开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

sophialinlinlin · 2024年04月21日

为什么reason 2能成为他对mutual fund有兴趣的原因？

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000020

问题如下：

After providing Trey with advice on direct investment, Serena offered him additional information on alternative indirect investment strategies using (1) bond mutual funds, (2) exchange-traded funds (ETFs), and (3) total return swaps.

Trey expresses interest in using bond mutual funds rather than the other strategies for the following reasons.

1. Reason 1: Total return swaps have much higher transaction costs and initial cash outlay than bond mutual funds.

2. Reason 2: Unlike bond mutual funds, bond ETFs can trade at discounts to their underlying indexes, and those discounts can persist.

3. Reason 3: Bond mutual funds can be traded throughout the day at the net asset value of the underlying bonds.

Which of Trey’s reasons for choosing bond mutual funds as an investment vehicle is correct?

选项：

A.

Reason 1

B.

Reason 2

C.

Reason 3

解释：

Correct Answer: B

B is correct. Although a significant spread between the market price of the underlying fixed-income securities portfolio and an ETF’s NAV should drive an authorized participant to engage in arbitrage, many fixed-income securities are either thinly traded or not traded at all. This situation might allow such a divergence to persist.

虽然我明白，reason 1和3的表述直接是错的，但是为什么第二点能让他对mutual fund有兴趣呢？我觉得就算是ETF因为很难凑齐一篮子债券而导致不好套利，也不见得就一定要去投Mutual fund吧，还可以投TRS啊，不是更好吗？

添加评论
1 个答案

pzqa31 · 2024年04月22日

嗨，爱思考的PZer你好：


Reason 2实际上是Mutual fund相比ETF的优势：


对于Bond ETF来讲，ETF的市场交易价格非常有可能偏离自己的内在价值（NAV），并且这种价值的偏离可能会持续很长时间。主要是对于债券来讲，很多债券交易不够活跃，如果想从市场上买入债券拼凑成ETF进行套利就很难。由于这种套利机制很难执行，因此经常出现ETF的价格偏离其内在价值的情况。

那在这种情况下，对于ETF份额的卖方来说其实不是好事，因为如果要卖出份额，必须要以低于内在价值的市场价格卖。而如果是卖出Mutual fund的话，就不会存在这个情况。


而对于Mutual funds来讲就不存在这个问题，Mutual fund就是以NAV交易的，不存在交易价格偏离内在价值的问题。所以Reason 2依然是Mutual fund相对于ETF的优点。这里可以当成结论记一下。

----------------------------------------------
努力的时光都是限量版，加油！

  • 1

    回答

  • 0

    关注

  • 199

    浏览
相关问题

NO.PZ2018120301000020 问题如下 Afterproving Trey with aion reinvestment, Serena offerehim aitionalinformation on alternative inreinvestment strategies using (1) bonmutualfun, (2) exchange-trafun (ETFs), an(3) totreturn swaps. Treyexpresses interest in using bonmutufun rather ththe other strategiesfor the following reasons.1. Reason 1: Totreturn swaps have muhighertransaction costs aniniticash outlthbonmutufun. 2. Reason 2: Unlike bonmutufun, bonETFsctra scounts to their unrlying inxes, anthose scounts canpersist. 3. Reason 3: Bonmutufun ctrahroughout the y the net asset value of the unrlying bon.Whichof Trey’s reasons for choosing bonmutufun investment vehicle iscorrect? A.Reason 1 B.Reason 2 C.Reason 3 CorreAnswer: is correct. Although a significant sprebetween the market priof the unrlying fixeincome securities portfolio anETF’s Nshoulive authorizeparticipant to engage in arbitrage, many fixeincome securities are either thinly traor not traall. This situation might allow sua vergento persist. 老师好，ETF的premium或scount会出现，但是会persist这个表达还是有问题吧？并不会一直持续可被套利？

2024-07-18 21:21 1 · 回答

NO.PZ2018120301000020问题如下 Afterproving Trey with aion reinvestment, Serena offerehim aitionalinformation on alternative inreinvestment strategies using (1) bonmutualfun, (2) exchange-trafun (ETFs), an(3) totreturn swaps. Treyexpresses interest in using bonmutufun rather ththe other strategiesfor the following reasons.1. Reason 1: Totreturn swaps have muhighertransaction costs aniniticash outlthbonmutufun. 2. Reason 2: Unlike bonmutufun, bonETFsctra scounts to their unrlying inxes, anthose scounts canpersist. 3. Reason 3: Bonmutufun ctrahroughout the y the net asset value of the unrlying bon.Whichof Trey’s reasons for choosing bonmutufun investment vehicle iscorrect? A.Reason 1B.Reason 2C.Reason 3 CorreAnswer: is correct. Although a significant sprebetween the market priof the unrlying fixeincome securities portfolio anETF’s Nshoulive authorizeparticipant to engage in arbitrage, many fixeincome securities are either thinly traor not traall. This situation might allow sua vergento persist. 我想请问一下，针对第一个原因，swap的成本不是会高一些吗？因为尽管是OTC产品，但是有margin要求？还有，ETF NAV和二级市场的价差会一直持续吗？可以总套利？另外，想问一下这个题的考点对应讲义哪里呢？我都不记得哪里说哪些是日间交易，哪些是什么时候交易了。谢谢

2024-03-26 08:47 1 · 回答

NO.PZ2018120301000020 问题如下 Afterproving Trey with aion reinvestment, Serena offerehim aitionalinformation on alternative inreinvestment strategies using (1) bonmutualfun, (2) exchange-trafun (ETFs), an(3) totreturn swaps. Treyexpresses interest in using bonmutufun rather ththe other strategiesfor the following reasons.1. Reason 1: Totreturn swaps have muhighertransaction costs aniniticash outlthbonmutufun. 2. Reason 2: Unlike bonmutufun, bonETFsctra scounts to their unrlying inxes, anthose scounts canpersist. 3. Reason 3: Bonmutufun ctrahroughout the y the net asset value of the unrlying bon.Whichof Trey’s reasons for choosing bonmutufun investment vehicle iscorrect? A.Reason 1 B.Reason 2 C.Reason 3 CorreAnswer: is correct. Although a significant sprebetween the market priof the unrlying fixeincome securities portfolio anETF’s Nshoulive authorizeparticipant to engage in arbitrage, many fixeincome securities are either thinly traor not traall. This situation might allow sua vergento persist. C为何是错误的？

2023-07-06 17:25 1 · 回答

NO.PZ2018120301000020 问题如下 Afterproving Trey with aion reinvestment, Serena offerehim aitionalinformation on alternative inreinvestment strategies using (1) bonmutualfun, (2) exchange-trafun (ETFs), an(3) totreturn swaps. Treyexpresses interest in using bonmutufun rather ththe other strategiesfor the following reasons.1. Reason 1: Totreturn swaps have muhighertransaction costs aniniticash outlthbonmutufun. 2. Reason 2: Unlike bonmutufun, bonETFsctra scounts to their unrlying inxes, anthose scounts canpersist. 3. Reason 3: Bonmutufun ctrahroughout the y the net asset value of the unrlying bon.Whichof Trey’s reasons for choosing bonmutufun investment vehicle iscorrect? A.Reason 1 B.Reason 2 C.Reason 3 CorreAnswer: is correct. Although a significant sprebetween the market priof the unrlying fixeincome securities portfolio anETF’s Nshoulive authorizeparticipant to engage in arbitrage, many fixeincome securities are either thinly traor not traall. This situation might allow sua vergento persist. 老师可以分析一下A吗

2023-02-19 05:27 1 · 回答