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eyn · 2024年07月23日

RT

  1. CFA I
  2. Equity

NO.PZ2022061307000035

问题如下：

Question For portfolio managers of passive funds, market indexes are least useful as:

选项：

A.proxies to measure systematic risk. B.benchmarks for portfolio performance attribution. C.tools to develop exchange-traded funds for non-accessible markets.

解释：

Solution

B is correct. Market indexes are used as benchmarks for actively managed portfolios, which is not relevant to passively managed funds.

A is incorrect. Market indexes are used as proxies to measure systematic risk. The use is relevant to passively managed funds.

C is incorrect. Market indexes are used as model portfolios to develop new ETFs. The use is relevant to these portfolio managers as some emerging markets are not easily accessible for direct investments.

请老师帮忙详细解释一下题目和答案

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王园圆_品职助教 · 2024年07月23日

同学你好，题目问对于被动投资的基金经理，市场指数在以下哪个情况下最没有用：

以下为原版书相关内容截图

A选项是黄色部分，意思是市场指数——如标普500指数，常常被用作衡量系统性风险的替代——我们实务中经常用标普500指数的风险替代整个市场的系统性风险,因为真正的整个市场的系统性风险理论上需要包含所有投资品种以后计算球的，是不可获得的，所以需要一个替代品

C选项是绿色部分，意思是市场指数可以被很多ETF作为构建的基准，从而使投资者可以获得本来不可得的市场的收益——举例是美国市场最著名的QQQ这支ETF，追踪的就是纳斯达克100指数的表现。如果要购买纳斯达克100指数的所有股票（包含特斯拉，苹果等），那投资者需要大量的本金，而如果购买QQQ，最低只要1000美元甚至更低就可以，投资者通过购买追踪指数的ETF获得了投资这些新型股票的机会

B选项对应的是原版书截图绿色上面那一条，因为题目最开始就说了是“ portfolio managers of passive funds”被动投资的基金经理而非主动投资基金经理，而原版书强调了market index是针对主动投资基金才可以做benchmark的，所以B的说法就是错误的

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