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yj2640 · 2024年07月01日

buffer/packet股票数量问题

  1. CFA III
  2. Equity

NO.PZ2023010903000014

问题如下：

For the large-cap US equity portion of Sapphire’s investment portfolio, Cullen believes that there are some existing passive indexed-based funds that track the S&P 500 Index that the foundation should consider. Cullen presents Exhibit 2 to Sapphire’s board.

Exhibit 2 S&P 500 Index Funds

as an indexing technique, the number of holdings in Manager B’s index least likely illustrates:

选项：

A.

reconstituting

B.

packeting

C.

buffering

解释：

Reconstitution involves deleting names that are no longer in the index and adding names that have been approved as new index members. Therefore the holdings of the fund should always be 500.

请问为什么“packeting：portfolio股票数量大于等于benchmark，不会小于benchmark。

buffering：portfolio股票数量，可以大于、等于、小于benchmark”？

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笛子_品职助教 · 2024年07月01日

嗨，努力学习的PZer你好：


例如，index调进来一个股票，portfolio因为buffer，没调进来。于是porfolio就会比benchmark少股票。

反之：index调出一个股票，portfolio因为buffer，没调出。于是porfolio就会比benchmark多股票。

这就使：buffering：portfolio股票数量，可以大于、等于、小于benchmark


而packeting是分拆。

index调进来1指股票，10000股。

portfolio也调进来1指股票，但指调入1000股。

无论调入10000股，还是调出1000股，都是调入1只股票。


反之，index调出1只股票，10000股。完全去掉了这只股票。

portfolio也调出1指股票，调出1000股，还保留了9000股。

既然保留了9000股，那么这也算1只股票。

这就使：packeting：portfolio股票数量大于等于benchmark，不会小于benchmark。

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