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daiwin18 · 2022年11月04日

关于tracking error

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000022

问题如下：

Molly notes that SD&R generally uses actively managed portfolios designed to earn a return in excess of the benchmark portfolio. For clients interested in passive exposure to ­fixed-income instruments, SD&R offers two additional approaches.

  • Approach 1: Seeks to fully replicate a small range of benchmarks consisting of government bonds.
  • Approach 2: Follows an enhanced indexing process for a subset of the bonds included in the Bloomberg Barclays US Aggregate Bond Index. Approach 2 may also be customized to reflect client preferences.
Relative to Approach 1 of gaining passive exposure, an advantage of Approach 2 is that it:

选项：

A.

minimizes tracking error.

B.

requires less risk analysis.

C.

is more appropriate for socially responsible investors.

解释：

Correct Answer: C

C is correct. Enhanced indexing is especially useful for investors who consider environmental, social, or other factors when selecting a fixed-income portfolio. Environmental, social, and corporate governance (ESG) investing, also called socially responsible investing, refers to the explicit inclusion or exclusion of some sectors, which is more appropriate for an enhanced index strategy relative to a full index replication strategy. In particular, Approach 2 may be customized to reflect client preferences.

在之前的一道问题里，有老师根据框架图第10页说pure indexing是difficult和costly，所以他的tracking error比enhanced的高

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2 个答案

pzqa015 · 2022年11月05日

嗨，努力学习的PZer你好：


是的

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

pzqa015 · 2022年11月05日

嗨，从没放弃的小努力你好：


第10页如下图

与enhanced indexing相比，pure indexing的确difficult and costly，但正因为它difficult and costly，所以它的tracking error更小。

pure indexing是完全复制benchmark，enhanced indexing是只match index的duration，可以理解为前者是用总体，后者是用样本，显然前者的tracking error是更小的。

图中target active return and active risk are both zero，也表明pure indexing几乎无tracking error；enhanced indexing modest outperformance意味着enhanced indexing可以接受有tracking error，它本身有主动管理的成分，只有收益比benchmark好就行。

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加油吧，让我们一起遇见更好的自己！

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NO.PZ2018120301000022 问题如下 Mollynotes thSR generally uses actively manageportfolios signeto earna return in excess of the benchmark portfolio. For clients interesteinpassive exposure to ­fixeincome instruments, SR offers two aitionalapproaches.Approa1: Seeks to fully replicate a small range of benchmarks consisting of government bon.Approa2: Follows enhanceinxing process for a subset of the bon incluin the Bloomberg Barclays US Aggregate BonInx. Approa2 malso customizeto refleclient preferences. Relativeto Approa1 of gaining passive exposure, aantage of Approa2 is thatit: A.minimizes tracking error. B.requires less risk analysis. C.is more appropriate for socially responsible investors. CorreAnswer: is correct. Enhanceinxing is especially useful for investors who consir environmental, social, or other factors when selecting a fixeincome portfolio. Environmental, social, ancorporate governan(ESG) investing, also callesocially responsible investing, refers to the explicit inclusion or exclusion of some sectors, whiis more appropriate for enhanceinx strategy relative to a full inx replication strategy. In particular, Approa2 mcustomizeto refleclient preferences. tracking error不是收到追踪的数量多少和成本低影响吗，pure inx 的成本高，那么对应的enhaninx应该是最小化tracking error，为什么不对呢

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