标题: CPPI or constant mix? [打印本页] 作者: bchadwick 时间: 2011-7-11 20:11 标题: CPPI or constant mix?
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.作者: mik82 时间: 2011-7-11 20:11
remove cash from second allocation, devide everything by 80 %, this could be explanation...作者: mar350 时间: 2011-7-11 20:11
the ALLOCATION went down from 40-35 which is consistent with selling winners if the return of the large cap was larger relative to the return of the other asset classes.作者: skycfa 时间: 2011-7-11 20:11
i was just looking at this and said if cash weren't in this second part, i'd agree with the constant mix sell large caps to buy foreign and LT bonds. does the problem anywhere say that cash was going to be withdrawn or don't consider it and rebal without that as a %?
if yes, i'd agree constant mix.作者: canadiananalyst 时间: 2011-7-11 20:11
Answer does not mention cash anywhere:
In a convex strategy, the manager buys stocks when they go up and sells them when they go down. Hass is using a concave strategy, selling winners to buy back into losing positions. However, we can tell that Hass is using a tolerance band of more than 3%. Because he buys into positions down 4% from the target, his tolerance band is no less than 4%. But because he did not sell the hedge fund, we can assume his tolerance band is more than 3%, because the hedge fund is up to 3% above the target allocation.
