标题: minor or larger risk factor mismatches [打印本页] 作者: adehbone 时间: 2011-7-11 19:41 标题: minor or larger risk factor mismatches
Schweser says the correct answer is indexing by minor risk factor mismatching, but I think it should be active management by larger risk factor mismatches since duration can be changed. Any thoughts?
"For the fixed income portion of the portfolio, Mendoza, with the approval of Thompson, has established the Salomon Brothers Broad Investment Grade Index (BIG) as the return benchmark. Mendoza will typically seek to keep the portfolio’s duration equal to that of the index. However, when market conditions warrant, the portfolio composition will be allowed to deviate slightly from the index from time to time in order to capitalize on short-term opportunities. In specific, Mendoza is authorized to alter the portfolio duration, within a specified range, to take advantage of any anticipated rate shifts. Because deviations from the index have the potential to lead to increased exposure to tracking risk, the portfolio is expected to outperform the index by 50 basis points, less management and transaction fees."作者: liangfeng 时间: 2011-7-11 19:41
I agree. CfaPass Maybe you're forgetting primary factors comes after pure passive, and before small factor mis-match? Beyond that you're into true active territory, and the word 'slightly' is enough to say to me that this is a passive stragegy.
