开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

金融民工阿聪 · 2022年07月25日

关于full replication

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000034

问题如下：

The city also manages a separate, smaller bond portfolio for the Radford School District. During the next fi­ve years, the school district has obligations for school expansions and renovations. The funds needed for those obligations are invested in the Bloomberg Barclays US Aggregate Index. Doug asks Hui which portfolio management strategy would be most efficient in mimicking this index.

Hui’s response to Doug’s question about the most efficient portfolio management strategy should be:

选项：

A.

full replication.

B.

active management.

C.

an enhanced indexing strategy.

解释：

Correct Answer: C

C is correct. Under an enhanced indexing strategy, the index is replicated with fewer than the full set of index constituents but still matches the original index’s primary risk factors. This strategy replicates the index performance under different market scenarios more efficiently than the full replication of a pure indexing approach.

一般什么情况下，使用full replication会更好？ 这样看的话，被动管理full replication完全被enhanced 给吊打了

添加评论
1 个答案
已采纳答案

pzqa015 · 2022年07月25日

嗨，爱思考的PZer你好：


这要看基金经理或者客户的选择，如果客户要求完全Match 某只benchmark，那就要fully replication.

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

  • 1

    回答

  • 1

    关注

  • 642

    浏览
相关问题

NO.PZ2018120301000034问题如下 Thecity also manages a separate, smaller bonportfolio for the RaorSchoolstrict. ring the next fi­ve years, the school strihobligations forschool expansions anrenovations. The fun neefor those obligations areinvestein the Bloomberg Barclays US Aggregate Inx. ug asks Hui whichportfolio management strategy woulmost efficient in mimicking this inx. Hui’s response to ug’s question about the most efficient portfolio management strategy shoulbe: A.full replication.B.active management.C.enhanceinxing strategy. CorreAnswer: CCis correct. Unr enhanceinxing strategy, the inx is replicatewithfewer ththe full set of inx constituents but still matches the originalinx’s primary risk factors. This strategy replicates the inx performanceunr fferent market scenarios more efficiently ththe full replication ofa pure inxing approach. 如果有optim是不是选最优化

2024-08-12 12:56 1 · 回答

NO.PZ2018120301000034 问题如下 Thecity also manages a separate, smaller bonportfolio for the RaorSchoolstrict. ring the next fi­ve years, the school strihobligations forschool expansions anrenovations. The fun neefor those obligations areinvestein the Bloomberg Barclays US Aggregate Inx. ug asks Hui whichportfolio management strategy woulmost efficient in mimicking this inx. Hui’s response to ug’s question about the most efficient portfolio management strategy shoulbe: A.full replication. B.active management. C.enhanceinxing strategy. CorreAnswer: CCis correct. Unr enhanceinxing strategy, the inx is replicatewithfewer ththe full set of inx constituents but still matches the originalinx’s primary risk factors. This strategy replicates the inx performanceunr fferent market scenarios more efficiently ththe full replication ofa pure inxing approach. 怎么判断出来这里的most efficient指的就是cost 有效呢，如果我看效果的话的，肯定是full implication的tracking error最小呢？整个题目里都没有提到要从cost的角度来考虑是否有效。

2024-04-26 08:13 1 · 回答

NO.PZ2018120301000034 active management. enhanceinxing strategy. CorreAnswer: C Cis correct. Unr enhanceinxing strategy, the inx is replicatewithfewer ththe full set of inx constituents but still matches the originalinx’s primary risk factors. This strategy replicates the inx performanceunr fferent market scenarios more efficiently ththe full replication ofa pure inxing approach. full replication不是最efficient 吗？

2022-06-25 15:25 1 · 回答

NO.PZ2018120301000034问题如下 Thecity also manages a separate, smaller bonportfolio for the RaorSchoolstrict. ring the next fi­ve years, the school strihobligations forschool expansions anrenovations. The fun neefor those obligations areinvestein the Bloomberg Barclays US Aggregate Inx. ug asks Hui whichportfolio management strategy woulmost efficient in mimicking this inx. Hui’s response to ug’s question about the most efficient portfolio management strategy shoulbe: A.full replication. B.active management. C.enhanceinxing strategy. CorreAnswer: CCis correct. Unr enhanceinxing strategy, the inx is replicatewithfewer ththe full set of inx constituents but still matches the originalinx’s primary risk factors. This strategy replicates the inx performanceunr fferent market scenarios more efficiently ththe full replication ofa pure inxing approach. most efficient in mimicking this inx 怎么理解？这个portfolio本来数据就少，不是应该为了最小化tracking error 选择pure inxing的方法嘛？

2022-04-13 15:14 1 · 回答