reconstituting、packeting、buffering区别

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：

reconstituting

packeting

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.

portfolio跟踪benchmark的3种办法：reconstituting、packeting、buffering，具体区别是什么？

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笛子_品职助教 · 2024年08月14日

嗨，爱思考的PZer你好：

Hello，亲爱的同学~

reconstituting是指portfolio完全跟随benchmark的调仓动作，benchmark买入什么股票，portfolio也买入什么股票。

packeting是指portfolio在跟随benchmark的调仓动作时，把股票分割成很多份，每次只买卖一点。例如benchmark买入A股票10000股，portfolio只买入A股票1000股。

buffering是指portfolio在跟随benchmark调仓动作时，只对变动大的部分进行调仓。例如标准普尔500指数，包括了500只市值最大的股票，当某个股票从501名，上升到500名，benchmark就会买入这只股票。而portfolio认为，只是从501名上升到500名，这个上升幅度太小，下一步可能还会跌出500名之外，因此portfolio此时不做调仓动作。

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reconstituting、packeting、buffering区别

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