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jaydengu · 2020年02月15日

问一道题:NO.PZ2019093001000015

问题如下:

A manager has a mandate to be fully invested with a benchmark that is a blend of large-cap stocks and investment-grade bonds. Which of the following is not an indication that style drift has occurred? The manager:

选项:

A.

initiates an allocation to small-cap stocks.

B.

decreases investments in investment-grade corporate bonds.

C.

increases allocation to cash in anticipation of a market decline.

解释:

B is correct.

In the normal course of business, the manager conforms to its style by reducing exposure to some class of investment grade bonds. Increasing allocation to cash and small-cap stocks is in violation of the mandate to be fully invested with equity exposure to large-cap stocks.

老师请问C为什么错了,理解在组合中增加(cash)即使这个benchmark是large cap和investment grade bond为特点,不影响style drift吧?

1 个答案

星星_品职助教 · 2020年02月15日

同学你好,

这道题题干的关键词是“ fully invested”,在这个背景下,如果在cash这里增加“allocation”是不行的,这里的Allocation就是专门把cash当做一种资产来配置了,而并不是为了保持流动性而留下一点cash的意思了

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