Reading 74: Investing in Commodities Losc习题精选 following, describes, investment, 2010

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LOS c: Explain why a commodity index strategy is generally considered an active investment.

Which of the following most accurately describes a reason why a commodity index strategy should be considered an active strategy?

A) High turnover of contracts held.

B) Managers choose benchmark index.

C) Index rebalancing due to changing inflation.

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Commodity index strategies require managers to frequently adjust their positions due to the need to roll over expiring commodity contracts, reweight components due to index rebalancing, and roll over collateral debt securities. Managers who correctly time these activities can add additional return.

honeycfa

Which of the following activities by a manager using a commodity index strategy is most likely to be classified as active management?

A) By policy, always rolling expiring 180-day T-Bills posted as collateral into new 180-day T-Bills.

B) Duplicating the component rebalancing scheduling of the benchmark.

C) Rolling futures contracts over two days before the benchmark’s rollover date.

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Rolling over futures contracts prior to the index rolling them over would be an example of active management. Managers who roll over contracts early attempt to enhance returns by avoiding the higher rolling costs present when attempting to roll over at the same time as the benchmark. Duplicating the rebalancing schedule of the benchmark and using a fixed rule to roll over posted collateral do not represent value-adding activities by the manager.