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金融民工阿聪 · 2022年08月13日

关于A

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000028

问题如下：

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.

Characteristics 1

B.

Characteristics 2

C.

Characteristics 3

解释：

Correct Answer: B

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.

A不会导致benchmark不够diversified吗？ 好像记得benchmark得选well-diversified的？

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已采纳答案

pzqa015 · 2022年08月14日

嗨，从没放弃的小努力你好：


不存在这个问题哈

A选项说的条件，一般是IPS约定的，是客户的要求

这道题的B是一个比较偏的知识点，原版书有一句话说明，valuation on daily basis而不是weekly basis，当成结论记一下吧

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加油吧，让我们一起遇见更好的自己！

Arnie · 2022年10月25日

基础班讲义没有翻到这个daily basis

Esther🏵🎠🗝招财🐱 · 2023年05月04日

A选项的流动性不是成问题吗？

pzqa015 · 2023年05月04日

嗨，努力学习的PZer你好：


不成问题。

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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！

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