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jianghaiyang · 2020年07月08日

问一道题：NO.PZ201604030300005001

  1. CFA III
  2. Ethics

* 问题详情，请 查看题干

问题如下：

1. Does Ronoldo violate the CFA Institute Asset Manager Code of Professional Conduct with respect to his broader investment strategy?

选项：

A.

No.

B.

Yes, with respect to client disclosure only.

C.

Yes, with respect to reasonable and adequate basis only.

解释：

B is correct.

Ronoldo should have disclosed his change in investment strategy to clients, allowing them to move their accounts if not in agreement. Until he disclosed a planned change in strategy, he should have continued to manage in the manner for which clients had hired him.

enhanced index应该基金经理有一定自主权调整组合内部各类资产权重，追求阿尔法吧？那为什么他的做法还是有问题呢？必须要事先披露给客户才能调整吗？

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1 个答案

王暄_品职助教 · 2020年07月09日

嗨，从没放弃的小努力你好：


Ronoldo管理的基金是以mid-cap作为benchmark的基金，所以最早在为基金募集资金的时候，客户认为这个fund投资的是mid-cap stocks，所以才会买这只基金。尽管Ronaldo做了调查认为mid-cap将来表现不好，但是case中提到 “he adds micro-cap, foreign, and convertible preferred stocks and doubles some holdings so that their weights are much larger than they are in the benchmark index”。即使是enhanced index的方法，基金经理也是要follow对外宣称的mandate，但case中的这种描述明显就是指出现在的fund和benchmark偏差太大了，根本不符合之前的mandate。所以这种改变必须要事先披露给投资者（因为很可能有的投资者不想投小盘股或者外国股票），然后才能改变基金的风格。


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