NO.PZ201812020100000408
问题如下：
SD&RCapital (SD&R), a global asset management company, specializes in fixed-incomeinvestments. Molly, chief investment officer, is meeting with a prospectiveclient, Leah of DePuy Financial Company (DFC).
Leahinforms Molly that DFC’s previous fixed-income manager focused on the interestrate sensitivities of assets and liabilities when making asset allocationdecisions. Molly explains that, in contrast, SD&R’s investment process firstanalyzes the size and timing of client liabilities, and then it builds an assetportfolio based on the interest rate sensitivity of those liabilities.
Mollynotes that SD&R generally uses actively managed portfolios designed to earna return in excess of the benchmark portfolio. For clients interested inpassive exposure to fixed-income instruments, SD&R offers two additionalapproaches.
- 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.
Leahinforms Molly that DFC has a single $500 million liability due in nineyears, and she wants SD&R to construct a bond portfolio that earns a rateof return sufficient to pay off the obligation. Leah expresses concern aboutthe risks associated with an immunization strategy for this obligation. Inresponse, Molly makes the following statements about liability-driveninvesting:
- 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 benchmarkselection. DFC’s previous fixed-income manager used a custom benchmark with thefollowing 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：
Bis correct. The use of an index as a widely accepted benchmark requires clear,transparent rules for security inclusion and weighting, investability, dailyvaluation, availability of past returns, and turnover. Because the custombenchmark is valued weekly rather than daily, this characteristic would beinconsistent with an appropriate benchmark.
是对于所有的benchmark 还是只针对fixed income的，在equity中好像并没有提到这个要求，只是说measurment
