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粉红豹 · 2020年01月08日

问一道题：NO.PZ201812020100000402

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

问题如下：

Relative to Approach 2 of gaining passive exposure, an advantage of Approach 1 is that it:

选项：

A.

reduces the need for frequent rebalancing.

B.

limits the need to purchase bonds that are thinly traded.

C.

provides a higher degree of portfolio risk diversification.

解释：

C is correct.

Approach 1 is a full replication approach, whereas Approach 2 follows an enhanced indexing strategy. Both full replication and enhanced indexing can be used to establish a passive exposure to the bond market. Under full replication, the manager buys or sells bonds when there are changes to the index. The larger number of index constituents associated with full replication provides a higher degree of risk diversification compared with an enhanced indexing strategy

老师，A选项不对吗？

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1 个答案

发亮_品职助教 · 2020年01月09日

嗨，从没放弃的小努力你好：


Approach 1是Full replication；Approach 2是Enhanced indexing

如果说仅仅是Gaining passive exposure，或者是Track/Mimic 指数，那Enhanced indexing的Rebalancing一定比Full replication少。

目的是出于被动模拟指数，Enhanced indexing是采用抽样模拟的方法，只要Match住Index的主要特征就行。

而对于Pure indexing，是采用完美模拟的形式，完全复刻指数的样子。

当指数发生调整时，Pure indexing一定要Rebalancing；

但是Enhanced indexing方法不一定要调，只要不影响到指数的主要参数、或者调整的债券我们Portfolio里没有涉及，那我们的Portfolio就不需要调，因为我们的Portfolio就是利用抽样方法Match指数的主要参数。

Enhanced indexing可以认为是介于Full replication和Active investing中间地带的投资方式，他有一定的Range。

当Enhanced indexing，偏离Full replication更近一些，说明Enhanced indexing就是获得被动投资，没有主动的成份在，所以Rebalancing的程度一定小于Full replication。因为Full replication和指数的频度一样，Enhanced小于指数。

当Enhanced indexing，离Active investing更近一些，说明除了有被动部分，Enhanced indexing还有主动的管理在，主动管理的部分就引入了频繁的调仓，所以比Full replication的Rebalancing更多；但是又比Active更少。

我们这道题，因为他说了目的是Gaining passive exposure/Track/Mimic 指数，那和Full replication相比，Enhanced indexing的优势之一就是Rebalancing更低。

在Reading 18有一个总结，Enhanced indexing有Active的成份在，所以Enhanced indexing的Turnover（Rebalancing）更高；

但是只有被动模拟指数时，Enhanced indexing的Rebalancing又更少，这点是Reading 19的出发点。


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