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- 2011-7-2
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15#
发表于 2011-7-13 15:02
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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 |
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