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小小悟空yu · 2020年10月04日

问一道题:NO.PZ2019012201000051 [ CFA III ]

问题如下:

Winthrop asks Tong about the techniques wealth managers and fund companies use to create index-tracking equity portfolios that minimize tracking error and costs. In response, Tong outlines two frequently used methods:

Method 1 One process requires that all index constituents are available for trading and liquid, but significant brokerage commissions can occur when the index is large.

Method 1’s portfolio construction process is most likely:

选项:

A.

optimization

B.

full replication

C.

stratified sampling

解释:

Full replication occurs when a manager holds all securities represented by the index in weightings that closely match the actual index weightings. Thus it requires that all index constituents are liquid and available for trading, and the asset size of the mandate must also be sufficient.

Significant brokerage commissions can occur, however, when the index is large.

commission fee很高,那还要full replication吗?  stratified sampling 不是便宜一点吗
1 个答案

maggie_品职助教 · 2020年10月09日

嗨,爱思考的PZer你好:


注意审题哦,这道题并不是问哪种方法可以minimize tracking error and costs,而是问方法1描述的是哪种组合构建方法:该方法要求指数中的成分股都是想买就买得到的,且流动性好,但是当指数包含成分股较多时,该方法就会面临高昂的手续费。这说的不就是完全复制吗。


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虽然现在很辛苦,但努力过的感觉真的很好,加油!