标题: Optimization vs. Stratified Sampling. [打印本页] 作者: Muddahudda 时间: 2011-7-11 19:14 标题: Optimization vs. Stratified Sampling.
Guys,
Is this the right understanding:
(a) Statified sampling/Cell matching
1. Starting with index components, match market caps with sector (FI) or market caps with value/growth (EQ) in a 2-axis grid
2. Pick certain representative securities
3. Buy these on the premice that you've replicated factor exposure at a lower cost than pure passive indexing
(b) Optimization:
1. Match index components in a multi-dimensional grid, against a range of factors, in a way that takes into account the covariance between assets.
2. Pick certain representative securities
3. Buy these on the premice that you've achieved a more advanced mimicing of factor exposure at a lower cost than pure passive indexing
Is Optimization, (b) the same as a 'factor model' for alligning risk exposures along the lines of PVD CF, Sector contrib to Duration, Issuer exposure, Secotr/Quality %...etc?
Thanks
APP作者: IAmNeil 时间: 2011-7-11 19:14
Stratified sampling: with fixed income, you're characterizing the portfolio by risk factor - because you want to match the same risk factor exposures as the index. "Risk factors" mean changes to duration, convexity, yield curve twists, spread changes etc. Steps 2 & 3 sound right. The advantage is you've mimicked the index's return and risk profile without having to buy all the bonds.作者: thommo77 时间: 2011-7-11 19:14
