a bond portfolio that earns a rate of return sufficient to pay off the obligation. Leah expresses concern about the risks associated with an immunization strategy for this obligation. In response, Molly makes the following statements about liability-driven investing:
- Statement 1: Although the amount and date of SD&R’s liability is known with certainty, measurement errors associated with key parameters relative to interest rate changes may adversely affect the bond portfolios.
- Statement 2: A cash flow matching strategy will mitigate the risk from non-parallel shifts in the yield curve.
The discussion turns to benchmark selection. DFC’s previous fixed-income manager used a custom benchmark with the following characteristics:
- Characteristic 1: The benchmark portfolio invests only in investment-grade bonds of US corporations with a minimum issuance size of $250 million.
- Characteristic 2: Valuation occurs on a weekly basis, because many of the bonds in the index are valued weekly.
- Characteristic 3: Historical prices and portfolio turnover are available for review.
Which of the custom benchmark’s characteristics violates the requirements for an appropriate benchmark portfolio?
选项：
A.Characteristic 1
B.Characteristic 2
C.Characteristic 3
解释：
B
is correct. The use of an index as a widely accepted benchmark requires clear,
transparent rules for security inclusion and weighting, investability, daily
valuation, availability of past returns, and turnover. Because the custom
benchmark is valued weekly rather than daily, this characteristic would be
inconsistent with an appropriate benchmark.
知道特点2是错的，但特点1和特点3为什么是对的？
