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mino酱是个小破货 · 2023年09月09日

问题点derivatives为啥会加大tracking error？谢谢

  1. CFA III
  2. 机构IPS

NO.PZ2022051904000008

问题如下：

The Lemont Family Foundation follows a systematic quarterly rebalancing policy based on rebalancing corridors for each asset class. In the latest quarter, a significant sell-off in US public equities resulted in an unusually large 1.2% underweight position relative to the applicable lower corridor boundary. This is the only policy exception requiring rebalancing attention.

The Foundation’s investment team views the sell-off as temporary and remains pleased with the performance of all external managers, including that of its US public equities manager. However, the sell-off has increased the significance of liquidity and flexibility for the team. As a result, the team now considers whether to rebalance through the cash market or the derivatives market.

Q. Determine the most appropriate rebalancing choice for the Foundation’s investment team. Justify your response.


解释：

同上和提问一样。。。。。。

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lynn_品职助教 · 2023年09月10日

嗨，爱思考的PZer你好：


Tracking Error是指跟踪误差，是指基金或投资组合的收益率与其跟踪的基准收益率之间的差异。Tracking Error越小，代表基金或投资组合的表现越接近其跟踪的基准。Tracking Error没有好坏之分，只是用来衡量基金或投资组合的表现是否接近其跟踪的基准。


定义比较文绉绉，其实说白了就是衡量积极主动管理的基金偏离benchmark的程度，tracking error越大，就是越aggressive的。


而衍生品其实自发明以来最大的作用就是切割了风险，但是衍生品的种类是非常多的，差异也很大。并且通常我们都认为衍生品交易风险是较大的，原文while derivates can present tracking errors and operational risk 这句话意思是而衍生品可能存在跟踪错误和操作风险，它当然可能会造成跟踪错误和操作风险，是没有错的哈。




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