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

yan · 2024年11月01日

划线部分能否解释一下,没理解

NO.PZ2024102501000008

问题如下:

Clive Staples is a consultant with the Leedsford Organization (“Leedsford”), a boutique investment consulting firm serving large endowments and private foun dations. Leedsford consults on tactical asset allocation (TAA) program develop ment and implementation, and on ongoing TAA idea generation.

Staples has just completed his quarterly client review of the Narnea Foundation (“the Foundation”). Based on the Foundation’s current asset allocation and Leeds ford’s updated fair value models, Staples believes an exploitable TAA opportunity exists in US large-cap growth stocks. He recommends a 2% overweight position to the US equities policy allocation through either an unlevered ETF or total return swap exposures to the Russell 1000 Growth Index.

Compare the efficiency of the ETF and total return swap TAA implementation alternatives from the perspectives of capital commitment, liquidity, and tracking error.


选项:

解释:

Capital Commitment:

From a cash “usage” perspective, a Russell 1000 Growth ETF would be less efficient (requiring a larger cash outlay) than a total return swap replicating the Russell 1000 Growth Index. The capital commitment of an unlevered ETF equals the full notional value. In contrast, a total return swap generates a similar economic exposure to ETFs with much lower capital. The cash-efficient nature of derivatives, such as total return swaps, makes them desirable tools for gaining incremental exposure to a particular asset class.

Liquidity:

From a liquidity perspective, a Russell 1000 Growth ETF would be more efficient than the total return swap. As exchange-traded standardized products, ETFs enjoy liquid trading and narrow bid–ask spreads. In contrast, total return swaps are over-the-counter contracts (not exchange traded) that are negotiated and customizable on such features as maturity, leverage, and cost.

Tracking Error:

From a tracking error perspective, ETFs would be less efficient than the total return swap. A Russell 1000 Growth ETF would have associated tracking error, which could result from premiums and discounts to net asset value, cash drag, or regulatory diversification require ments. In contrast, for total return swaps, the replication is exact. The Foundation would receive the total index return without incurring any tracking error to the benchmark index because the swap counterparty is obligated to provide the index return. This would, how ever, expose the Foundation to counterparty credit risk and introduce additional complexi ties in managing net exposure over the duration of the contract.


划线部分能否解释一下,没理解

1 个答案

Lucky_品职助教 · 2024年11月03日

嗨,努力学习的PZer你好:


同学你好:


The capital commitment of an unlevered ETF equals the full notional value.

对于无杠杆的 ETF 而言,其资本投入等于全部名义价值。比如说,如果 ETF 所追踪的资产规模名义上是 1000 万美元,那么投资者购买该 ETF 时就需要投入相当于 1000 万美元的资金。


From a tracking error perspective, ETFs would be less efficient than the total return swap. A Russell 1000 Growth ETF would have associated tracking error, which could result from premiums and discounts to net asset value, cash drag, or regulatory diversification require ments. 

从跟踪误差的角度分析,ETF 的表现相对不够高效。以罗素 1000 成长型 ETF 为例,它会存在相关的跟踪误差。这些跟踪误差可能是由多种因素导致的,比如其交易价格相对于净资产价值(net asset value)可能会出现溢价或折价的情况,或者存在现金拖累(cash drag)现象(例如持有现金储备而未能全部投入投资导致收益受影响),又或者是受到监管方面的多元化要求的影响。这些因素综合起来,使得 ETF 难以完全精准地追踪其对应的指数表现,从而产生一定的跟踪误差。



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

  • 1

    回答
  • 0

    关注
  • 11

    浏览
相关问题

NO.PZ2024102501000008 问题如下 Clive Staples is a consultant with the LeeforOrganization (“Leefor), a boutique investment consulting firm serving large enwments anprivate fountions. Leeforconsults on tacticasset allocation (TAprogrvelopment animplementation, anon ongoing Tia generation. Staples hjust completehis quarterly client review of the Narnea Fountion (“the Fountion”). Baseon the Fountion’s current asset allocation anLeefors uptefair value mols, Staples believes exploitable Topportunity exists in US large-cgrowth stocks. He recommen a 2% overweight position to the US equities poliallocation through either unlevereETF or totreturn swexposures to the Russell 1000 Growth Inx.Compare the efficienof the ETF antotreturn swTimplementation alternatives from the perspectives of capitcommitment, liquity, antracking error. CapitCommitment:From a cash “usage” perspective, a Russell 1000 Growth ETF woulless efficient (requiring a larger cash outlay) tha totreturn swreplicating the Russell 1000 Growth Inx. The capitcommitment of unlevereETF equals the full notionvalue. In contrast, a totreturn swgenerates a simileconomic exposure to ETFs with mulower capital. The cash-efficient nature of rivatives, sutotreturn swaps, makes them sirable tools for gaining incrementexposure to a particulasset class.Liquity:From a liquity perspective, a Russell 1000 Growth ETF woulmore efficient ththe totreturn swap. exchange-trastanrzeprocts, ETFs enjoy liquitrang annarrow biask sprea. In contrast, totreturn swaps are over-the-counter contracts (not exchange tra thare negotiateancustomizable on sufeatures maturity, leverage, ancost. Tracking Error: From a tracking error perspective, ETFs woulless efficient ththe totreturn swap. A Russell 1000 Growth ETF woulhave associatetracking error, whicoulresult from premiums anscounts to net asset value, cash ag, or regulatory versification requirements. In contrast, for totreturn swaps, the replication is exact. The Fountion woulreceive the totinx return without incurring any tracking error to the benchmark inx because the swcounterparty is obligateto provi the inx return. This woul however, expose the Fountion to counterparty cret risk anintroaitioncomplexities in managing net exposure over the ration of the contract. 老师,我看原版书课后题都是针对这个Case里面的知识点进行提问的,请问有没有对于Case中的知识点进行总结的讲义呢?而且老师上课视频中也讲了说这个Case没有那么重要,所以想问一下针对这个Case需要掌握哪些知识点?

2025-01-14 09:07 1 · 回答