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wukefu · 2025年05月26日

总结一下buffering&packeting的方法

* 问题详情,请 查看题干

NO.PZ202207040100000604

问题如下:

Sapphire Bay Foundation Case Scenario

Edward Cullen advises the board of directors of the Sapphire Bay Foundation (Sapphire) regarding all aspects of the investment portfolio of Sapphire’s endowment fund. Traditionally, Cullen drove the selection of active investment managers for the various asset classes. Despite historically ranking well among peers, several of the managers have performed below the level of their respective benchmarks in the past few years. Cullen’s colleague Paige Stapleton recommends that some passive management should be introduced into Sapphire’s investment mix using pooled investments. They agree to introduce the idea to Sapphire’s board at its next meeting.

At the next board meeting, Cullen begins by introducing passive investing to Sapphire’s board. He states that open-end mutual funds and exchange-traded funds (ETFs) are appropriate approaches. Both alternatives are readily available, offer a broad spectrum of investment choices, and are easy to buy and sell. He makes the following comments comparing the two alternatives.

  1. Both mutual funds and ETFs can be purchased on margin.

  2. Investors can take short positions in ETFs but not in mutual funds.

  3. Both mutual funds and ETFs have the same degree of liquidity.

Stapleton then begins a description of factor-based strategies. These include common equity factors, such as value, size, and quality, and they can be used either in place of or to complement market-cap-weighted indexing. She points out that relative to market-cap weighting, factor-based strategies tend to diversify risk exposures; are transparent in terms of factor selection, weighting, and rebalancing; but can be copied by other investors, which can reduce the advantages of a strategy.

Cullen provides Sapphire’s board with an example comparing the performance of the River Valley Fund, a factor-based fund, with its benchmark portfolio (Exhibit 1). The fund uses benchmark segments of four mutually exclusive sub-categories. Cullen calculates the percentage of River Valley’s excess return that resulted from active factor-weighting decisions.

Exhibit 1

Attribution Data for River Valley Fund and Benchmark


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


For the international portion of the investment portfolio, Stapleton suggests that Sapphire invest in an MSCI EAFE index portfolio specifically tailored for the foundation rather than investing in an existing index fund. Anne Rowland, Sapphire’s board chair, asks her how this could be accomplished, given that the initial allocation is only $15 million. Stapleton suggests that Sapphire hire a manager to purchase a portfolio of securities that are a mutually exclusive yet comprehensive subgroup of the index designed to track the index return and risk characteristics.

Question


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

选项:

A.Reconstitution. B.packeting. C.buffering.

解释:

Solution

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.

看了其他同学的提问和回答。可否总结如下

  1. Buffering的方法会让组合的股票数量 小于或大于或等于 index
  2. Packeting的方法会让组合的股票数量 大于或等于Index
  3. Index 的股数维持不变
  4. portfoilo的组合会变化


这么记忆对吗?

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