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考拉 · 2024年01月20日

为什么在packeting方法下,portfolio的股票只会比benchmark多或者相等;而buffering 下,无所谓

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NO.PZ202207040100000604

问题如下:

As an indexing technique, the number of holdings in Manager B’s index least likely illustrates:

选项:

A.Reconstitution. B.packeting. C.buffering.

解释:

Solution

Reconstitution involves deleting names that are no longer in the index and adding names that have been approved as new index members. Therefore the holdings of the fund should always be 500.

请问为什么在packeting方法下,portfolio的股票只会比benchmark多或者相等,而buffering 下,持股多少都可以

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笛子_品职助教 · 2024年01月22日

嗨,爱思考的PZer你好:


请问为什么在packeting方法下,portfolio的股票只会比benchmark多或者相等,而buffering 下,持股多少都可以


Hello,亲爱的同学~

我们看Packeting的做法。

当benchmark移除一只股票,并加入一只股票时,portfolio只会移除这只股票的一部分,然后加入新股票的一部分。

但是在计算股票的number的时候,我们只会算是增加了一只股票,或者减少了一只股票。


举例来说:

A股票占benchmark的权重为3%,benchmark共有30只股票。

portfolio复制benchmark,A股票也占portfolio的权重5%,portfolio也有30只股票。


之后,benchmark做持仓调整,剔除了A股票,调入了B股票。B股票完全取代A股票,即B股票权重也是3%。此时portfolio减少1只A,加入B,股票数量还是100只。


portfolio由于采用packeting方法,剔除A股票的时候,只剔除了1%权重,还保留2%权重,因此,portfolio还有A股票。

同样的。B股票,portfolio调入了1%权重,尽管没有像benchmark一样调入3%,权重,但1%的持股也意味着portfolio持有B股票。

因此,benchmark没有A只有B,portfolio既有A又有B。portfolio的股票数量是101只。


因此,packeting方法下,portfolio股票数量 大于等于 benchmark股票数量,不会小于。





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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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