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北欧神父 · 2024年07月07日

tracking error

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000022

问题如下：

Molly notes that SD&R generally uses actively managed portfolios designed to earn a return in excess of the benchmark portfolio. For clients interested in passive exposure to ­fixed-income instruments, SD&R offers two additional approaches.

  • Approach 1: Seeks to fully replicate a small range of benchmarks consisting of government bonds.
  • Approach 2: Follows an enhanced indexing process for a subset of the bonds included in the Bloomberg Barclays US Aggregate Bond Index. Approach 2 may also be customized to reflect client preferences.
Relative to Approach 1 of gaining passive exposure, an advantage of Approach 2 is that it:

选项：

A.

minimizes tracking error.

B.

requires less risk analysis.

C.

is more appropriate for socially responsible investors.

解释：

Correct Answer: C

C is correct. Enhanced indexing is especially useful for investors who consider environmental, social, or other factors when selecting a fixed-income portfolio. Environmental, social, and corporate governance (ESG) investing, also called socially responsible investing, refers to the explicit inclusion or exclusion of some sectors, which is more appropriate for an enhanced index strategy relative to a full index replication strategy. In particular, Approach 2 may be customized to reflect client preferences.

tracking error不是收到追踪的数量多少和成本低影响吗，pure index 的成本高，那么对应的enhance index应该是最小化tracking error，为什么不对呢

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发亮_品职助教 · 2024年07月08日

这块就是客观地对比讨论pure indexing和enhanced indexing的优缺点，就是把2个策略拿出来对比他们的tracking error。和是否要构建这两个策略，以及他们的构建成本没关系。


任何条件下，一定成立的结论就是：pure indexing的tracking error一定比enhanced indexing的tracking error小，理论状态下，pure indexing的tracking error等于0


关于tracking error的一点就是，越是模拟指数的程度高，tracking error就越小。越是偏离指数，tracking error就越大。


pure indexing是100%的完全模拟指数，组合与指数的构成、权重完全一致，所以理论状态下pure indexing的tracking error是等于0的（这是结论）。


相比之下，enhanced indexing的tracking error相对就大一点，因为enhanced indexing是抽样跟踪指数，跟踪指数的primary factor，并不会100%模拟指数，跟踪的效果有一定的偏离，但整体上是match index的。Enhanced indexing的tracking error是大于Pure indexing。


tracking error最大的是active strategy，因为这种策略是安全可以偏离指数。可以完全和指数不一样。

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