为什么不选B？

NO.PZ201812020100000402 问题如下 SRCapit(SR), a globasset management company, specializes in ­fixeincomeinvestments. Molly, chief investment officer, is meeting with a prospectiveclient, Leof Puy FinanciCompany (C). Leahinforms Molly thC’s previous ­fixeincome manager focuseon the interestrate sensitivities of assets anliabilities when making asset allocationcisions. Molly explains that, in contrast, SR’s investment process ­firstanalyzes the size antiming of client liabilities, anthen it buil assetportfolio baseon the interest rate sensitivity of those liabilities. Mollynotes thSR generally uses actively manageportfolios signeto earna return in excess of the benchmark portfolio. For clients interesteinpassive exposure to ­fixeincome instruments, SR offers two aitionalapproaches.Approa1: Seeks to fully replicate a small range of benchmarks consisting of government bon.Approa2: Follows enhanceinxing process for a subset of the bon incluin the Bloomberg Barclays US Aggregate BonInx. Approa2 malso customizeto refleclient preferences.Toillustrate SR’s immunization approafor controlling portfolio interestrate risk, Molly scusses a hypotheticportfolio composeof two non-callable,investment-gra bon. The portfolio ha weighteaverage yiel to-maturityof 9.55%, a weighteaverage coupon rate of 10.25%, ana cash flow yielof9.85%.Leahinforms Molly thC ha single $500 million liability e in nineyears, anshe wants SR to construa bonportfolio thearns a rateof return sufficient to poff the obligation. Leexpresses concern aboutthe risks associatewith immunization strategy for this obligation. Inresponse, Molly makes the following statements about liability-iveninvesting:Statement 1: Although the amount ante of SR’s liability is known with certainty, measurement errors associatewith key parameters relative to interest rate changes maersely affethe bonportfolios.Statement 2: A cash flow matching strategy will mitigate the risk from non-parallel shifts in the yielcurve.Mollyprovis the four US llar–nominatebonportfolios in Exhibit 1 forconsiration. Molly explains ththe portfolios consist of non-callable,investment-gra corporate angovernment bon of various maturities becausezero-coupon bon are unavailable.The scussion turns to benchmarkselection. C’s previous fixeincome manager usea custom benchmark with thefollowing characteristics:Characteristic 1: The benchmark portfolio invests only in investment-gra bon of US corporations with a minimum issuansize of $250 million.Characteristic 2: Valuation occurs on a weekly basis, because many of the bon in the inx are valueweekly.Characteristic 3: Historicprices anportfolio turnover are available for review.Mollyexplains that, in orr to evaluate the asset allocation process, fixeincomeportfolios shoulhave appropriate benchmark. Leasks for benchmark aiceregarng C’s portfolio of short-term anintermeate-term bon, allnominatein US llars. Molly presents three possible benchmarks inExhibit 2. Relative to Approa1 of gaining passive exposure, aantage ofApproa2 is thit: A.minimizes tracking error. B.requires less risk analysis C.is more appropriate for socially responsible investors Cis correct. Enhanceinxing is especially useful for investors who consirenvironmental, social, or other factors when selecting a fixeincomeportfolio. Environmental, social, ancorporate governan(ESG) investing,also callesocially responsible investing, refers to the explicit inclusion orexclusion of some sectors, whiis more appropriate for enhanceinxstrategy relative to a full inx replication strategy. In particular, Approach2 mcustomizeto refleclient preferences. 前面有老师回答tracking error=active return/active risk。用来衡量主动管理的active return(Rp-Rb)的波动程度，tracking error越大，表明portfolio的收益与benchmark收益viation的越大，所以，主动管理的程度越高。明白了这一点，从tracking error的角度，pure inx＜enhaninxing＜active management。pure inx基本没有tracking errer。之前做过一道类似的题，答案并不是完全复制的tracking risk 最小，因为还要考虑交易费用和其他成本。

NO.PZ201812020100000402 问题如下 Relative to Approa1 of gaining passive exposure, aantage ofApproa2 is thit: A.minimizes tracking error. B.requires less risk analysis C.is more appropriate for socially responsible investors Cis correct. Enhanceinxing is especially useful for investors who consirenvironmental, social, or other factors when selecting a fixeincomeportfolio. Environmental, social, ancorporate governan(ESG) investing,also callesocially responsible investing, refers to the explicit inclusion orexclusion of some sectors, whiis more appropriate for enhanceinxstrategy relative to a full inx replication strategy. In particular, Approach2 mcustomizeto refleclient preferences. 老师好！请问B不对的原因，是 enhanceinxing requires more risk analysis 吗？谢谢！

NO.PZ201812020100000402 问题如下 SRCapit(SR), a globasset management company, specializes in ­fixeincomeinvestments. Molly, chief investment officer, is meeting with a prospectiveclient, Leof Puy FinanciCompany (C). Leahinforms Molly thC’s previous ­fixeincome manager focuseon the interestrate sensitivities of assets anliabilities when making asset allocationcisions. Molly explains that, in contrast, SR’s investment process ­firstanalyzes the size antiming of client liabilities, anthen it buil assetportfolio baseon the interest rate sensitivity of those liabilities. Mollynotes thSR generally uses actively manageportfolios signeto earna return in excess of the benchmark portfolio. For clients interesteinpassive exposure to ­fixeincome instruments, SR offers two aitionalapproaches.Approa1: Seeks to fully replicate a small range of benchmarks consisting of government bon.Approa2: Follows enhanceinxing process for a subset of the bon incluin the Bloomberg Barclays US Aggregate BonInx. Approa2 malso customizeto refleclient preferences.Toillustrate SR’s immunization approafor controlling portfolio interestrate risk, Molly scusses a hypotheticportfolio composeof two non-callable,investment-gra bon. The portfolio ha weighteaverage yiel to-maturityof 9.55%, a weighteaverage coupon rate of 10.25%, ana cash flow yielof9.85%.Leahinforms Molly thC ha single $500 million liability e in nineyears, anshe wants SR to construa bonportfolio thearns a rateof return sufficient to poff the obligation. Leexpresses concern aboutthe risks associatewith immunization strategy for this obligation. Inresponse, Molly makes the following statements about liability-iveninvesting:Statement 1: Although the amount ante of SR’s liability is known with certainty, measurement errors associatewith key parameters relative to interest rate changes maersely affethe bonportfolios.Statement 2: A cash flow matching strategy will mitigate the risk from non-parallel shifts in the yielcurve.Mollyprovis the four US llar–nominatebonportfolios in Exhibit 1 forconsiration. Molly explains ththe portfolios consist of non-callable,investment-gra corporate angovernment bon of various maturities becausezero-coupon bon are unavailable.The scussion turns to benchmarkselection. C’s previous fixeincome manager usea custom benchmark with thefollowing characteristics:Characteristic 1: The benchmark portfolio invests only in investment-gra bon of US corporations with a minimum issuansize of $250 million.Characteristic 2: Valuation occurs on a weekly basis, because many of the bon in the inx are valueweekly.Characteristic 3: Historicprices anportfolio turnover are available for review.Mollyexplains that, in orr to evaluate the asset allocation process, fixeincomeportfolios shoulhave appropriate benchmark. Leasks for benchmark aiceregarng C’s portfolio of short-term anintermeate-term bon, allnominatein US llars. Molly presents three possible benchmarks inExhibit 2. Relative to Approa1 of gaining passive exposure, aantage ofApproa2 is thit: A.minimizes tracking error. B.requires less risk analysis C.is more appropriate for socially responsible investors Cis correct. Enhanceinxing is especially useful for investors who consirenvironmental, social, or other factors when selecting a fixeincomeportfolio. Environmental, social, ancorporate governan(ESG) investing,also callesocially responsible investing, refers to the explicit inclusion orexclusion of some sectors, whiis more appropriate for enhanceinxstrategy relative to a full inx replication strategy. In particular, Approach2 mcustomizeto refleclient preferences. 如题，tracking error在固收被动投资里怎么考虑

NO.PZ201812020100000402 问题如下 Relative to Approa1 of gaining passive exposure, aantage ofApproa2 is thit: A.minimizes tracking error. B.requires less risk analysis C.is more appropriate for socially responsible investors Cis correct. Enhanceinxing is especially useful for investors who consirenvironmental, social, or other factors when selecting a fixeincomeportfolio. Environmental, social, ancorporate governan(ESG) investing,also callesocially responsible investing, refers to the explicit inclusion orexclusion of some sectors, whiis more appropriate for enhanceinxstrategy relative to a full inx replication strategy. In particular, Approach2 mcustomizeto refleclient preferences. fully replicate a small range of benchmarks consisting of government bon,因为是完整复制的一小部分的政府债券，交易量大、流动性好、个数少，所以好复制，所以tracking error应该是小的。如果是tracking 整个债券市场，那应该是需要频繁Rebalance，而且tracking error要比approa2 里enhanceinxing要大吧，上述理解对吗？