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This is from an item set I was just working on. I can't post it (copyrighted material) but I think this is an errata so I wanted to just put up the data and see what you think.
This portfolio manager is going to rebalance. The original allocation:
40% in large-cap stocks.
10% in small-cap stocks.
10% in foreign stocks.
10% in a long-short equity hedge fund.
20% in long-term corporate bonds.
10% in short-term bonds.
The day the portfolio manager decides to rebalance, the portfolio allocations are:
Large-cap stocks 35%
Small-cap stocks 10%
Foreign stocks 6%
Hedge fund 13%
Long-term bonds 6%
Short-term bonds 10%
Cash 20%
Question says the manager sells large cap to buy foreign stock and long term bonds.
What rebalancing strategy is this?
The answer goes on to say that this manager is following constant mix because he is selling winners to buy losers. But large cap allocation went down from 40 to 35- so this is not a winner, and this is obviously errata, right? It's not listed in the errata, so it's just annoying me that I could be missing something. Ugh. |
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发表于 2011-7-11 20:11
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