daily valuation

NO.PZ201812020100000408 问题如下 Which of the custom benchmark’s characteristiviolates the requirements for an appropriate benchmark portfolio? Characteristic 1 Characteristic 2 Characteristic 3 Bis correct. The use of inx a wily acceptebenchmark requires clear,transparent rules for security inclusion anweighting, investability, ilyvaluation, availability of past returns, anturnover. Because the custombenchmark is valueweekly rather thily, this characteristic woulbeinconsistent with appropriate benchmark. 如题

NO.PZ201812020100000408问题如下 Which of the custom benchmark’s characteristiviolates the requirements for an appropriate benchmark portfolio?Characteristic 1Characteristic 2Characteristic 3 Bis correct. The use of inx a wily acceptebenchmark requires clear,transparent rules for security inclusion anweighting, investability, ilyvaluation, availability of past returns, anturnover. Because the custombenchmark is valueweekly rather thily, this characteristic woulbeinconsistent with appropriate benchmark. 原来的投资既包括公司债也包括政府债,但benchmark里只包括了公司债

NO.PZ201812020100000408问题如下 SRCapit(SR), a globasset management company, specializes in ­fixeincomeinvestments. Molly, chief investment officer, is meeting with a prospectiveclient, Leof Puy FinanciCompany (C). Leahinforms Molly thC’s previous ­fixeincome manager focuseon the interestrate sensitivities of assets anliabilities when making asset allocationcisions. Molly explains that, in contrast, SR’s investment process ­firstanalyzes the size antiming of client liabilities, anthen it buil assetportfolio baseon the interest rate sensitivity of those liabilities. Mollynotes thSR generally uses actively manageportfolios signeto earna return in excess of the benchmark portfolio. For clients interesteinpassive exposure to ­fixeincome instruments, SR offers two aitionalapproaches.Approa1: Seeks to fully replicate a small range of benchmarks consisting of government bon.Approa2: Follows enhanceinxing process for a subset of the bon incluin the Bloomberg Barclays US Aggregate BonInx. Approa2 malso customizeto refleclient preferences.Toillustrate SR’s immunization approafor controlling portfolio interestrate risk, Molly scusses a hypotheticportfolio composeof two non-callable,investment-gra bon. The portfolio ha weighteaverage yiel to-maturityof 9.55%, a weighteaverage coupon rate of 10.25%, ana cash flow yielof9.85%.Leahinforms Molly thC ha single $500 million liability e in nineyears, anshe wants SR to construa bonportfolio thearns a rateof return sufficient to poff the obligation. Leexpresses concern aboutthe risks associatewith immunization strategy for this obligation. Inresponse, Molly makes the following statements about liability-iveninvesting:Statement 1: Although the amount ante of SR’s liability is known with certainty, measurement errors associatewith key parameters relative to interest rate changes maersely affethe bonportfolios.Statement 2: A cash flow matching strategy will mitigate the risk from non-parallel shifts in the yielcurve.Mollyprovis the four US llar–nominatebonportfolios in Exhibit 1 forconsiration. Molly explains ththe portfolios consist of non-callable,investment-gra corporate angovernment bon of various maturities becausezero-coupon bon are unavailable.The scussion turns to benchmarkselection. C’s previous fixeincome manager usea custom benchmark with thefollowing characteristics:Characteristic 1: The benchmark portfolio invests only in investment-gra bon of US corporations with a minimum issuansize of $250 million.Characteristic 2: Valuation occurs on a weekly basis, because many of the bon in the inx are valueweekly.Characteristic 3: Historicprices anportfolio turnover are available for review.Mollyexplains that, in orr to evaluate the asset allocation process, fixeincomeportfolios shoulhave appropriate benchmark. Leasks for benchmark aiceregarng C’s portfolio of short-term anintermeate-term bon, allnominatein US llars. Molly presents three possible benchmarks inExhibit 2. Which of the custom benchmark’s characteristiviolates the requirements for an appropriate benchmark portfolio?Characteristic 1Characteristic 2Characteristic 3 Bis correct. The use of inx a wily acceptebenchmark requires clear,transparent rules for security inclusion anweighting, investability, ilyvaluation, availability of past returns, anturnover. Because the custombenchmark is valueweekly rather thily, this characteristic woulbeinconsistent with appropriate benchmark. 是对于所有的benchmark 还是只针对fixeincome的，在equity中好像并没有提到这个要求，只是说measurment

NO.PZ201812020100000408 问题如下 Which of the custom benchmark’s characteristiviolates the requirements for an appropriate benchmark portfolio? Characteristic 1 Characteristic 2 Characteristic 3 Bis correct. The use of inx a wily acceptebenchmark requires clear,transparent rules for security inclusion anweighting, investability, ilyvaluation, availability of past returns, anturnover. Because the custombenchmark is valueweekly rather thily, this characteristic woulbeinconsistent with appropriate benchmark. 如题

NO.PZ201812020100000408 问题如下 SRCapit(SR), a globasset management company, specializes in ­fixeincomeinvestments. Molly, chief investment officer, is meeting with a prospectiveclient, Leof Puy FinanciCompany (C). Leahinforms Molly thC’s previous ­fixeincome manager focuseon the interestrate sensitivities of assets anliabilities when making asset allocationcisions. Molly explains that, in contrast, SR’s investment process ­firstanalyzes the size antiming of client liabilities, anthen it buil assetportfolio baseon the interest rate sensitivity of those liabilities. Mollynotes thSR generally uses actively manageportfolios signeto earna return in excess of the benchmark portfolio. For clients interesteinpassive exposure to ­fixeincome instruments, SR offers two aitionalapproaches.Approa1: Seeks to fully replicate a small range of benchmarks consisting of government bon.Approa2: Follows enhanceinxing process for a subset of the bon incluin the Bloomberg Barclays US Aggregate BonInx. Approa2 malso customizeto refleclient preferences.Toillustrate SR’s immunization approafor controlling portfolio interestrate risk, Molly scusses a hypotheticportfolio composeof two non-callable,investment-gra bon. The portfolio ha weighteaverage yiel to-maturityof 9.55%, a weighteaverage coupon rate of 10.25%, ana cash flow yielof9.85%.Leahinforms Molly thC ha single $500 million liability e in nineyears, anshe wants SR to construa bonportfolio thearns a rateof return sufficient to poff the obligation. Leexpresses concern aboutthe risks associatewith immunization strategy for this obligation. Inresponse, Molly makes the following statements about liability-iveninvesting:Statement 1: Although the amount ante of SR’s liability is known with certainty, measurement errors associatewith key parameters relative to interest rate changes maersely affethe bonportfolios.Statement 2: A cash flow matching strategy will mitigate the risk from non-parallel shifts in the yielcurve.Mollyprovis the four US llar–nominatebonportfolios in Exhibit 1 forconsiration. Molly explains ththe portfolios consist of non-callable,investment-gra corporate angovernment bon of various maturities becausezero-coupon bon are unavailable.The scussion turns to benchmarkselection. C’s previous fixeincome manager usea custom benchmark with thefollowing characteristics:Characteristic 1: The benchmark portfolio invests only in investment-gra bon of US corporations with a minimum issuansize of $250 million.Characteristic 2: Valuation occurs on a weekly basis, because many of the bon in the inx are valueweekly.Characteristic 3: Historicprices anportfolio turnover are available for review.Mollyexplains that, in orr to evaluate the asset allocation process, fixeincomeportfolios shoulhave appropriate benchmark. Leasks for benchmark aiceregarng C’s portfolio of short-term anintermeate-term bon, allnominatein US llars. Molly presents three possible benchmarks inExhibit 2. Which of the custom benchmark’s characteristiviolates the requirements for an appropriate benchmark portfolio? Characteristic 1 Characteristic 2 Characteristic 3 Bis correct. The use of inx a wily acceptebenchmark requires clear,transparent rules for security inclusion anweighting, investability, ilyvaluation, availability of past returns, anturnover. Because the custombenchmark is valueweekly rather thily, this characteristic woulbeinconsistent with appropriate benchmark. 知道特点2是错的，但特点1和特点3为什么是对的？