NO.PZ202209060200004401 问题如下 Spencer Hale is a reporter for “Aisor’s Monthly,” a newsletter thfeatures selemutufunmanagers anis circulateto registereinvestment aisers (RIAs). Hale reports on managers who have performewell over a three-yeperio He focuses on their investment style, philosophy, anprocess while highlighting some persontraits to make the reang entertaining. Because the newsletter is ecationfor RIwho are generalists across asset classes, Hale also incorporates some technicmateriin the story. He publishethe following article subsequent to a recent interview:Harlow Choate is the portfolio manager of the Cret Opportunities Fun(COF) IpswiAisors, LLChoate navigates his funwith the same xterity his 46-foot sloop, scouring the markets for attractive cret securities. He scribes his strategy approahaving “objective to bethe Barclays US Investment-Gra Corporate Inx 100 basis points (bps) annually with a tracking error volatility of 200 bps. We evaluate the relative value of securities within countries ansectors using our own assessment of cret-relaterisks anuse expecteexcess return the measure to make relative value cisions. We consir overall corporate profitability, fault rates, aninstry tren to allocate to instry sectors anwhen aing asset class, suhigh-yielbon. Investments are not restrictebaseon companies’ business practices.”Choate elaborates on the fferent risk consirations he attributes to investment-gra bon compareto high-yielbon, “Relative to high-yielbon, investment-gra bon are more sensitive to interest rate changes ancret migration risk, resulting in cret sprevolatility. High-yielbon are not sensitive to interest rates, an given the potentifor actucret losses causefault, monitoring outright market value of the position is more criticwith high-yielbon thwith investment-gra bon.”Choate is nimble with seafaring tools, suthe compass ansextant, so it is no wonr thhe employs a number of specializetools when investing in bon. He shares his favorite measures to assess how muhe is being compensatefor the cret-relaterisks he takes, saying “There are a number of cret spremeasures thcusewhen evaluating risky bon. My preferenis to use a measure the security level thuses a spreover a lineinterpolation of the yiel of two on-the-run government bon. the portfolio level, I prefer to use a measure thapplies to a versifiegroup of securities, whether they have embeeoptions or not.”Similto many fixeincome investors, Choate envisions the glass half empty. He is concerneabout the challenging market environment, liquity, ana number of blaswor tail risks thcoulpotentially impathe performanof his investments. He outlines for Hale the precautions he ctake in the portfolio anspecifically outlines three key consirations:Consiration 1: Liquity risk hincreasemarkey for corporate bon, particularly sinthe globfinancicrisis. We assess liquity through a number of measures, suthe biask sprea trang volumes, anthe impaof fun flows. We manage liquity through position sizes, the use of Treasuries, exchange-trafun, anrivatives.Consiration 2: Tail risk events are challenging to mol or preaheof time. Scenario analysis cprovi incation of how a portfolio woulperform unr certain contions, susprea wining a certain amount across the cret curve. The positions in a portfolio cstressein scenario analysis assuming similoutcomes of a past crisis recur.Consiration 3: It is fficult to hee tail risks through portfolio versification, anit calso prove too costly. We prefer to hee using surivatives cret fault swaps, whihave a very low cost.Choate es not limit his investments strictly to mestic issuers. He prefers to traverse the globwaters for opportunities. His rationale is fairly straightforwar “The cret market is globin nature. We evaluate opportunities across regions ancountries, whiinclu emerging markets. We are especially keen on emerging market crets, whicprovi excess returns thoutperform the mestic anglobvelopemarket inxes. Because the emerging market crets are not incluin the performanbenchmark, we limit the maximum exposure to this asset class anbuy them in either USor the loccurrenpenng on the totexpectereturn of the transaction.”Choate’s fincomments to Hale tail how he also looks for structurefinanciinstruments thoffer versification benefits anattractive expectereturns. These are listein Exhibit 1, whishows recent COF portfolio positioning relative to the benchmark anreflects various opportunities Choate huncovereacross severmarkets.Exhibit 1 COF Portfolio Holngs of 12/31/xxQuestion Baseon Choate’s comments regarng the Cret Opportunities Fun whistrategy approach(es) es Ipswimost likely follow? A.Bottom-up. B.Top-wn with ESG consirations. C.Top-wn anbottom-up. SolutionC is correct. Ipswifollows a top-wn anbottom-up approach. The top-wn approainvolves the investor formulating a view on major macroeconomic tren, sueconomic growth ancorporate fault rates, anthen selecting the bon ththe investor expects to perform best in a given environment. The bottom-up approainvolves selecting the invibon or issuers ththe investor views having the best relative value from among a set of bon or issuers with similcharacteristi(usually the same instry anoften the same country of micile).A is incorrebecause Ipswifollows a bottom-up approabut also applies top-wn in asset allocation.B is incorrebecause while Ipswifollows a top-wn approach, there is no mention of ESG consirations anthe scription actually states it esn’t look business practices. 。。。。。。。。。。。。。。
2023-08-06 22:22
1 · 回答
