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nzou17 · 2025年05月06日

1.80% reflects the absence of investment income offset怎么理解

  1. CFA III
  2. 机构IPS

NO.PZ2024102501000004

问题如下：

In its quarterly policy and performance review, the investment team for the Per alandra University endowment identified a tactical allocation opportunity in in ternational developed equities. The team also decided to implement a passive 1% overweight (USD5 million notional value) position in the asset class. Implemen tation will occur by using either an MISC EAFE Index ETF in the cash market or the equivalent futures contract in the derivatives market.

The team determined that the unlevered cost of implementation is 27 bps in the cash market (ETF) and 32 bps in the derivatives market (futures). This modest cost differential prompted a comparison of costs on a levered basis to preserve liquidity for upcoming capital commitments in the fund’s alternative investment asset classes. For the related analysis, the team’s assumptions are as follows:

■ Investment policy compliant at three times leverage

■ Investment horizon of one year

■ Three-month MRR of 1.8%

■ ETF borrowing cost of three-month MRR plus 35 bps

Recommend the most cost-effective strategy. Justify your response with calcula tions of the total levered cost of each implementation option.

选项：

解释：

As the lower-cost alternative, the endowment’s investment team should imple ment the 1% overweight position using futures. T he additional cost of obtaining leverage for each option is as follows:

ETF: (USD5 million × 0.6667 × 2.15%)/USD5 million = 1.43% (or 143 bps) and

Futures: (USD5 million × 0.6667 × 1.80%)/USD5 million = 1.20% (or 120 bps),

where the inputs are derived as follows:

0.6667 reflects the three times leverage factor (66.67% borrowed and 33.33% cash usage),

2.15% reflects the ETF borrowing rate (three-month MRR of 1.80% + 35 bps), and

1.80% reflects the absence of investment income offset (at three-month MRR) versus the unlevered cost of futures implementation.

The total levered cost of each option is the sum of the unlevered cost plus the additional cost of obtaining leverage:

ETF: 27 bps + 143 bps = 170 bps and

Futures: 32 bps + 120 bps = 152 bps.

This 18 bps cost advantage would make futures the appropriate choice for the endowment’s investment team.

老师您好，答案中有一段说

2.15% reflects the ETF borrowing rate (three-month MRR of 1.80% + 35 bps), and

【1.80% reflects the absence of investment income offset (at three-month MRR) versus the unlevered cost of futures implementation.】请问是什么意思呢？谢谢

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1 个答案

Lucky_品职助教 · 2025年05月07日

嗨，努力学习的PZer你好：


这句话是在解释计算期货交易杠杆成本时，1.80% 这个数据的含义。

在期货交易中，存在一个与 3 个月伦敦银行同业拆借利率（MRR）相关的投资收益抵消情况。在计算期货杠杆成本时，要考虑这个因素。与期货实施的无杠杆成本相比，1.80% 代表了这种投资收益抵消的缺失情况。

当计算期货的杠杆成本时，1.80% 反映了在期货交易场景下，没有像在其他投资中那样，有按照 3 个月 MRR 计算的投资收益来抵消成本这一情况。这意味着，在期货杠杆成本计算中，没有因投资收益而降低成本的因素，所以直接使用 3 个月 MRR 1.80% 来计算相关成本。

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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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