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Uyis · 2021年10月14日

receive performance bonus和他投futures 有啥必然联系吗?

NO.PZ2019012201000048

问题如下:

After determining Winthrop’s objectives and constraints, the CAD147 million portfolio’s new strategic policy is to target long-term market returns while being fully invested at all times. Tong recommends quarterly rebalancing, currency hedging, and a composite benchmark composed of equity and fixed-income indexes. Currently the USD is worth CAD1.2930, and this exchange rate is expected to remain stable during the next month. Exhibit 2 presents the strategic asset allocation and benchmark weights.

In one month, Winthrop will receive a performance bonus of USD5,750,000. He believes that the US equity market is likely to increase during this timeframe. To take advantage of Winthrop’s market outlook, he instructs Tong to immediately initiate an equity transaction using the S&P 500 futures contract with a current price of 2,464.29 while respecting the policy weights in Exhibit 2. The S&P 500 futures contract multiplier is 250, and the S&P 500 E-mini multiplier is 50.

In preparation for receipt of the performance bonus, Tong should immediately:

选项:

A.

buy two US E-mini equity futures contracts

B.

sell nine US E-mini equity futures contracts

C.

buy seven US E-mini equity futures contracts

解释:

The amount of the performance bonus that will be received in one month (USD5,750,000) needs to be invested passively based upon the strategic allocation recommended by Tong. Using the strategic allocation of the portfolio, 15% (USD862,500.00) should be allocated to US equity exposure using the S&P 500 E-mini contract, which trades in US dollars. Because the futures price is 2,464.29 and the S&P 500 E-mini multiplier is 50, the contract unit value is USD123,214.50 (2,464.29 × 50).

The correct number of futures contracts is (5,750,000.00 × 0.15)/123,214.50 = 7.00.

Therefore, Tong will buy seven S&P 500 E-mini futures contracts.

这个题目在计算的逻辑上没有什么问题,就是在审题的时候没搞明白,这个人一个月后receive performance bonus和他投futures 有啥必然联系吗?他认为us equity会上涨,为什么要用将要收到的bonus作为除数来计算呢?

2 个答案

笛子_品职助教 · 2021年10月15日

嗨,努力学习的PZer你好:


在这个考点里,期货是用来对冲风险的,而不是用来赚取收益的,其实在CFA的考试里,衍生品大部分是用来对冲风险,不是投机交易赚取收益的。

同理,这里的买Future并不是为了赚取收益,而是为了对冲风险。


所以首先要分析出,目前,这个投资者,他面临什么风险。在本题里,投资者一个月后才收到钱,并且怕股票上涨(严格来说是担心标普500指数上涨),也就是说,投资者面临着,踏空股票上涨的风险。那么如果对冲这个风险呢,通过买Future来对冲。如果股票涨了,他买的future也涨了,他弥补了股票上涨的风险。

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加油吧,让我们一起遇见更好的自己!

笛子_品职助教 · 2021年10月14日

嗨,努力学习的PZer你好:


有联系,这里是要判断买还是卖的。因为钱是一个月后才收到,1个月内如果股票涨了,投资者会踏空这段行情,该赚的钱没赚到也是风险,所以需要买期货来对冲。

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努力的时光都是限量版,加油!

Uyis · 2021年10月15日

老师好,可能是我提问没说清楚,我明白是要买期货。我没搞明白的是,不管有没有这笔performance bonus,他都应该去买期货赚取这部分收益呀?

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