标题: Fixed income benchmark [打印本页] 作者: cjs238 时间: 2011-7-13 13:11 标题: Fixed income benchmark
Hi there,
I am getting increasingly frustrated with the fact that I am reading in some exam answers that enhanced indexing by matching primary risk factors and enhanced indexing by minor risk factor mismatches both aim to match the duration of the index, where as mis-match by larger risk factors is where the duration mis-match is done ....
I have read conflicting answers ..... can anyone clear this up???作者: cityboy 时间: 2011-7-13 13:11
spot on panda.作者: mcmc 时间: 2011-7-13 13:11
all enhance indexing = match portfolio duration
Active management with large mis-match= "Little" deviation of portfolio duration
Full blown active management= "Large" deviation of portfolio duration
