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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

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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.

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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