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Stella · 2024年06月25日

题目做对了,还想进一步了解buffer关于股票数量的问题

* 问题详情,请 查看题干

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.

看了老师对其他问题的解答,理解了为什么packeting的方法会使得portfolio的股票数量只会大于或等于benchmark的股票数量,希望再进一步解答为什么buffer的方法会让股票数量大于,等于,小于都可以呢。知道buffer是设置一个安全垫,所以大于或者等于benchmark的股票数量能理解,只不过小于的话是怎么实现的呢,剔除掉组合中股票的一部分?不还是算一只么,谢谢。

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已采纳答案

笛子_品职助教 · 2024年06月25日

嗨,爱思考的PZer你好:


Hello,亲爱的同学~

benchmark的股票数量是固定的,例如标准普尔500指数,这个指数里永远是500只股票不变。

而跟踪benchmark的portfolio,股票数量会变化。

buffer数量少的情况:benchmark剔除1只股票,加入了1只股票。

benchmark剔除的股票,满足portfolio的缓冲条件,portfolio跟随benchmark,减1只。

benchmark增加的1只股票,不满足portfolio缓冲条件,portfolio没有跟随benchmark加入这只股票。

这就会使portfolio的股票数量小于benchmark。

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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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