题目中说lowest cost, 为什么不是pure indexing？

问题如下：

After successfully selecting the portfolio to immunize the $200 million liability, the conversation turns to selecting a benchmark for TM’s pension’s fixed income portfolio. Green is happy with Brown’s suggestion to use a broadly diversified US bond index as a benchmark. Green’s guidelines to Brown are to use the most cost-effective method to track the benchmark and to provide low tracking error.

Which of the following management strategies is most likely to meet both of Green’s guidelines for the pension’s bond fund?

选项：

A.

Pure indexing

B.

Enhanced indexing

C.

Active management

解释：

Correct Answer: B

An enhanced indexing approach maintains a close link to the benchmark but seeks to generate some outperformance relative to the benchmark. Enhanced indexing allows small deviations in portfolio holdings from the benchmark index but tracks the benchmark’s primary risk factor exposures very closely. Unlike the pure indexing approach, however, minor risk factor mismatches are used in enhanced indexing.

Active management involves taking positions in primary risk factors that deviate from those of the index in order to generate excess return.