NO.PZ2022123002000036
问题如下：
Alex Duhamel, a CFA Level
III candidate, is an investment manager at Nashua Investment Associates Ltd.
(Nashua). Duhamel specializes in portfolio management and is responsible for
conducting annual reviews with clients.
Duhamel begins to
review the portfolio of Hannah Duffi, a US resident. Duffi’s portfolio is invested
in American and European securities. On January 1, 2019, Duffi had a portfolio
of USD 50 million and EUR 50 million allocated between stocks and bonds as
shown in Exhibit 1. The exchange rate on January 1, 2019, was 1.1 USD/EUR.
Exhibit 1 Hannah Duffi’s Portfolio on January 1, 2019
On January 1,
2020, the value of Duffi’s European portfolio increased from EUR 50 million to
EUR 54 million, with EUR 20 million in stocks and EUR 34 million in bonds. The
current USD/EUR exchange rate as of January 1, 2020, is 1.16. The Euro index
futures contract is priced at EUR 700, has a multiplier of 10 and a beta is
1.0. Duffi decides to use futures contracts to rebalance the European portfolio
to the allocation that existed on January 1, 2019.
The
number of stock index futures contracts Duffi should use to rebalance Duffi’s
portfolio is closest to:
选项：
A.Buy 199 Euro index futures
Sell 262 Euro index futures
Buy 263 Euro index futures
解释：
Correct Answer: C
Hannah Duffi’s Portfolio on January
1, 2019
Hannah Duffi’s Portfolio on January
1, 2020
To synthetically rebalance EUR 1.6 million into the European
equity portfolio with a beta of 1.15 using Euro index futures contracts,
Duhamel will need to buy:
NSf = {(βT – βS)/βf} × {S / (fs × m)}
where:
NSf = number of Euro index futures contracts
βT = target beta (1.15)
βS = beta of synthetic cash (0) from the presumed sale of European
bonds
βf = futures beta (1.0)
S = market value of equity position ($1,600,000)
fs = Euro index futures contract price (700)
m = multiplier (10)
Number of futures to buy = {(1.15 – 0) / 1.0} × {$1,600,000 / (700 × 10)}=
262.857
Duhamel should buy 263 Euro index futures contracts.
On January 1, 2020, the value of Duffi’s European portfolio increased from EUR 50 million to EUR 54 million, with EUR 20 million in stocks and EUR 34 million in bonds.
这里不是说2020年的时候， Duffi’s European portfolio的stocks 还是EUR 20 million吗？，为什么54*40%？
