NO.PZ202209060200004302
问题如下:
How should Moynahan most likely label the management approaches for each of the portfolios described in Exhibit 1 on page 2 of his presentation?选项:
A.Portfolio 1 = Active Management, Portfolio 2 = Pure Indexing, Portfolio 3 = Enhanced Indexing B.Portfolio 1 = Enhanced Indexing, Portfolio 2 = Pure Indexing, Portfolio 3 = Active Management C.Portfolio 1 = Active Management, Portfolio 2 = Enhanced Indexing, Portfolio 3 = Pure Indexing解释:
SolutionA is correct. Moynahan should label the portfolios on page 2 as follows: Portfolio 1 = Active Management, which allows for larger risk factor mismatch to the benchmark. Portfolio 2 = Pure Indexing, which involves attempting to replicate a bond index as closely as possible. Portfolio 3 = Enhanced Indexing, which is closely linked to the benchmark but attempts to generate a modest amount of outperformance versus the benchmark.
B is incorrect because the ordering of portfolios given is incorrect. The correct ordering is: Portfolio 1 = Active Management, Portfolio 2 = Pure Indexing, Portfolio 3 = Enhanced Indexing.
C is incorrect because the ordering of portfolios given is incorrect. The correct ordering is: Portfolio 1 = Active Management, Portfolio 2 = Pure Indexing, Portfolio 3 = Enhanced Indexing.
题目中Portfolio 2与Portfolio3相比,在duration部分明显是Portfolio3与benchmark一致而Portfolio2属于closely matched,为什么Portfolio2是pure indexing 而portfolio 3反而是enhanced?