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小鱼 · 2023年06月24日

这道题每看懂，求解释

  1. CFA III
  2. Equity

NO.PZ2023010903000032

问题如下：

The Cherry Street Foundation is a nonprofit institution that provides resources for refugee children around the world. Over the last several years, Cherry Street has experienced a significant increase in donations, resulting in an increase to the foundation's investment portfolio of more than $100 million. Consequently, Ellie Blumenstock, CFA, Cherry Street's founder, recently concluded that the time had come to hire a professional chief investment officer(CIO) to manage this large pool of assets. Today, Blumenstock is interviewing A.J. Gelormini,a portfolio manager with over two decades of experience, for the CIO role.

Blumenstock replies that Cherry Street has always used the S&P 500 as the benchmark for its entire investment portfolio and has tried to replicate its returns through direct investment in the underlying constituents. Blumenstock manages this process herself by obtaining a list of S&P 500 constituent weightings and submitting purchase and sell orders to Cherry Street's broker as necessary to appropriately reflect the weightings. Orders are typically filled immediately after the market's open. Little cash is kept on hand and trades are commission-free. Blumenstock expresses her frustration that the investment portfolio has nevertheless lagged the S&P 500 and has experienced significant tracking error.

The best change that Blumenstock could make to Cherry Street's process to reduce the investment portfolio's tracking error is to:

选项：

A.

equitize the portfolio using futures

B.

transact at the market-on-close price

C.

use stratified sampling to mimic the benchmark

解释：

report index returns are struck at the close of the trading day. Any securities that are bought or sold at a different price than that of the index will contribute to tracking error. Because Blumenstock is purchasing and selling stocks immediately after the market open, the best option for reducing tracking error is to sell at the market-on-close price(or as near to market closing time as possible).

Equitizing the portfolio using futures would have little impact because not much cash is held in the portfolio(i.e., cash drag is not a factor). Stratified sampling would not have much impact either, because the portfolio is large (over $100 million) and covers a relatively narrow and very liquid index.

降低track error，用收盘价就可以？？？听着就有点不太对

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笛子_品职助教 · 2023年06月25日

嗨，努力学习的PZer你好：


降低track error，用收盘价就可以？？？听着就有点不太对

Hello，亲爱的同学~

这里说的确是是，收盘价交易，可以降低track error。


因为报告指数（benchmark）的回报是在交易日收盘时得出的。因此，portfolio要跟踪指数，最好也和指数一样，在收盘价交易。如果不在收盘价交易，则portfolio的收益率和benchmark的收益率就会出现偏差。



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