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yan · 2025年01月06日

跟踪误差最大，为什么是luck而不是skill?

  1. CFA III
  2. Equity

* 问题详情，请 查看题干

NO.PZ202207040100001002

问题如下：

Which of Parker’s statements about Manager B in Exhibit 1 is most appropriate? The statement about:

选项：

A.tracking errors.

B.excess return.

C.currency overlays.

解释：

Solution

B is correct. The comment about excess return being luck rather than skill is correct. Replication managers attempt to create a portfolio that tracks the performance and the volatility of the underlying index as closely as possible. The proper measure of skill is the tracking error: Manager B has the highest tracking error among the three managers.

A is incorrect. Tracking error does not measure volatility of the portfolio; rather, it measures the volatility of the excess return between the index and the portfolio.

C is incorrect. A currency overlay assists a portfolio manager in hedging (not levering) the returns of securities that are held in foreign currency back to the home country’s currency.

中文解析：

本题考查的是构建组合的方法：stratified sampling。

从表格的数据可以看出manager B使用的是分层抽样的方法构建组合。分层抽样的方法是选择一部分基准指数中的股票，目标是产生尽可能接近基准指数的收益和风险特征。

对于index fund manager，尽可能低的tracking error同时避免负的excess return是投资者的主要要求，也是衡量管理人skill的重要指标。manager B的tracking error比较大，说明管理人的投资能力（skill）一般，其excess return比较高并不是管理人投资能力的体现，更大可能是运气好，选项B正确。

tracking error计算的是组合收益和benchmark收益之间差异的标准差，衡量的是基金管理人复制benchmark收益特征的能力，并不能说明组合本身的波动率大小，选项A错误。

C选项Lever是杠杆的意思，所以题干的意思是基金经理给利用currency overlay策略可以增加组合中的投资收益。currency overlay：在投资全球市场时为了降低外汇风险，我们可以使用外汇互换等衍生产品来对冲风险。题干的第二小点就错在使用currency overlay目的是对冲，而非levering，即hedging return, not levering return。

跟踪误差最大，为什么是luck而不是skill?另外，为啥C不对，没看懂

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1 个答案

笛子_品职助教 · 2025年01月07日

嗨，从没放弃的小努力你好：


跟踪误差最大，为什么是luck而不是skill?

Hello，亲爱的同学~

同学注意，fund的类型，是Equity Replication Managers。被动跟踪指数的基金经理。

而我们所说的skill，是指主动基金经理，战胜基准的技巧。

被动基金经理并不追求主动战胜指数，因此也不存在skill的问题。

如果被动基金经理的表现比benchmark要更好，那么只能是Lucy好。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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