老师你好,这道题的第二个表述不太理解。
构建被动的投资组合,要match index,在match时可能会发生stock migration的问题,那么用buffering的方法可以减少不必要的交易,但是这里面说index的可投资性更好,我理解可投资性是没有太多的限制,感觉这个词和表述没直接关联呢
maggie_品职助教 · 2020年11月05日
嗨,从没放弃的小努力你好:
这个buffering是用在index的构建当中,不是组合的构建。由于指数构建商可以采用“buffering”,index在每次调整成分时可以降低turnover来减少交易费用,这样的构建的index更加具有可投资性即被动投资者可以更好地复制。请看下原版书对这个问题的描述:
Index providers have taken steps to make their indexes more investable. One key decision concerns when individual stocks will migrate from one index to another. As a stock increases in market capitalization (market cap) over time, it might move from small-cap to mid-cap to large-cap status. Some index providers have adopted policies intended to limit stock migration problems and keep trading costs low for investors who replicate indexes. Among these policies are buffering and packeting.
-------------------------------虽然现在很辛苦,但努力过的感觉真的很好,加油!