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Alex · 2019年12月05日

问一道题:NO.PZ2019103001000023

问题如下:

Compton 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 the Bloomberg Barclays US Aggregate Bond Index

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:

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.

想知道为什么A不对,Enhanced indexing 不是有个优点是minimize tracking error么,在ppt155页

1 个答案
已采纳答案

发亮_品职助教 · 2019年12月05日

嗨,从没放弃的小努力你好:


“Enhanced indexing 不是有个优点是minimize tracking error么”


Tracking error最小的肯定是Fully-replication方法。

因为Fully-replication是完全模拟、购买指数中的所有成份。指数中有什么,我们的组合就有什么,因此追踪误差(Tracking error)是三种方法里最小的。



而对于Enhanced-indexing方法,我们用的是抽样模拟(Stratified sampling)的方式,目的是Match住Index的主要特征,而忽略一些次要的特征。所以模拟出来的组合和Index是有Tracking error的。

讲义里说的:Enhanced-indexing优点是Minimize tracking error,是指在用抽样模拟时,使用一些优化技术(optimization),再有成本约束的情况下、尽可能地降低Tracknig error(Minimize tracking error)。这样就能实现既能低成本追踪Index,又能尽可能降低Tracking error。

Enhanced-indexnig这里只是在一些约束条件下,尽可能地降低Tracking error,但其实要比较起来,Fully-repliacation的Tracking error最小,甚至完美的Fully-replication,Tracking error就是0.

所以,在模拟指数时,由于有低成本、以及在约束条件下minimize Tracking error的优势,Enhanced-indexing(Stratified sampling的方法)是most cost-efficient way to track index.


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