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Zunniyaki · 2021年09月12日

Portfolio Overlay到底是什么意思?

NO.PZ2019012201000056

问题如下:

Regulas Funds: Invests in a combination of global equity securities from 5–10 different countries. Portfolio weights are adjusted to take advantage of companies that appear to have the best near-term growth prospects.

Clickman asks Leeter how Regulas Funds determines its equity selections. Leeter says that Regulas uses monthly data from non-traditional, but measurable, sources to determine the influence of customer and government attitudes toward a firm and its products. Leeter also notes that Regulas compares its performance relative to an equity benchmark customized to its strategy and that the factors tend to be more volatile than traditional market factors. He also states that the fund does tend to suffer in performance when exchange rates are volatile.


Using Exhibit 1 and the equity selection process of Regulas Funds, the strategy will most likely benefit from:


选项:

A.

a portfolio overlay

B.

a new benchmark

C.

using annual rebalancing

解释:

Regulas Funds will benefit from a portfolio overlay of derivative securities to eliminate exchange rate risk.

B is incorrect. Regulas uses a custom benchmark that is already appropriate for its strategy.

C is incorrect. Annual rebalancing is too infrequent given the volatile nature of the factors used by Regulas.

老师,您好!我有几个问题想请教


  1. 原版书中的这段话能否翻译下?也就是Portfolio Overlay到底是什么意思? 2. 结合这道题,Portfolio overlay这个方法如何让R基金获益了?3. 既然题目中提到了汇率波动性,而且回答也说了currency overlay并不属于portfolio overlay,那么为什么不是currency overlay呢?



1 个答案

伯恩_品职助教 · 2021年09月14日

嗨,从没放弃的小努力你好:


原版书中的这段话能否翻译下?也就是Portfolio Overlay到底是什么意思?——portfolio overlay是用来叠加是与证券投资组合分开管理的一系列衍生品头寸,以实现投资组合经理所需的整体投资组合特征。简单的是说:使用衍生产品对冲风险或调整组合风险敞口从而获得收益的一种策略。

2. 结合这道题,Portfolio overlay这个方法如何让R基金获益了?——题干说外汇波动会影响fund的收益,所以用portfolio overlay对冲掉了波动,就收益了。

3. 既然题目中提到了汇率波动性,而且回答也说了currency overlay并不属于portfolio overlay,那么为什么不是currency overlay呢?——最主要是选项没有。既然只有portfolio overlay 那这个就是最合适的了


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