NO.PZ2019012201000048
问题如下：
After determining
Winthrop’s objectives and constraints, the CAD147 million portfolio’s new
strategic policy is to target long-term market returns while being fully
invested at all times. Tong recommends quarterly rebalancing, currency hedging,
and a composite benchmark composed of equity and fixed-income indexes.
Currently the USD is worth CAD1.2930, and this exchange rate is expected to
remain stable during the next month. Exhibit 2 presents the strategic asset
allocation and benchmark weights.
In one month,
Winthrop will receive a performance bonus of USD5,750,000. He believes that the
US equity market is likely to increase during this timeframe. To take advantage
of Winthrop’s market outlook, he instructs Tong to immediately initiate an equity
transaction using the S&P 500 futures contract with a current price of
2,464.29 while respecting the policy weights in Exhibit 2. The S&P 500
futures contract multiplier is 250, and the S&P 500 E-mini multiplier is
50.
In
preparation for receipt of the performance bonus, Tong should immediately：
选项：
A.buy two US E-mini equity futures contracts
sell nine US E-mini equity futures contracts
buy seven US E-mini equity futures contracts
解释：
The amount of the
performance bonus that will be received in one month (USD5,750,000) needs to be
invested passively based upon the strategic allocation recommended by Tong.
Using the strategic allocation of the portfolio, 15% (USD862,500.00) should be
allocated to US equity exposure using the S&P 500 E-mini contract, which
trades in US dollars. Because the futures price is 2,464.29 and the S&P 500
E-mini multiplier is 50, the contract unit value is USD123,214.50 (2,464.29 ×
50).
The correct number
of futures contracts is (5,750,000.00 × 0.15)/123,214.50 = 7.00.
Therefore, Tong
will buy seven S&P 500 E-mini futures contracts.
助教你好：
这是equity M2 被动投资的题目，M2这章的核心话题就是被动投资型的基金经理要replicate index performance。
- 但我在这题里没觉得哪里像是被动投资，跟着benchmark portfolio里的权重去买，就算被动吗？
- 权益所有章节都很虚，导致我做权益的题目老是不知道自己看见的题干信息是否就是某某知识点，所以我想请你指出这道题，被动投资的被动体现在哪？
- 题干一开始给的美加汇率在本题没用到，但考试时会出现把权益和汇率的题目联系在一起的这种难度么？如果这题考虑到了汇率且用的是加拿大债券这一个asset class，那就要把美元换成家币performance bonus of USD5,750,000换成CAD，然后才能进行后续的计算，是么？
谢谢 😭
