标题: Time horizon risk and tracking portfolio [打印本页] 作者: Elliotbay 时间: 2013-4-1 12:59 标题: Time horizon risk and tracking portfolio
CFA text: time horizon risk is spread betwwn 30 year T-bond and 3 month T-bill , say 200 BP, so does it mean the longer the investment period, the higher the time horizon risk?
so for example, I’m risk adverse, I need YTM for 10 year T-bond to be 200 BP, but for short term bond, I can ask for 20 bp, so the difference between 200 bp and 20 bp is tome horizon risk?
is beta sensitivity in tracking portfolio all equals to 1, say E(R)=b1X1+B2X2+B3X3, b1,b2, b3 are beta, does all bata=1 in tracking portfolio?作者: tango_gs 时间: 2013-4-1 13:00
not sure about time horizon risk.
A tracking portfolio is a portfolio with the same sensitivity to certain factors as the benchmark you are comparing it too. Doesn’t have to be one, just as sensitive as the benchmark.
A factor portfolio has a sensitivity of 1 for 1 factor and 0 exposure to all others.
