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小权 · 2024年04月26日

为什么选择full implication

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000034

问题如下：

The city also manages a separate, smaller bond portfolio for the Radford School District. During the next fi­ve years, the school district has obligations for school expansions and renovations. The funds needed for those obligations are invested in the Bloomberg Barclays US Aggregate Index. Doug asks Hui which portfolio management strategy would be most efficient in mimicking this index.

Hui’s response to Doug’s question about the most efficient portfolio management strategy should be:

选项：

A.

full replication.

B.

active management.

C.

an enhanced indexing strategy.

解释：

Correct Answer: C

C is correct. Under an enhanced indexing strategy, the index is replicated with fewer than the full set of index constituents but still matches the original index’s primary risk factors. This strategy replicates the index performance under different market scenarios more efficiently than the full replication of a pure indexing approach.

怎么判断出来这里的most efficient指的就是cost 有效呢，如果我看效果的话的，肯定是full implication的tracking error最小呢？


整个题目里都没有提到要从cost的角度来考虑是否有效。

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1 个答案

pzqa31 · 2024年04月26日

嗨，努力学习的PZer你好：


关键词是most efficient,Efficient需要理解成：既要成本低，又要匹配效果好，是兼顾了“成本”与“效果”两个方面。


一旦说到Most efficient way to 模拟指数，那一定是Enhanced-indexing，因为Enhanced-indexing，既尽可能地降低了模拟指数的成本，又尽可能地追求Match index，两者都兼顾到了。


而对于Pure indexing来讲，虽然匹配效果最好、最能Match index，但是构建成本太高了，指数里的所有债券都要买入，成本过高，所以不是Most efficient。

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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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