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Yaq7 · 2021年10月14日

解析里【An index fund that replicates its benchmark can have minimal rebalancing.】不理解

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NO.PZ201809170400000104

问题如下:

The Elmer fund’s management strategy is:

选项:

A.

active.

B.

passive.

C.

blended.

解释:

B is correct. The fund is managed assuming that the market is efficient, and investments are selected to mimic an index. Compared with active strategies, passive strategies generally have lower turnover and generate a higher percentage of long-term gains. An index fund that replicates its benchmark can have minimal rebalancing.

如果是被动投资,要跟踪benchmarrk,那不是应该会有很多rebalance么,要保持一致,cost会高之类的(类似于fix里面liability-based approach)

1 个答案

笛子_品职助教 · 2021年10月14日

嗨,努力学习的PZer你好:


权益里的被动投资,和固定收益里的不太一样。权益里的被动投资是跟踪benchmark的,比如说标准普尔500指数为benchmark,跟踪标普500的rebalance频率,也就是标准普尔500指数中成份股的调整频率,这个频率是很低的。


固定收益里,liability-based approach是个免疫策略,资产和负债的BPV相同。一旦利率变化,就要重新调整。这个rebalance频率是比较高的。

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