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Carina9999 · 2023年06月29日

这是机构ips的题目吗

  1. CFA III
  2. 机构IPS

NO.PZ2022051904000007

问题如下：

Clive Staples is a consultant with the Leedsford Organization (Leedsford), a boutique investment consulting firm serving large endowments and private foundations. Leedsford consults on tactical asset allocation (TAA) program development, implementation, and ongoing TAA idea generation.

Staples has just completed his quarterly client review of the Narnea Foundation. Based on the Foundation’s current asset allocation and Leedsford’s updated fair value models, Staples believes there is an exploitable TAA opportunity in US large-cap growth stocks. He recommends a 2% overweight position to the US equities policy allocation either through an unlevered ETF or total return swap exposures to the Russell 1000 Growth Index.

Q. Compare the efficiency of the ETF and total return swap TAA implementation alternatives from the perspectives of capital commitment, liquidity, and tracking error.


解释：

啊 这是本章知识内容吗

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1 个答案

lynn_品职助教 · 2023年06月30日

嗨，从没放弃的小努力你好：


这个是一个case中的小题，所以放在了机构IPS，实际上是交叉点知识点。


这道题让从capital commitment, liquidity, and tracking error三个方面来对比。因为是互换，不需要买入卖出因此不存在现金流；是OTC交易，没有二级市场，因此流动性较差；因为交换的是全体收益，所以不存在任何tracking error。


三级学科交叉较多，相关知识在衍生品的Reading 11 ■ Overview of Fixed- Income Portfolio Management 256页。不过同学把这道题的答案看一下，也就掌握了。

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