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Celestine · 2023年04月23日

这道题对应的是AA的哪个知识点？感觉问的都是derivatives的问题

  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：

如题

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1 个答案

lynn_品职助教 · 2023年04月24日

嗨，从没放弃的小努力你好：


考点是rebalancing，但其实在教材正文中没有提及，是机构IPS的case study中出现的。


Reading 2 8 ■ Case Study in Portfolio Management : Institutional课后题第11题，在原版书的378页，这个知识点是考察如何做rebalance，关于Rebalance的知识点我们主要学习理解在AA中讲解的部分，但是机构IPS中（reading25及case）也出现了这个知识点，并有几个题目，我们把相应的题目做完看一下就行。


这道题主要是想说用期货市场做rebalance的优点，看一下答案稍微有个印象就行。


考场上如果遇到这类题目，我们的应对方法就是读题干，比如这道题中However, the sell-off has increased the significance of liquidity and flexibility for the team. 这句话是想告诉我们抛售虽然偏离了rebalance band，但是大大增加了流动性和灵活性。那么我们的回答中优点就包括flexibility以及high level of liquidity这两条。


操作快是因为衍生品的量是很大的，现货交割还要运输、盘点、入库等等。这里讲到的衍生品是标准化的产品，因为OTC本来就特殊，实务中也是这样，不会专门为了做rebalance去签OTC合约的。


Flexibility是指灵活度，衍生品本来就是金融市场把各种风险剥离出来”加工“制作的“艺术品”，种类比现货多、丰富，所以更加flexible。


同学会感觉问的是衍生品，是因为这里和衍生品交叉了，其实题目很新颖，也说不定是未来出题的一个方向，但是对我们考生来说不是很友好，目前来说还是掌握主体知识就够了哦。

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