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fangxiao · 2019年11月12日

问一道题：NO.PZ2019103001000034

  1. CFA III
  2. Fixed Income

问题如下：

The city also manages a separate, smaller bond portfolio for the Radford School District. During the next five years, the school district has obligations for school expansions and renovations. The funds needed for those obligations are invested in the Bloomberg Barclays US Aggregate Index. Kepler asks Ng which portfolio management strategy would be most efficient in mimicking this index.

Ng’s response to Kepler’s question about the most efficient portfolio management strategy should be:

选项：

A.

full replication

B.

active management

C.

an enhanced indexing strategy.

解释：

C is correct.

Under an enhanced indexing strategy, the index is replicated with fewer than the full set of index constituents but still matches the original index’s primary risk factors. This strategy replicates the index performance under different market scenarios more efficiently than the full replication of a pure indexing approach.

请教 这道题为什么不选A，选C是根据那句话判断出来的啊？还请帮忙分析一下，多谢

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发亮_品职助教 · 2019年11月12日

嗨，爱思考的PZer你好：


Kepler asks Ng which portfolio management strategy would be most efficient in mimicking this index.

主要在题干的这句：Most efficient in mimicking the index，既要做到跟踪指数，又要做到Most efficient：

首先要做模拟指数，Fully-indexed的方法和Enhanced-indexed的方法都可以做。

两者之间比较，Enhanced-indexed的方法是更有效的方法，所以选C，enhanced-indexing；

Enhanced-indexing高效在：

  • 对于Fully index，要购买指数中的所有成份，包括Thinly traded或者发行量非常少债券，这种债券组合构建成本非常高；相比而言，Enhanced-indexing方法使用的是分层抽样Stratified sampling的方法，只需要挑选部分成份债券进行跟踪即可，所以是高效；
  • 第二点体现在交易成本上，Fully-index方法中，指数的每一次调仓换股，Portfolio都要跟踪，所以会频繁地交易，交易成本很高，而Enhanced-indexing中，只有那些影响到指数主要特征的成份变动时，Portfolio才需要跟踪变动，所以调仓换股频率降低，拉低交易成本

所以相比较Pure indexing的方法，Enhanced-indexing方法即可以实现跟踪指数的目标，又可以降低成本。

具体可以参考下页讲义：


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虽然现在很辛苦，但努力过的感觉真的很好，加油！


fanfan1989 · 2021年05月07日

请问老师，关于MINIMISE TRACKING ERROR，到底是选FULL REPLICATION还是ENHANCED呢

发亮_品职助教 · 2021年05月12日

嗨，爱思考的PZer你好：


请问老师，关于MINIMISE TRACKING ERROR，到底是选FULL REPLICATION还是ENHANCED呢


Minimize tracking error选：Full replication（pure-indexing），理想状态下Full replication的Tracking error=0


由于Enhanced-indexing是抽样模拟指数，并不是完全跟踪指数，因此Tracking error > 0；但是Enhanced-indexing投入成本少，跟踪指数的效果相对还可以，可以以较少的投入较好的模拟指数。所以如果题目让选，Most cost-efficient way to mimic index，就选Enhanced-indexing。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

IIIIIIIIIIIIIIIIII · 2019年12月30日

small bond portfolio - 没钱

mimicking the index - 跟踪指数

full replication - 需要很多钱全复制

active management - 非跟踪

（选择）enhance index - 需要的钱少，跟踪指数 

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相关问题

NO.PZ2019103001000034 题目的要求是 most efficient in mimicking  也没说非要cost efficient，我咋感觉题目想让我们最有效的不是降低成本，而是不计成本去追踪指数，所以我觉得应该用full replication，请问老师我思考哪里出错了？

2022-02-09 15:12 1 · 回答

NO.PZ2019103001000034 active management enhanceinxing strategy. C is correct. Unr enhanceinxing strategy, the inx is replicatewith fewer ththe full set of inx constituents but still matches the origininx’s primary risk factors. This strategy replicates the inx performanunr fferent market scenarios more efficiently ththe full replication of a pure inxing approach. 这句话的意思不就是最有效的模仿吗？那不就是full replicate吗

2021-10-18 02:10 1 · 回答

NO.PZ2019103001000034 active management enhanceinxing strategy. C is correct. Unr enhanceinxing strategy, the inx is replicatewith fewer ththe full set of inx constituents but still matches the origininx’s primary risk factors. This strategy replicates the inx performanunr fferent market scenarios more efficiently ththe full replication of a pure inxing approach. 举债扩张学校是啥意思？

2021-05-02 11:58 1 · 回答

active management enhanceinxing strategy. C is correct. Unr enhanceinxing strategy, the inx is replicatewith fewer ththe full set of inx constituents but still matches the origininx’s primary risk factors. This strategy replicates the inx performanunr fferent market scenarios more efficiently ththe full replication of a pure inxing approach. Efficient一定是指成本低吗？不能理解成效果最好吗

2021-04-22 07:39 1 · 回答