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林夕言 · 2020年01月27日

问一道题:NO.PZ2019103001000023

问题如下:

Compton notes that SD&R generally uses actively managed portfolios designed to earn a return in excess of the benchmark portfolio. For clients interested in passive exposure to fixed-income instruments, SD&R offers two additional approaches.

Approach 1:Seeks to fully replicate the Bloomberg Barclays US Aggregate Bond Index

Approach 2:Follows an enhanced indexing process for a subset of the bonds included in the Bloomberg Barclays US Aggregate Bond Index. Approach 2 may also be customized to reflect client preferences

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

选项:

A.

minimizes tracking error

B.

requires less risk analysis.

C.

is more appropriate for socially responsible investors.

解释:

C is correct.

Enhanced indexing is especially useful for investors who consider environmental, social or other factors when selecting a fixed-income portfolio. Environmental, social, and corporate governance (ESG) investing, also called socially responsible investing, refers to the explicit inclusion or exclusion of some sectors, which is more appropriate for an enhanced index strategy relative to a full index replication strategy. In particular, Approach 2 may be customized to reflect client preferences.

能说一下C为什么对么?

1 个答案

发亮_品职助教 · 2020年02月03日

嗨,努力学习的PZer你好:


“能说一下C为什么对么?”


这道题Approach 1是Fully-replication(Pure-indexing)的方法,Approach 2是Enhanced-indexing的方法。

然后题目问,和Approach 1比起来,Approach 2的优点是啥?所以这道题考察的是Enhanced-indexing的优点。

可以参考讲义Part 1第155页,下图画框部分:


这道题C选项说,Enhanced-indexing更加适合more appropriate for socially responsible investors,也就是更加适合ESG投资(Environment、Social Responsibility、Corporate Governance)。

 

这是因为,Enhanced-indexing,是一种抽样模拟的方法,在抽样的时候,我们可以把ESG问题直接考虑进去,例如,我们先把Index中那些不满足ESG要求的企业债券排除掉,例如将高污染行业发行的债券先剔除掉,然后再进行抽样模拟指数。这样对于Enhanced-indexing,就既能考虑到ESG的问题,又能尽可能地模拟指数。所以C正确。

相比而言,对于Pure indexing,我们要完全模拟指数,指数中有啥,我们就要买啥,哪怕指数中有高污染行业发行的债券,我们也要买,所以如果我们有ESG的考虑因素,就不能使用Pure-indexing。


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