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Lich · 2023年07月02日

active和enhanced感觉区分不明显,portfolio1和3

NO.PZ2023061601000043

问题如下:

Danny Moynahan, CFA, is a fixed-income portfolio manager at Reagan Investment Advisory (Reagan). He agrees with his wife, a professor of investments class, to talk to her class about managing fixed-income portfolios. He plans to put together six pages for his discussion.

On page 2, Moynahan decides to outline the three total return approaches he utilizes to manage Reagan’s fixed-income portfolios. He puts together the following exhibit:


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:

Correct Answer: A

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.


active和enhanced感觉区分不明显,portfolio1和3

1 个答案

pzqa015 · 2023年07月03日

嗨,爱思考的PZer你好:


enhanced可以从KRD来判断,enhanced 方法只match duration,不用对benchmark的债券做复制,所以,enhanced 方法各个期限或者各类债券的久期应该与Benchmark一样,本题给了各个期限的久期(KRD),所以,如果KRD与benchmark一致,肯定就是enhanced index了,也就是portfolio 3。

active 几乎没有指标与benchmark保持一致,或者说各类指标与benchmark差别都是最大的,表格中无论各类债券的占比、国别敞口、turnover,portfolio1都与benchmark相差最大,所以,portfolio1是active portfolio。

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