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柠乐 · 2022年06月25日

为什么不是full replication

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.

full replication不是最efficient 吗?
1 个答案

pzqa015 · 2022年06月26日

嗨,努力学习的PZer你好:


你记错了哈,在降低tracking error方面,enhanced index比fully replication更加cost efficient.

因为债券流动性比较差,如果完全按照benchmark来买债券,会拉高成本。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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NO.PZ2018120301000034 问题如下 Thecity also manages a separate, smaller bonportfolio for the RaorSchoolstrict. ring the next fi­ve years, the school strihobligations forschool expansions anrenovations. The fun neefor those obligations areinvestein the Bloomberg Barclays US Aggregate Inx. ug asks Hui whichportfolio management strategy woulmost efficient in mimicking this inx. Hui’s response to ug’s question about the most efficient portfolio management strategy shoulbe: A.full replication. B.active management. C.enhanceinxing strategy. CorreAnswer: CCis correct. Unr enhanceinxing strategy, the inx is replicatewithfewer ththe full set of inx constituents but still matches the originalinx’s primary risk factors. This strategy replicates the inx performanceunr fferent market scenarios more efficiently ththe full replication ofa pure inxing approach. 一般什么情况下,使用full replication会更好? 这样看的话,被动管理full replication完全被enhance给吊打了

2022-07-25 17:48 1 · 回答

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2022-04-13 15:14 1 · 回答