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Shawnxz · 2024年07月18日

题目优点没读懂,可以解释一下吗?谢谢

NO.PZ2022122701000003

问题如下:

Morris meets Robin Barker, portfolio manager for North Circle Advisors’ small-cap value fund, the Pengwyn Fund, which just received a very large cash inflow. Barker expects equity markets will drift higher in the near-term and asks Morris about the best ways to minimize cash drag for the Pengwyn Fund after the inflow.

Describe an appropriate cash management strategy for Barker.

选项:

解释:

To minimize cash drag on a portfolio, or fund underperformance from holding uninvested cash in a rising market, Barker may use a strategy known as equitization. In this case, equitization refers to temporarily investing cash using futures or ETFs to gain the desired equity exposure before investing in the underlying securities longer term. Equitization may be required if large inflows into a portfolio are hindered by lack of liquidity in the underlying securities. So, if the Pengwyn Fund’s large inflow cannot be invested immediately, Barker can equitize the cash using equity futures or ETFs and then gradually trade into the underlying positions and trade out of the futures/ETF position.

题目优点没读懂,可以解释一下吗?谢谢

1 个答案
已采纳答案

吴昊_品职助教 · 2024年07月18日

嗨,努力学习的PZer你好:


cash drag是现金拖累,如果组合不持有现金,那么就没有cash drag。equitization就是把现金转化成股指期货。所以,equitization主要是为了解决cash drag这个问题。

当一个投资管理公司接收到新客户的资金时,他们可以通过使用衍生品进行现金等值化交易,以便迅速建立市场敞口并投资于客户指定的投资组合。这一策略可以确保新客户的资金在短期内有效地参与市场,从而优化投资回报。

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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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