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leon奋斗 · 2024年01月18日

没看懂，请老师指点

  1. CFA III
  2. Equity

* 问题详情，请 查看题干

NO.PZ202207040100001001

问题如下：

In Exhibit 1, the replication manager that most likely blends stratified sampling and optimization is:

选项：

A.Manager A. B.Manager B. C.Manager C.

解释：

Solution

C is correct. Manager C demonstrates characteristics consistent with a blended approach of stratified sampling and optimization. The optimization process accounts explicitly for the covariances in the portfolio constituents and results in lowering tracking error when compared with stratified sampling alone. Using 1,200 holdings out of the 3,000 used by the index illustrates stratified sampling. Manager A appears to use a full replication, given the large number of holdings (498 of 500) and the low tracking error. Manager B appears to use stratified sampling alone, given the proportion of holdings (800 out of 928 in the index, or 86%), and does not appear to use optimization, given the large tracking error, which would have been reduced by accounting for covariances.

A is incorrect. It is very likely that Manager A uses a full replication approach as indicated by the number of holdings (498 of 500) and the low tracking error.

B is incorrect. Manager B uses stratified sampling alone. The manager has not reduced tracking error by accounting for covariances as would be done when using optimization. Using 1,200 holdings out of the 3,000 used by the index illustrates stratified sampling.

usage of futures 是no

accounts for covariances 是yes

就选c了


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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~

这道题是识别哪个基金经理使用了什么方法。


A经理采用的是full relication。因为500只股票，A基金经理就持有了498只。full replication的特点是，portfolio股票数量与benchmark非常接近。


B经理单独使用分层抽样。这里先了解一个原版书上给出的知识点结论：分层抽样的tracking error大于optimation。B的portfolio股票数量与benchmark有一定差距，并且tracking error较大，可以认定为分层抽样。


C是正确的。Manager C展示了与分层抽样和优化的混合方法一致的特性。考虑了投资组合成分中的协变量，并降低了跟踪误差，说明是optimation。使用该指数使用的3000只股票中的1200只，说明是分层抽样。

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