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dognmnm · 2022年04月02日

债券指数benchmark的选择

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000028

问题如下：

The discussion turns to benchmark selection. DFC’s previous fixed-income manager used a custom benchmark with the following characteristics:

  • Characteristic 1: The benchmark portfolio invests only in investment-grade bonds of US corporations with a minimum issuance size of $250 million.
  • Characteristic 2: Valuation occurs on a weekly basis, because many of the bonds in the index are valued weekly.
  • Characteristic 3: Historical prices and portfolio turnover are available for review.
Which of the custom benchmark’s characteristics violates the requirements for an appropriate benchmark portfolio?

选项：

A.

Characteristics 1

B.

Characteristics 2

C.

Characteristics 3

解释：

Correct Answer: B

B is correct. The use of an index as a widely accepted benchmark requires clear, transparent rules for security inclusion and weighting, investability, daily valuation, availability of past returns, and turnover. Because the custom benchmark is valued weekly rather than daily, this characteristic would be inconsistent with an appropriate benchmark.

这题目的知识点是对应讲义哪里?

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1 个答案

pzqa015 · 2022年04月02日

嗨，爱思考的PZer你好：


这里是一个小知识点，同学单独记忆一下即可：

appropriate benchmark portfolio应该是daily valuation而不是weekly valuation。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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