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luojy · 2024年05月20日

怎样区分portfolio 2和portfolio 3 谁是pure index, 谁是enhanced indexing?

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.

portfolio 3 的KRD和benchmark是完全一样的,为什么不可以是pure index呢?

怎样区分portfolio 2和portfolio 3 谁是pure index, 谁是enhanced indexing?

1 个答案
已采纳答案

pzqa31 · 2024年05月21日

嗨,从没放弃的小努力你好:


三种方法的区别如下:

pure index与enhanced index方法的KRD应该与benchmark完全一致,区别是pure index除了KRD外,其他risk factor如quality、sector、country exposure也应一致,而enhanced index这几个factor不能一致。Active方法的KRD、quality、sector或者country exposure应该与benchmark完全不同。同时,在turnover上,pure indexing<enhanced indexing<active management。

本题从KRD来判断,只有portfolio 3与benchmark一样,portfolio3除了KRD其他指标均与benchmark不一样,所以portfolio 3应该是enhanced indexing。

Portfolio 1所有指标均与benchmark有偏离,所以portfolio1应该是active management。

Portfolio 2从turnover指标来看,应该算是pure indexing,但是其余factor并没有与benchmark完全一致,所以,说portfolio2是pure indexing有点牵强。

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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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