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贝就要贝到底 · 2021年04月26日

请问一下选项B

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.

知道选项C是对的,但是想问一下B,fully replicated inde的risk deverfication更好,所以相对而言enhanced index method没有fully replicate exposure的risk多,应该不用做更多的risk analysis啊?

1 个答案
已采纳答案

发亮_品职助教 · 2021年04月28日

嗨,努力学习的PZer你好:


知道选项C是对的,但是想问一下B,fully replicated inde的risk deverfication更好,所以相对而言enhanced index method没有fully replicate exposure的risk多,应该不用做更多的risk analysis啊?


这里的Risk analysis不是指投资风险的分析哈~


这里的Risk analysis是指对指数特征/portfolio的特征分析


首先Pure indexing无需太多的Risk analysis,因为Pure indexing就是无脑跟着Index买,Index有啥就买啥,Index的配比是多少就按Index来,Index的任何调仓换股都要跟着操作。

这种Pure indexing,就是完全模仿式投资,无需太多自己的分析。


但是Enhanced-indexing不行,Enhanced-indexing需要一定的分析。

我们Enhanced-indexing的目标,是用一个抽样的Portfolio来Match index的关键指标。那首先,我们需要分析出Index的关键指标是多少,要分析Index里面的构成,然后才能进行合理的分层。

同时,我们要从Index里挑出来一些具有代表性的债券,然后Enhanced-indexing才会买入这些代表性债券,那这样的话,在买债券前,可能还需要对债券的特征进行分析。

同时,Index的调仓换股,我们Enhanced-indexing还需要重新评估一下Index的关键指标变动,然后需要判断Enhanced-indexing是否需要跟着调仓换股。


以上这个简单的过程就已经看出来了Enhanced-indexing其实会需要大量的投研分析,所以使用Enhanced-indexing,会有更高的Risk analysis,而Pure indexing就是无脑跟着操作,无需太多的分析。

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