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pseudonym · 2024年01月18日

本题tracking error大不是应该说明excess return来自于skill而不是luck吗？

  1. CFA III
  2. Equity

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NO.PZ202207040100001002

问题如下：

Which of Parker’s statements about Manager B in Exhibit 1 is most appropriate? The statement about:

选项：

A.tracking errors. B.excess return. C.currency overlays.

解释：

Solution

B is correct. The comment about excess return being luck rather than skill is correct. Replication managers attempt to create a portfolio that tracks the performance and the volatility of the underlying index as closely as possible. The proper measure of skill is the tracking error: Manager B has the highest tracking error among the three managers.

A is incorrect. Tracking error does not measure volatility of the portfolio; rather, it measures the volatility of the excess return between the index and the portfolio.

C is incorrect. A currency overlay assists a portfolio manager in hedging (not levering) the returns of securities that are held in foreign currency back to the home country’s currency.

本题tracking error大不是应该说明excess return来自于skill而不是luck吗？看了其他的答案解释还是不能理解这一点

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1 个答案

笛子_品职助教 · 2024年01月19日

嗨，从没放弃的小努力你好：


Hello，亲爱的同学~

同学注意，fund的类型，是Equity Replication Managers。被动跟踪指数的基金经理。

而我们所说的skill，是指主动基金经理，战胜基准的技巧。

被动基金经理并不追求主动战胜指数，因此也不存在skill的问题。

如果被动基金经理的表现比benchmark要更好，那么一般是Lucy好。




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虽然现在很辛苦，但努力过的感觉真的很好，加油！

思思 · 2024年06月14日

老师，比方说什么方面的luck呢

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