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高洁 · 2021年11月12日

CFA三级权益官网练习题Q9(equity1)

想问下老师currency over lay 在衍生品那一章节是用来外包然后产生超额收益的 为什么在权益这就变成了对冲风险的?外包到底是为了追求高收益还是为了对冲风险? Q. Which of Parker’s statements about Manager B in Exhibit 1 is most appropriate? The statement about: tracking errors. excess return. currency overlays. Solution B is correct. The comment about excess return being luck rather than skill is correct. Replication managers attempt to create a portfolio that tracks the performance and the volatility of the underlying index as closely as possible. The proper measure of skill is the tracking error: Manager B has the highest tracking error among the three managers. A is incorrect because tracking error does not measure volatility of the portfolio; rather, it measures the volatility of the excess return between the index and the portfolio. C is incorrect because a currency overlay assists a portfolio manager in hedging (not levering) the returns of securities that are held in foreign currency back to the home country’s currency. Passive Equity Investing Learning Outcome Discuss potential causes of tracking error and methods to control tracking error for passively managed equity portfolios
1 个答案

伯恩_品职助教 · 2021年11月12日

嗨,爱思考的PZer你好:


同学你好,你记得对的,衍生那里外包是为了收益,固收是为了对冲风险。分开记忆!作者规定的什么就是什么。我们只能去被动记忆。另外考试是不会混着学科考的,所以衍生考到这的时候大胆写是为了收益。

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