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椰子皮 · 2022年08月12日

用derivative mkt

  1. CFA III
  2. 机构IPS

NO.PZ2022051904000008

问题如下：

The Lemont Family Foundation follows a systematic quarterly rebalancing policy based on rebalancing corridors for each asset class. In the latest quarter, a significant sell-off in US public equities resulted in an unusually large 1.2% underweight position relative to the applicable lower corridor boundary. This is the only policy exception requiring rebalancing attention.

The Foundation’s investment team views the sell-off as temporary and remains pleased with the performance of all external managers, including that of its US public equities manager. However, the sell-off has increased the significance of liquidity and flexibility for the team. As a result, the team now considers whether to rebalance through the cash market or the derivatives market.

Q. Determine the most appropriate rebalancing choice for the Foundation’s investment team. Justify your response.


选项：

解释：

1.However, the sell-off has increased the significance of liquidity and flexibility for the team. 这句话什么意思？


2.cash market是什么意思？


3.leave external mgr in place什么意思？

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2 个答案

lynn_品职助教 · 2022年08月16日

嗨，从没放弃的小努力你好：


嗷，这一点呀，我觉得这一点他只是列举了期货市场的优点，没有太多的非此即彼的意思。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

lynn_品职助教 · 2022年08月14日

嗨，爱思考的PZer你好：


这个知识点是考察如何做rebalance.


1. However, the sell-off has increased the significance of liquidity and flexibility for the team. 这句话什么意思？

题干中说到a significant sell-off in US public equities,抛售了股票，导致偏离了band，同学问的这句话意思是说这个抛售虽然偏离了rebalance band，但是大大增加了流动性和灵活性。


2. cash market是什么意思？

是现货市场。


3. leave external mgr in place什么意思？

是用期货市场做rebalance的优点，让外部经理在他适合的位置，就是不需要动外部经理的配比。

这道题只要记一下期货市场的优点就可以了。

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努力的时光都是限量版，加油！

椰子皮 · 2022年08月14日

谢谢老师。不过我还是想问下第三个，难道用现货工具就不能让外部经理维持现状吗？

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