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zzxbbt · 2024年01月15日

请问turnover是怎么看出来的,可以详细解释下吗?谢谢

NO.PZ2023032703000044

问题如下:

Danny Moynahan, CFA, is a fixed-income portfolio manager at Reagan Investment Advisory (Reagan). He agrees with his wife, a professor of investments class, to talk to her class about managing fixed-income portfolios. He plans to put together six pages for his discussion.

On page 2, Moynahan decides to outline the three total return approaches he utilizes to manage Reagan’s fixed-income portfolios. He puts together the following exhibit:


How should Moynahan most likely label the management approaches for each of the portfolios described in Exhibit 1 on page 2 of his presentation?

选项:

A.

Portfolio 1 = Active Management, Portfolio 2 = Pure Indexing, Portfolio 3 = Enhanced Indexing

B.

Portfolio 1 = Enhanced Indexing, Portfolio 2 = Pure Indexing, Portfolio 3 = Active Management

C.

Portfolio 1 = Active Management, Portfolio 2 = Enhanced Indexing, Portfolio 3 = Pure Indexing

解释:

A is correct. Moynahan should label the portfolios on page 2 as follows: Portfolio 1 = Active Management, which allows for larger risk factor mismatch to the benchmark. Portfolio 2 = Pure Indexing, which involves attempting to replicate a bond index as closely as possible. Portfolio 3 = Enhanced Indexing, which is closely linked to the benchmark but attempts to generate a modest amount of outperformance versus the benchmark.

请问turnover是怎么看出来的,可以详细解释下吗?谢谢

2 个答案

pzqa015 · 2024年01月15日

嗨,努力学习的PZer你好:


从turnover的角度比较,理论上,应该pure index与benchmark类似,enhanced index略高于benchmark,active management比benchmark要高很多,但根据turnover,这道题就没答案了,因为三个Portfolio的turnover都小于benchmark。

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pzqa015 · 2024年01月15日

嗨,从没放弃的小努力你好:


额,我觉着这道题用不到turn over判断

根据KRD,portfolio3与benchmark一样,所以portfolio3是enhanced index。

portfolio2和portfolio1中,portfolio2的不同quality占比、country exposure都与benchmark最接近,所以,portfolio2是pure indexing。

剩下portfolio1就是active management了。

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