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.
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.
The best way is to use derivatives like ETF and swaps to make cash equitized. The portfolio manager would invest in small-cap value ETF to generate approximate return of small-cap value stocks in order to minimize the cash drag.
