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Stella · 2020年09月11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.

请问B选项为什么减少了investment bond的投资不算风格发生变化了呢?

1 个答案

吴昊_品职助教 · 2020年09月11日

同学你好:

只要是偏离到现在投资领域范围之外,都算是style drift。但是B选项只是说减少了investment bond的投资,那就有可能增加了large-cap stocks的投资,这样一来就只是在现在投资领域内发生了权重的变化,所以选项B不能证明一定发生了style drift。

这道题是原版书课后题,可以去听一下李老师对于这道题的讲解。

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