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highsix · 2020年03月11日

问一道题:NO.PZ2019103001000022

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 2 of gaining passive exposure, an advantage of Approach 1 is that it:

选项:

A.

reduces the need for frequent rebalancing

B.

limits the need to purchase bonds that are thinly traded

C.

provides a higher degree of portfolio risk diversification

解释:

C is correct.

Approach 1 is a full replication approach, whereas Approach 2 follows an enhanced indexing strategy. Both full replication and enhanced indexing can be used to establish a passive exposure to the bond market. Under full replication, the manager buys or sells bonds when there are changes to the index. The larger number of index constituents associated with full replication provides a higher degree of risk diversification compared with an enhanced indexing strategy

为啥A不对呢?

是因为全复制和enhanced都需要频繁rebalancing,没有多少之分吗?

还是说全复制比enhanced需要更加频繁的rebalancing?

1 个答案
已采纳答案

WallE_品职答疑助手 · 2020年03月12日

同学你好,

全复制比enhanced需要更加频繁的rebalancing,比如整个指数里面有1000只债券,每一个到期了你都要在调一次,但enhanced可能就选出了有代表性的200个债券。所以全复制需要更频繁的rebalance.