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005 · 2023年05月25日

麻烦老师详细讲下这道题,谢谢

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NO.PZ202209060200004104

问题如下:

What bond indexing strategy would Maestre least likely recommend?

选项:

A.A stratified sampling approach B.An index mutual fund C.A synthetic strategy using a total return swap

解释:

Solution

A is correct. Given that bonds typically trade in large blocks (in excess of USD1 million), attempting to build a bond index fund, even with a stratified sampling approach, would be difficult given the small size of the portfolio. Although mutual funds require payment of expenses, index funds benefit from economies of scale that are passed on to investors. A synthetic approach using a total return swap and holding cash would work. Although it would require finding a counterparty for a relatively small swap, conducting due diligence to control counterparty risk, and dealing with occasional rollover risk, it would still have lower costs than building the portfolio directly.

B is incorrect because an index mutual fund would be very easy to implement compared to stratified sampling and given the relatively small size of the portfolio would likely have lower costs.

C is incorrect because a synthetic approach using a total return swap would be easier and cheaper to implement than stratified sampling because of the small size of the portfolio.



1 个答案

pzqa015 · 2023年05月26日

嗨,努力学习的PZer你好:


原文的意思说,R同学不确定花费时间和经理来超越宽指数业绩是值的的(意味着去做主动管理是否值得要打问号),他担心,完全复制指数与主动管理是成本是一样的(no less expensive),总之这段话想表达的意思就是R同学更倾向于用被动管理(pure index方法),A选项stratified sampling approach,抽样,其实类似enhanced index方法,不完全复制benchmark,而是抽取关键指标(如duration)来复制,enhanced index有主动管理的成分在。B与C都是完全复制指数的被动管理的方法,所以,题目问M不选哪个,只能选A选项。

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