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粉红豹 · 2020年01月08日

问一道题:NO.PZ201812020100000408

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问题如下:

Which of the custom benchmark’s characteristics violates the requirements for an appropriate benchmark portfolio?

选项:

A.

Characteristic 1

B.

Characteristic 2

C.

Characteristic 3

解释:

B is correct.

The use of an index as a widely accepted benchmark requires clear, transparent rules for security inclusion and weighting, investability, daily valuation, availability of past returns, and turnover. Because the custom benchmark is valued weekly rather than daily, this characteristic would be inconsistent with an appropriate benchmark.

老师好,这个A选项框定了benchmark的投资范围,这样的benchmark适合吗?

1 个答案

发亮_品职助教 · 2020年01月09日

嗨,努力学习的PZer你好:


没问题。Benchmark框定的范围只要和我们实际投资的范围相符合就行。

如果基金本身就只投资Investment-grade美国公司债,那选的Benchmark也应该是跟踪Investment-grade美国公司债。

大家在同一个池子里投资,用这样的Benchmark衡量自己Portfolio的相对业绩才更加精确。当然完全可以把Benchmark的要求放的更宽一些,不过衡量业绩肯定会相对粗糙。

关于固收Benchmark的选择只要满足: clear, transparent rules、investability、daily valuation and availability of past returns, and turnover即可。

In general, the use of an index as a widely accepted benchmark requires clear, transparent rules for security inclusion and weighting, investability, daily valuation and availability of past returns, and turnover.
 


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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!


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