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Aileen wu · 2022年04月13日

most efficient in mimicking this index 怎么理解?

NO.PZ2018120301000034

问题如下:

The city also manages a separate, smaller bond portfolio for the Radford School District. During the next fi­ve years, the school district has obligations for school expansions and renovations. The funds needed for those obligations are invested in the Bloomberg Barclays US Aggregate Index. Doug asks Hui which portfolio management strategy would be most efficient in mimicking this index.

Hui’s response to Doug’s question about the most efficient portfolio management strategy should be:

选项:

A.

full replication.

B.

active management.

C.

an enhanced indexing strategy.

解释:

Correct Answer: C

C is correct. Under an enhanced indexing strategy, the index is replicated with fewer than the full set of index constituents but still matches the original index’s primary risk factors. This strategy replicates the index performance under different market scenarios more efficiently than the full replication of a pure indexing approach.

most efficient in mimicking this index 怎么理解?

这个portfolio本来数据就少,不是应该为了最小化tracking error 选择pure indexing的方法嘛?

1 个答案

pzqa015 · 2022年04月13日

嗨,爱思考的PZer你好:


在成本最低的情况下,match最小,是most efficient in mimicking the index,这是enhanced index方法最大的优点。

Portfolio大小不会决定是fully replication还是enhanced index,债券流动性差,不好买,所以,fully replication成本高。

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