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毛腿鸡 · 2023年02月06日

为什么Portfolio 3 的duration与benchmark完全一致确标为enhanced indexing?

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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:

Solution

A 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?

1 个答案

pzqa015 · 2023年02月07日

嗨,爱思考的PZer你好:


portfolio 2的各个评级债券的占比、平均评级、duration与benchmark都很接近,各个国家的债券权重与benchmark也最接近,所以它是pure indexing。

portfolio 3的各个评级债券占比以及各个国家权重与benchmark相比,相差较大(较portfolio 2大),所以排除了pure indexing,但duration与benchmark一致,但所以它是enhanced indexing。

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