enhance indext 的选择标准·

问题如下：

Danny Moynahan, CFA, is a fixed-income portfolio manager at Reagan Investment Advisory (Reagan). His wife, Abigail Boyle, is a professor at a local university not far from their home. She is currently teaching an investments class. Over dinner one evening, she asks her husband if he will come and talk to her class about managing fixed-income portfolios. She believes it will be a useful experience for her students to hear from someone working in the investment industry. He agrees, and they plan for him to make his presentation the following week.

The next day at his office, with permission from his superior, Tom Gayle, Moynahan works on his presentation to the class. He plans to put together six pages for his discussion. He reviews the presentation materials he previously used at a conference to see if any of it would be useful. He decides page 1 should discuss the benefits of including fixed-income securities in a portfolio and highlights the following three points:

• Point A: Adding fixed-income securities to a portfolio is an effective way of obtaining the benefits of diversification, especially because fixed-income correlations with other asset classes are low.

• Point B: The regular nature of fixed-income cash flows enables investors to fund future obligations, unless there is a credit event.

• Point C: Fixed-income securities can always provide a hedge for inflation, which results in superior risk-adjusted real portfolio returns.

On page 2, Moynahan decides to outline the three total return approaches he utilizes to manage Reagan’s fixed-income portfolios. He puts together the following exhibit:

Exhibit 1 Features of Total Return Portfolios

Moynahan titles page 3, “Liquidity in the Fixed-Income Market.” He wants to ensure that the class appreciates the differences in liquidity between fixed-income and equity securities. He stresses that liquidity across fixed-income securities varies greatly and that compared to equities, fixed-income markets are generally less liquid. Also, liquidity influences fixed-income pricing, but illiquidity enhances the portfolio’s yield to maturity. Lastly, dealers will narrow bid–ask spreads on thinly traded securities as a consequence of their illiquidity.

Tom Gayle, Moynahan’s superior, stops by Moynahan’s office. Moynahan shares his presentation with Gayle, who suggests that page 4 include a discussion about expected returns. They decide to outline an example of a recent bond trade where they bought a $100 par value bond at a premium. Moynahan presents a decomposition of the bond’s expected returns detailing various components and focuses on roll down return. He adds the following footnote: “The roll down return demonstrates how the price of a bond typically moves closer to par regardless of yield curve changes over the strategy horizon.”

Moynahan and Gayle continue their discussion about the presentation and debate several potential subjects to include on page 5. Gayle suggests assessing the use of leverage in the portfolios. They decide to present a scenario where the portfolio is fully invested, but given their outlook for a decline in interest rates, they want to increase the portfolio’s investment exposure. The portfolio and the benchmark both currently have the same duration.

On page 6, the final page of his presentation, Moynahan plans to discuss the tax implications of fixed-income investing. He wants the class to understand that the management of taxable portfolios is more complicated than that of tax-exempt portfolios. He outlines the following key considerations for managing taxable fixed-income portfolios:

1. Minimize interest income relative to capital gains.

2. Minimize capital gains relative to capital losses.

3. Forego attractive trading opportunity because of tax implications.

Question

How should Moynahan most likely label the management approaches for each of the portfolios described in Exhibit 1 on page 2 of his presentation?

选项：

A.Portfolio 1 = Active Management, Portfolio 2 = Pure Indexing, Portfolio 3 = Enhanced Indexing B.Portfolio 1 = Enhanced Indexing, Portfolio 2 = Pure Indexing, Portfolio 3 = Active Management C.Portfolio 1 = Active Management, Portfolio 2 = Enhanced Indexing, Portfolio 3 = Pure Indexing

解释：

Solution

A is correct. Moynahan should label the portfolios on page 2 as follows: Portfolio 1 = Active Management, which allows for larger risk factor mismatch to the benchmark. Portfolio 2 = Pure Indexing, which involves attempting to replicate a bond index as closely as possible. Portfolio 3 = Enhanced Indexing, which is closely linked to the benchmark but attempts to generate a modest amount of outperformance versus the benchmark.

B is incorrect because the ordering of portfolios given is incorrect. The correct ordering is: Portfolio 1 = Active Management, Portfolio 2 = Pure Indexing, Portfolio 3 = Enhanced Indexing.

C is incorrect because the ordering of portfolios given is incorrect. The correct ordering is: Portfolio 1 = Active Management, Portfolio 2 = Pure Indexing, Portfolio 3 = Enhanced Indexing.