陳同學(xué)
2021-10-23 20:04老師，equity以下這兩點(diǎn)我很混淆：對(duì)于full replication來(lái)說(shuō)，a large number of constituents會(huì)增大index的tracking error. 但是對(duì)于active share來(lái)說(shuō)，the portfolio with the fewer securities and therefore higher degree of concentration in positions will have a higher level of Active Share，同時(shí)也會(huì)增大active risk。我覺(jué)得這兩點(diǎn)很矛盾。 Full replication ：An index that contains a large number of constituents will tend to create higher tracking error than one with fewer constituents. The manager will naturally first purchase the largest, most liquid, lowest cost stocks. But as more stocks are added and the portfolio approaches full replication, the added stocks will be less liquid, increasing the effect of transaction costs on tracking error. 1) Comparison of active share If two portfolios with the same benchmark invest only in benchmark securities, the portfolio with the fewer securities and therefore higher degree of concentration in positions will have a higher level of Active Share.
所屬：CFA Level III > Equity Portfolio Management 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
Nicholas助教
2021-10-25 20:27
該回答已被題主采納
同學(xué)，晚上好。
這個(gè)是兩件事，不用混同思考。
我們說(shuō)完全復(fù)制策略是被動(dòng)策略中的構(gòu)建組合方法，我們選擇該策略的前提是資金量大，指數(shù)中的成分流動(dòng)性較好。如果是在構(gòu)建的過(guò)程中成分較多，流動(dòng)性不好，則交易成本較高，和指數(shù)的偏離也就越大，那么跟蹤誤差比較高。
而在討論主動(dòng)份額的時(shí)候，這里的描述是說(shuō)兩個(gè)基于基準(zhǔn)的組合，集中度更高的有更高的主動(dòng)份額，因?yàn)楹突鶞?zhǔn)偏差的成分權(quán)重是更大的。我們通常是在主動(dòng)投資中說(shuō)這個(gè)問(wèn)題。
請(qǐng)【點(diǎn)贊】喲~。相信同學(xué)能夠順利通過(guò)考試，我們一起加油~
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