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坏呼呼嘿嘿 · 2023年08月02日

请问这个题是怎么看出来区别的＇

  1. CFA III
  2. Fixed Income

NO.PZ2023032703000044

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：

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.

请问这个题是怎么看出来区别的

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2 个答案

pzqa31 · 2023年08月03日

嗨，爱思考的PZer你好：


Pure indexing是组合模拟Index的特征与属性；所以这个表格里，除了最后一行Securities lending不用看之外，其他的特征都要看看模拟Index的程度。

Securities lending是指这个是Porfolio是否允许加杠杆，与模拟指数无关。有可能是，Portfoio利用Pure-indexing模拟好了指数，但这个Portfolio可能带杠杆的组合。例如，Portfolio根据Pure indexing模拟好了指数，然后Portfolio做Repo，贷出来钱，再做一次Pure-indexing，那这样这个Portfolio的就是一个杠杆的Portfolio。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

pzqa31 · 2023年08月02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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虽然现在很辛苦，但努力过的感觉真的很好，加油！

坏呼呼嘿嘿 · 2023年08月02日

2为什么是pure indexing

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