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caijing · 2024年05月21日

老师你好，c选项能解释下吗？

  1. CFA III
  2. Trading&Performance

NO.PZ2019093001000015

问题如下：

A manager has a mandate to be fully invested with a benchmark that is a blend of large-cap stocks and investment-grade bonds. Which of the following is not an indication that style drift has occurred? The manager:

选项：

A.

initiates an allocation to small-cap stocks.

B.

decreases investments in investment-grade corporate bonds.

C.

increases allocation to cash in anticipation of a market decline.

解释：

B is correct.

In the normal course of business, the manager conforms to its style by reducing exposure to some class of investment grade bonds. Increasing allocation to cash and small-cap stocks is in violation of the mandate to be fully invested with equity exposure to large-cap stocks.

老师你好，c选项能解释下吗？

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吴昊_品职助教 · 2024年05月21日

嗨，从没放弃的小努力你好：


只要是偏离到现在投资领域范围之外，都算是style drift。

选项B只是减少了investment-grade corporate bond的投资，那就有可能增加了large-cap stocks的投资，这样一来就只是在现有投资领域内发生了权重的变化，并不能证明一定发生了style drift，故而选项B正确。

选项C不正确，主要是因为题干中有“fully invested”这个关键词。现在把所有的资产都投资于large-cap stocks and investment-grade bonds，并不持有现金。因此，选项C增加现金资产的配置就偏离了现有的投资领域范围，算作style drift。故而，选项C不正确。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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