问一道题：NO.PZ201805280100000103

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问题如下：

3. Based on Exhibits 1 and 2, to attempt to profit from the short- term excess return forecast, Capara should increase KUE’s portfolio allocation to:

选项：

developed markets equity and decrease its allocation to infrastructure.

emerging markets equity and decrease its allocation to investment- grade bonds.

developed markets equity and increase its allocation to private real estate equity.

解释：

A is correct.

The forecast for expected excess returns is positive for developed markets equity and negative for infrastructure. Therefore, to attempt to profit from the short- term excess return forecast, KUE can overweight developed markets equity and underweight infrastructure. These adjustments to the asset-class weights are within KUE’s lower and upper policy limits.

为什么不是increase emerging market equity, decrease bond呢？这样不是更有效吗

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1 个答案

Shimin_CPA税法主讲、CFA教研 · 2019年11月21日

嗨，爱思考的PZer你好：

表1 ：investment- grade bonds 目前的权重为15%, lower policy limit也是15%，所以已经踩了下限。不能再减权重了。

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努力的时光都是限量版，加油！

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NO.PZ201805280100000103 问题如下 3. Baseon Exhibits 1 an2, to attempt to profit from the short- term excess return forecast, Capara shoulincrease KUE’s portfolio allocation to: A.velopemarkets equity ancrease its allocation to infrastructure. B.emerging markets equity ancrease its allocation to investment- gra bon. C.velopemarkets equity anincrease its allocation to private reestate equity. A is correct. The forecast for expecteexcess returns is positive for velopemarkets equity annegative for infrastructure. Therefore, to attempt to profit from the short- term excess return forecast, KUE coverweight velopemarkets equity anunrweight infrastructure. These austments to the asset-class weights are within KUE’s lower anupper polilimits.考点short term shifts in asset allocation 解析为了获得短期超额回报，应该增加excess return 0的资产权重，减少excess return 0的资产权重，表2中列举了各类资产的expecteexcess return。除此之外，还应该满足表1中各类权重变化的范围不超过upper anlower limit。根据排除法，正确这题出的不好吧infrastructure这个资产在这指的是指数类的，不然这个资产流动性这么差，那么小的收益率变动还抵不过交易成本呢。这种资产应该避免short term的trang

2022-11-02 13:58 1 · 回答

第三小题，如果不考虑upperlimit 限制，能不能同时增加两个subset的权重？

2020-02-28 21:39 1 · 回答

为什么B不行？

2019-12-22 20:46 1 · 回答

请问一下，为什么B不对？谢谢！

2018-12-06 06:56 1 · 回答

问一道题：NO.PZ201805280100000103

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