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Kate · 2024年04月21日

请问这是FI特有的吗

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000028

问题如下：

The discussion turns to benchmark selection. DFC’s previous fixed-income manager used a custom benchmark with the following characteristics:

  • Characteristic 1: The benchmark portfolio invests only in investment-grade bonds of US corporations with a minimum issuance size of $250 million.
  • Characteristic 2: Valuation occurs on a weekly basis, because many of the bonds in the index are valued weekly.
  • Characteristic 3: Historical prices and portfolio turnover are available for review.
Which of the custom benchmark’s characteristics violates the requirements for an appropriate benchmark portfolio?

选项：

A.

Characteristics 1

B.

Characteristics 2

C.

Characteristics 3

解释：

Correct Answer: B

B is correct. The use of an index as a widely accepted benchmark requires clear, transparent rules for security inclusion and weighting, investability, daily valuation, availability of past returns, and turnover. Because the custom benchmark is valued weekly rather than daily, this characteristic would be inconsistent with an appropriate benchmark.

在equity里面passive investment 也有选择benchmark，一般指要求transparent, rule based, investable.


是只有FI pure indexing / enhanced index 时benchmark的需要valued on a daily basis 吗？还是说所有benchmark 都需要daily basis 只是因为equity 一般流动性好所以不强调？

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1 个答案

pzqa31 · 2024年04月22日

嗨，从没放弃的小努力你好：


是的，这点不算重要的知识点，有印象即可,下文截自原版书,至于equity里的要求，还请同学具体在equity板块下问一下：

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