开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

pseudonym · 2024年01月18日

本题tracking error大不是应该说明excess return来自于skill而不是luck吗？

  1. CFA III
  2. Equity

* 问题详情，请 查看题干

NO.PZ202207040100001002

问题如下：

Which of Parker’s statements about Manager B in Exhibit 1 is most appropriate? The statement about:

选项：

A.tracking errors. B.excess return. C.currency overlays.

解释：

Solution

B is correct. The comment about excess return being luck rather than skill is correct. Replication managers attempt to create a portfolio that tracks the performance and the volatility of the underlying index as closely as possible. The proper measure of skill is the tracking error: Manager B has the highest tracking error among the three managers.

A is incorrect. Tracking error does not measure volatility of the portfolio; rather, it measures the volatility of the excess return between the index and the portfolio.

C is incorrect. A currency overlay assists a portfolio manager in hedging (not levering) the returns of securities that are held in foreign currency back to the home country’s currency.

本题tracking error大不是应该说明excess return来自于skill而不是luck吗？看了其他的答案解释还是不能理解这一点

添加评论
1 个答案

笛子_品职助教 · 2024年01月19日

嗨，从没放弃的小努力你好：


Hello，亲爱的同学~

同学注意，fund的类型，是Equity Replication Managers。被动跟踪指数的基金经理。

而我们所说的skill，是指主动基金经理，战胜基准的技巧。

被动基金经理并不追求主动战胜指数，因此也不存在skill的问题。

如果被动基金经理的表现比benchmark要更好，那么一般是Lucy好。




----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

思思 · 2024年06月14日

老师，比方说什么方面的luck呢

  • 1

    回答

  • 0

    关注

  • 237

    浏览
相关问题

NO.PZ202207040100001002 问题如下 Whiof Parker’s statements about Manager B in Exhibit 1 is most appropriate? The statement about: A.tracking errors. B.excess return. C.currenoverlays. SolutionB is correct. The comment about excess return being lurather thskill is correct. Replication managers attempt to create a portfolio thtracks the performananthe volatility of the unrlying inx closely possible. The proper measure of skill is the tracking error: Manager B hthe highest tracking error among the three managers.A is incorrect. Tracking error es not measure volatility of the portfolio; rather, it measures the volatility of the excess return between the inx anthe portfolio. C is incorrect. A currenoverlassists a portfolio manager in heing (not levering) the returns of securities thare helin foreign currenbato the home country’s currency. 为什么high tracking error不能说明market volatile，而是excess return comes from lunot skills?

2024-03-23 10:49 2 · 回答

NO.PZ202207040100001002问题如下Whiof Parker’s statements about Manager B in Exhibit 1 is most appropriate? The statement about:A.tracking errors.B.excess return.C.currenoverlays.SolutionB is correct. The comment about excess return being lurather thskill is correct. Replication managers attempt to create a portfolio thtracks the performananthe volatility of the unrlying inx closely possible. The proper measure of skill is the tracking error: Manager B hthe highest tracking error among the three managers.A is incorrect. Tracking error es not measure volatility of the portfolio; rather, it measures the volatility of the excess return between the inx anthe portfolio. C is incorrect. A currenoverlassists a portfolio manager in heing (not levering) the returns of securities thare helin foreign currenbato the home country’s currency. 怎么看出b是full replication

2023-12-07 09:06 1 · 回答

NO.PZ202207040100001002问题如下 Whiof Parker’s statements about Manager B in Exhibit 1 is most appropriate? The statement about:A.tracking errors.B.excess return.C.currenoverlays.SolutionB is correct. The comment about excess return being lurather thskill is correct. Replication managers attempt to create a portfolio thtracks the performananthe volatility of the unrlying inx closely possible. The proper measure of skill is the tracking error: Manager B hthe highest tracking error among the three managers.A is incorrect. Tracking error es not measure volatility of the portfolio; rather, it measures the volatility of the excess return between the inx anthe portfolio. C is incorrect. A currenoverlassists a portfolio manager in heing (not levering) the returns of securities thare helin foreign currenbato the home country’s currency. 这道题为什么不选择C呢？

2023-06-18 17:54 2 · 回答

NO.PZ202207040100001002 问题如下 Whiof Parker’s statements about Manager B in Exhibit 1 is most appropriate? The statement about: A.tracking errors. B.excess return. C.currenoverlays. SolutionB is correct. The comment about excess return being lurather thskill is correct. Replication managers attempt to create a portfolio thtracks the performananthe volatility of the unrlying inx closely possible. The proper measure of skill is the tracking error: Manager B hthe highest tracking error among the three managers.A is incorrect. Tracking error es not measure volatility of the portfolio; rather, it measures the volatility of the excess return between the inx anthe portfolio. C is incorrect. A currenoverlassists a portfolio manager in heing (not levering) the returns of securities thare helin foreign currenbato the home country’s currency. 请问老师，tracking error越大， excess return越归因于幸运？

2023-02-06 21:55 2 · 回答