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智茵同学 · 2024年03月03日

为什么buffering的股票数可以少于benchmark

  1. CFA III
  2. Equity

NO.PZ2023010903000014

问题如下：

For the large-cap US equity portion of Sapphire’s investment portfolio, Cullen believes that there are some existing passive indexed-based funds that track the S&P 500 Index that the foundation should consider. Cullen presents Exhibit 2 to Sapphire’s board.

Exhibit 2 S&P 500 Index Funds

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

选项：

A.

reconstituting

B.

packeting

C.

buffering

解释：

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.

为什么buffering的股票数可以少于benchmark? 大于的情况好理解，比如股票跌出，benchmark的最低要求，但要留在index里观察一段时间，看看跌出是否偶然现象再踢出，这个就股票数大于benchmark股票数500的情况，但小于是怎样的场景？ ，对buffering

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3 个答案

笛子_品职助教 · 2024年03月05日

嗨，从没放弃的小努力你好：


buffering不是针对index的吗？是index的调整方式之一，为什么老师您的例子里，buffering变成了作用在portfolio上了？

Hello，亲爱的同学~

index没有buffering的。

例如标准普尔500指数，作为index，永远有500只股票。

同学不会看到某天的标准普尔500指数，只有499只股票，或者有501只股票。

index只是一个数字，index的调仓，只要把股票加进来计算就可以，是没有交易成本的。

有交易成本的，是跟踪index的portfolio

buffering、packeting，都是指portfolio，为了减少交易成本，怎么去跟随index。


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智茵同学 · 2024年03月04日

buffering不是针对index的吗？是index的调整方式之一，为什么老师您的例子里，buffering变成了作用在portfolio上了？

笛子_品职助教 · 2024年03月03日

嗨，从没放弃的小努力你好：


Hello，亲爱的同学～

例如，index调进来一个股票，portfolio因为buffer，没调进来。于是porfolio就会比benchmark少股票。

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