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菜頭 · 2024年02月09日

如下

  1. CFA III
  2. Equity

* 问题详情，请 查看题干

NO.PZ202207040100001001

问题如下：

In Exhibit 1, the replication manager that most likely blends stratified sampling and optimization is:

选项：

A.Manager A. B.Manager B. C.Manager C.

解释：

Solution

C is correct. Manager C demonstrates characteristics consistent with a blended approach of stratified sampling and optimization. The optimization process accounts explicitly for the covariances in the portfolio constituents and results in lowering tracking error when compared with stratified sampling alone. Using 1,200 holdings out of the 3,000 used by the index illustrates stratified sampling. Manager A appears to use a full replication, given the large number of holdings (498 of 500) and the low tracking error. Manager B appears to use stratified sampling alone, given the proportion of holdings (800 out of 928 in the index, or 86%), and does not appear to use optimization, given the large tracking error, which would have been reduced by accounting for covariances.

A is incorrect. It is very likely that Manager A uses a full replication approach as indicated by the number of holdings (498 of 500) and the low tracking error.

B is incorrect. Manager B uses stratified sampling alone. The manager has not reduced tracking error by accounting for covariances as would be done when using optimization. Using 1,200 holdings out of the 3,000 used by the index illustrates stratified sampling.

遇到这种题应该怎么判断哪个portfolio用哪种方法呢？

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1 个答案

笛子_品职助教 · 2024年02月11日

嗨，努力学习的PZer你好：


可以从一些描述上来识别。

Full replication是完全复制，完全复制意味着Portfolio持股数量与Benchmark非常接近，500只股票的Benchmark，portfolio有498只股票，非常接近，是完全复制。


分层抽样，是指在Portfolio中挑选出一些有代表性的，符合本题描述的Using 1,200 holdings out of the 3,000 used by the index


最优化，使用的统计学方法来构建组合，需要考虑协方差。本题explicitly for the covariance的描述，可以看出也使用了最优化。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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