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Kate · 2024年07月04日

c选项

NO.PZ2023010903000041

问题如下:

Regulas Funds: Invests in a combination of global equity securities from 5–10 different countries. Portfolio weights are adjusted to take advantage of companies that appear to have the best near-term growth prospects.

Clickman asks Leeter how Regulas Funds determines its equity selections. Leeter says that Regulas uses monthly data from non-traditional, but measurable, sources to determine the influence of customer and government attitudes toward a firm and its products. Leeter also notes that Regulas compares its performance relative to an equity benchmark customized to its strategy and that the factors tend to be more volatile than traditional market factors. He also states that the fund does tend to suffer in performance when exchange rates are volatile.

Using Exhibit 1 and the equity selection process of Regulas Funds, the strategy will most likely benefit from:

选项:

A.

a portfolio overlay

B.

a new benchmark

C.

using annual rebalancing

解释:

Regulas Funds will benefit from a portfolio overlay of derivative securities to eliminate exchange rate risk.

B is incorrect. Regulas uses a custom benchmark that is already appropriate for its strategy.

C is incorrect. Annual rebalancing is too infrequent given the volatile nature of the factors used by Regulas.

除了外汇风险以外,题目中第二句话也说这个策略本身是通过近期发展的预期来获利了,所以如果每年rebalance会让benchmark更精确从而更好地根据短期的发展预期来获得利润。


我理解这里需要对冲外汇风险,但是不知道为什么C不对?

1 个答案
已采纳答案

笛子_品职助教 · 2024年07月05日

嗨,努力学习的PZer你好:


我们看文中信息点:黑体部分

Clickman asks Leeter how Regulas Funds determines its equity selections. Leeter says that Regulas uses monthly data from non-traditional, but measurable, sources to determine the influence of customer and government attitudes toward a firm and its products. Leeter also notes that Regulas compares its performance relative to an equity benchmark customized to its strategy and that the factors tend to be more volatile than traditional market factors. He also states that the fund does tend to suffer in performance when exchange rates are volatile.


文中说,Regulas基金使用的是月度数据。

而且Regulas使用的因子变得更有波动,并且基金可能在高波动中受损。

从这两个信息点看,年度平衡的频率太低了。


我们看解析:

Annual rebalancing is too infrequent given the volatile nature of the factors used by Regulas.

意思是:考虑到Regulas使用的因素的波动性,年度再平衡(的频率)太低了。


根据本题信息点:使用monthly rebalancing,要比annual rebalancing更好。

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努力的时光都是限量版,加油!

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