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和棋 · 2022年02月01日

关于Full rep和straitified sampling的 Tracking error问题

NO.PZ2019012201000051

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.

Full rep的方法下由于trading cost,liquidity cost比较高,也会造成一定的Tracking Error。请问这种情况下造成的tracking error是比stratified sampling高还是低呢?

1 个答案

伯恩_品职助教 · 2022年02月01日

嗨,从没放弃的小努力你好:


Full rep的方法下由于trading cost,liquidity cost比较高,也会造成一定的Tracking Error。请问这种情况下造成的tracking error是比stratified sampling高还是低呢?——依然比stratified sampling的tracking error低。毕竟stratified sampling抽样的偏差更大

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NO.PZ2019012201000051 问题如下 Winthrop asks Tong about the techniques wealth managers anfuncompanies use to create inx-tracking equity portfolios thminimize tracking error ancosts. In response, Tong outlines two frequently usemetho:Metho1 One process requires thall inx constituents are available for trang anliqui but significant brokerage commissions coccur when the inx is large.Metho1’s portfolio construction process is most likely: A.optimization B.full replication C.stratifiesampling Full replication occurs when a manager hol all securities representethe inx in weightings thclosely matthe actuinx weightings. Thus it requires thall inx constituents are liquianavailable for trang, anthe asset size of the mante must also sufficient.Significant brokerage commissions coccur, however, when the inx is large. 而且没有明白为什么full replication会minimize cost?

2022-09-28 18:29 1 · 回答

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2020-10-04 20:42 1 · 回答

minimize tracking error ancosts...感觉full replication 应该不能minimize Costs

2020-02-23 20:22 1 · 回答

虽然做对了,但是哪一条不符合optimization?

2020-01-08 21:14 1 · 回答