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mino酱是个小破货 · 2023年09月09日

是所有衍生品还是TRS的tracking error比较小

  1. CFA III
  2. 机构IPS

NO.PZ2022051904000007

问题如下：

Clive Staples is a consultant with the Leedsford Organization (Leedsford), a boutique investment consulting firm serving large endowments and private foundations. Leedsford consults on tactical asset allocation (TAA) program development, implementation, and ongoing TAA idea generation.

Staples has just completed his quarterly client review of the Narnea Foundation. Based on the Foundation’s current asset allocation and Leedsford’s updated fair value models, Staples believes there is an exploitable TAA opportunity in US large-cap growth stocks. He recommends a 2% overweight position to the US equities policy allocation either through an unlevered ETF or total return swap exposures to the Russell 1000 Growth Index.

Q. Compare the efficiency of the ETF and total return swap TAA implementation alternatives from the perspectives of capital commitment, liquidity, and tracking error.


解释：

问题如上。。。。。。。。。

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lynn_品职助教 · 2023年09月10日

嗨，努力学习的PZer你好：


TRS，本来上一道题想放一起讲一讲的。


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。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，是没有错的哈。


至于为什么“ for total return swap，the replication is exact".这个结论是对的呢。


举个栗子，我们想追踪一个债券benchmark，但是手头没有bond exposure，或者手头的Bond exposure与benchmark的bond exposure相差太多，这两种情况下，我们做passive investment的tracking error都比较大。而如果选择一个swap，支付手头的资产收益，收到与benchmark exposure类似的资产收益，这样我们做passive investment 的tracking error就降低了，这个与benchmark exposure相近的收益，可以用total return swap来获得，因为收到的return由benchmark债券的期间现金流和资本利得两部分组成，所以称为total return。


综上所述，total return swap的tracking error有可能为0，但不是绝对的哈，因为即使完全match benchmark的表现，我们在构建portfolio过程中，会发生各种交易成本，也会拖累portfolio的收益，所以tracking error只是有可能为0。请同学记住total return swap min tracking error即可。

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