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Esther🏵🎠🗝招财🐱 · 2022年11月05日

分层抽样

  1. 老师,请问到底如何理解A stratified sampling approach,不是说这是最有效的方法,为什么在文中不推荐这个index?
  2. 这是协会online practice 51题


Ruelas also tells Maestre that he has considered moving to a passively managed bond portfolio. He is not convinced it is worth his or his staff’s time and effort to try to beat the broad market bond index. He is concerned, however, that it may be no less expensive either in time or transaction costs to replicate an index than to actively manage a portfolio. Maestre recommends a bond-indexing strategy.

What bond indexing strategy would Maestre least likely recommend?

  1. A stratified sampling approach
  2. An index mutual fund
  3. A synthetic strategy using a total return swap


Given that bonds typically trade in large blocks (in excess of USD1 million), attempting to build a bond index fund, even with a stratified sampling approach, would be difficult given the small size of the portfolio. Although mutual funds require payment of expenses, index funds benefit from economies of scale that are passed on to investors. A synthetic approach using a total return swap and holding cash would work. Although it would require finding a counterparty for a relatively small swap, conducting due diligence to control counterparty risk, and dealing with occasional rollover risk, it would still have lower costs than building the portfolio directly.

1 个答案

pzqa015 · 2022年11月06日

嗨,爱思考的PZer你好:


我们先来理解一下这道题:


题目说,R同学对M同学说,他考虑换一种passively管理的方法,他不相信花费时间和努力去战胜广义市场指数(benchmark)是可能的。根据这句话,就可以确定,R同学建议的是passively 管理的方法。

来看选项,A选项,其实可以理解为是enhanced index方法,它含有主动管理的成分,虽然上课老师讲,它是有效的,但是这道题前面给了背景,R同学不认为主动管理是好的,要推荐被动管理的方法,所以,显然A选项不是R同学要推荐的。我们做题要根据题目给的信息来判断,不要想当然。

B与C都是被动match指数的方法。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

Esther🏵🎠🗝招财🐱 · 2022年11月07日

谢谢老师的解答,我是看完reading11做的这道题,后来发现其实在r12里有更加详细的讲解,您的分析十分到位,谢谢

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