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- 222284
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- 304
- 主题
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- 注册时间
- 2011-7-2
- 最后登录
- 2016-4-19
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First Remember : properties of a valid benchmark are : Unambiguous, appropriate, investable, owned, reflective of current investment opinion, specified in advance, measurable .
TYPES:
Absolute - are not investable.
Managers universes: not Measurable ( Remember M for M)
Broad Market Indexes:they are investable, measurable , and may be specified in advance. May be acceptable as a benchmark if manager selects securities similar to the benchmark. However, sometimes the manager's style may deviate from the style reflected in the market index.
Style Indexes- some style indexes may weight securities and economic sectors much larger than what managers may consider prudent.
Factor Model Based- good because they capture systematic source of return. However, managers rarely think in terms of factor of exposure. Also, They are ambiguous: can build many benchmarks with same factor exposure and each one will have a different return.
Returns- Based. Good when only available information is returns. Disadvantages ( like style indexes), may weight securities and economic sectors much larger than what managers may consider prudent. ANd require many months of observation.
Custom Security Based: meets all of the benchmark validity criteria. BUT expensive to construct and maintain + not composed of published indexes - lack of transparency. |
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发表于 2011-7-11 19:57
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