标题: enhanced indexing vs stratified sampling [打印本页] 作者: cfalevel2011 时间: 2011-7-13 15:00 标题: enhanced indexing vs stratified sampling
What is the difference between the two?
Enhanced indexing approach?
Indexing approach with stratified sampling?
Edited 1 time(s). Last edit at Wednesday, June 1, 2011 at 01:23AM by jinstudy.作者: cityboy 时间: 2011-7-13 15:00
as per my undertsanding, Stratified Sampling is one of the way to implement Ehanced indexing作者: Windjammer 时间: 2011-7-13 15:00
Vol 4 - Reading 33 Equity Portfolio management
3 approaches to equity management: Passive (Indexing), Active, and Semi-active (Enhanced Indexing).
Enhanced Indexing is variant of active investing but portfolio manager worries more about tracking risk. It frequently offers highest IR.
Within Passive (Indexing) approach 3 methods: Full replication, Stratified Sampling, Optimization. Full replication has lowest tracking risk but highest cost, Optimization has highest tracking risk, and Stratified Sampling is in between. It works best when Index has >1000 stocks and full replication becomes costly.
In the problem above, Hayes is concerned about tracking risk and wants to maximize IR which is best done by Enhanced Indexing.作者: liangfeng 时间: 2011-7-13 15:00
Enhanced indexing maximises the information ratio.作者: NakedPuts2011 时间: 2011-7-13 15:00
Stratified sampling is a method to replicate an index i.e passive managment.
Enhanced indexing is not passive作者: zwjy 时间: 2011-7-13 15:01
S- Sampling is a method to smartly replicate an index.
Enhanced indexing is an active form of indexing wherein an investor slightly tilts the various parameters of the portfolio w-r-t the benchmark. However, it is ensured that the duration of the portfolio remain equated with the duration of the benchmark index.
so S sampling is just a way to effeciently replicate a benchmark index.
whereas
E indexing is a strategy of exploiting miniature ineffeciency together with matching the durations of portfolio and benchmark index.作者: lcw77 时间: 2011-7-13 15:01
sampling is not even a relevant option that answer the question.作者: former 时间: 2011-7-13 15:01
ITS NOT SAMPLING WHAT I HAVE MENTIONED ITS S SAMPLING. STRATIFIED SAMPLING KKKK ??? oAL??????作者: Windjammer 时间: 2011-7-13 15:01
FINE OAL29???? ITSS S. SAMPLING FROM WHCIH I MEANT STratified sampling only my dearest friend.... i never mentioned sampling i said s sampling from which i meant stratified sampling only
fine dear oal29?????????作者: lcw77 时间: 2011-7-13 15:01
lol - feeling a little high strung vikas? Hang in there. 3 days.作者: justin88 时间: 2011-7-13 15:01
hdave5 Wrote:
-------------------------------------------------------
> Vol 4 - Reading 33 Equity Portfolio management
> 3 approaches to equity management: Passive
> (Indexing), Active, and Semi-active (Enhanced
> Indexing).
>
> Enhanced Indexing is variant of active investing
> but portfolio manager worries more about tracking
> risk. It frequently offers highest IR.
>
> Within Passive (Indexing) approach 3 methods: Full
> replication, Stratified Sampling, Optimization.
> Full replication has lowest tracking risk but
> highest cost, Optimization has highest tracking
> risk, and Stratified Sampling is in between. It
> works best when Index has >1000 stocks and full
> replication becomes costly.
>
> In the problem above, Hayes is concerned about
> tracking risk and wants to maximize IR which is
> best done by Enhanced Indexing.
hdave, 'Optimization has highest tracking risk, and Stratified Sampling is in between'
I remember i saw on notes somewhere optimization has less tracking error than s sampling?作者: Analyze_This 时间: 2011-7-13 15:01
Enhanced Index highest IR. Right from the book.作者: canadiananalyst 时间: 2011-7-13 15:01
hdave5 Wrote:
-------------------------------------------------------
> Vol 4 - Reading 33 Equity Portfolio management
> 3 approaches to equity management: Passive
> (Indexing), Active, and Semi-active (Enhanced
> Indexing).
>
> Enhanced Indexing is variant of active investing
> but portfolio manager worries more about tracking
> risk. It frequently offers highest IR.
>
> Within Passive (Indexing) approach 3 methods: Full
> replication, Stratified Sampling, Optimization.
> Full replication has lowest tracking risk but
> highest cost, Optimization has highest tracking
> risk, and Stratified Sampling is in between. It
> works best when Index has >1000 stocks and full
> replication becomes costly.
>
> In the problem above, Hayes is concerned about
> tracking risk and wants to maximize IR which is
> best done by Enhanced Indexing.
Although Optimization should lead to lower tracking risk than stratified sampling since it uses factor models to match factor exposures of the an index. Can someone confirm?作者: mp3bu 时间: 2011-7-13 15:01
It does but it has to be rebalanced because the factor sensitivities change over time.
NO EXCUSES作者: ohai 时间: 2011-7-13 15:02
daveydog Wrote:
-------------------------------------------------------
> hdave5 Wrote:
> --------------------------------------------------
> -----
> > Vol 4 - Reading 33 Equity Portfolio management
> > 3 approaches to equity management: Passive
> > (Indexing), Active, and Semi-active (Enhanced
> > Indexing).
> >
> > Enhanced Indexing is variant of active
> investing
> > but portfolio manager worries more about
> tracking
> > risk. It frequently offers highest IR.
> >
> > Within Passive (Indexing) approach 3 methods:
> Full
> > replication, Stratified Sampling, Optimization.
> > Full replication has lowest tracking risk but
> > highest cost, Optimization has highest tracking
> > risk, and Stratified Sampling is in between. It
> > works best when Index has >1000 stocks and full
> > replication becomes costly.
> >
> > In the problem above, Hayes is concerned about
> > tracking risk and wants to maximize IR which is
> > best done by Enhanced Indexing.
>
>
> Although Optimization should lead to lower
> tracking risk than stratified sampling since it
> uses factor models to match factor exposures of
> the an index. Can someone confirm?
Yes, notes saying:
regardless of its limitations, an optimization approach leads to lower tracking risk than
a stratified sampling approach. this is particularly true when optimization is combined
with replication. In this case, a few of the largest securities are purchased and the rest of
the securities in the index are mimicked using an optimization approach作者: Iginla2011 时间: 2011-7-13 15:02
vikas5871 Wrote:
-------------------------------------------------------
> FINE OAL29???? ITSS S. SAMPLING FROM WHCIH I MEANT
> STratified sampling only my dearest friend.... i
> never mentioned sampling i said s sampling from
> which i meant stratified sampling only
>
>
> fine dear oal29?????????
here have another red bull buddy .......your energy seems to be waning
