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Betty · 2024年03月23日

没理解。这题是什么知识点

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NO.PZ202207040100001005

问题如下:

The most cost efficient strategy to deal with Dashe’s concerns following the equity market correction is a(n):

选项:

A.rebalancing to policy weights by selling bonds and purchasing equities. B.rebalancing by replacing the highest-tracking-error manager with low-cost index exchange-traded funds (ETFs). C.overlay using equity index futures.

解释:

Solution

C is correct. The most cost efficient rebalancing strategy is to implement an overlay using equity index futures. This approach can get the equity exposure up to at least the guideline range without impacting the active managers. Equity index futures will very likely have less tracking error than the active managers.

A is incorrect. Buying equities and selling bonds will incur trading costs and disrupt the present active managers’ execution. This is not the most cost-effective solution compared with a derivatives overlay.

B is incorrect. The IPS does not allow for index ETFs; it allows for only active managers and derivatives.

这题是什么知识点

1 个答案
已采纳答案

笛子_品职助教 · 2024年03月24日

嗨,努力学习的PZer你好:


Hello,亲爱的同学~

本题知识点是derivative - based。

衍生品可以低成本的实现对冲功能。

同学看到cost efficient 就要想到使用衍生品。

C选项的股指期货(equity index futures)是衍生品,选C。



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努力的时光都是限量版,加油!

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