NO.PZ2018113001000031
问题如下:
A $100 million portfolio is allocated 70% to diversified stock portfolio and 30% to stock XYZ. The manager wants to decrease the exposure to XYZ and invest the fund to S&P 500 index by equity swap. The manager decides to reduce one-half of the XYZ position. Suppose six months later, the return on XYZ is 2% and the return on index is -1%. Calculate the net cash flow the manager needs to pay in six months.
选项:
A.$150,000
B.$450,000
C.$300,000
解释:
B is correct.
考点:equity swap
解析:
Manger应该进入一个支付XYZ收益,收到S&P500 index收益的equity swap。
注意投资经理只想减少一半的XYZ股票头寸,即100*0.3*1/2=15million,所以互换的名义本金为15million。
Net cash flow=(-XYZ return + index return)* NP=(-2%-1%)*15,000,000=-$450,000
因此,投资经理需要支付450,000的现金。
这个题目因为支付的return为正,而收到的return为负,所以就出现了支付两个return的现象。
我的理解是:
- 70% 的换成了index 500,因此是付收益 -1%
- 30% XYZ又减少了一半的头寸,因此是 15mn *(1+2%)
- 合计 70mn x (1-1%)+ 15mn x (1+2%)
请问哪里出现错误?谢谢