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Aliciaguo · 2020年02月11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

请问老师B为什么错了？

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发亮_品职助教 · 2020年02月12日

嗨，努力学习的PZer你好：


Approach 1是Fully-replication（Pure indexing）的方法。这种方面模拟指数的特点就是：完美模拟。

指数中有啥，我们的Portfolio就要买啥，且Portfolio的配比、权重要和指数一样。指数经过什么样的调仓，我们的Portfolio就要跟着做，所以他追求的是完美模拟指数。

Approach 2的方法是Enhanced-indexing的方法，他的特点就是抽样模拟指数。对指数进行分层抽样，只需要买入指数中的一部分标的债券，这样就是模拟指数的主要指标，忽略次要指标。

因为指数中的一些标的债券交易量小、流动性差，所以我们在构建Portfolio时，如果选用Pure indexing的方法，也要买入这样的债券，所以Pure indexing的方法构建Portfolio会花费很高的成本；

而Enhanced-indexing的方法，就避免了买这一类债券，因为分层抽样，可以避免购买这一类Thinly traded，交易小、流动性差的债券，这样可以大大降低模拟指数的成本。

题目问Approach 1（Pure indexing），相对于Approach 2（Enhanced-indexing）的优势是啥？

选项B说：Pure indexing避免了购买Thinly traded的债券，他刚好说反了

Pure indexing是完美模拟，指数中的债券都买，而Enhanced-indexing是抽样模拟，可以避免这一类Thinly traded的债券。


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