enhanced indexing vs stratified sampling 2011, difference, between

cfalevel2011

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.

cityboy

as per my undertsanding, Stratified Sampling is one of the way to implement Ehanced indexing

Windjammer

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.

liangfeng

Enhanced indexing maximises the information ratio.

NakedPuts2011

Stratified sampling is a method to replicate an index i.e passive managment.

Enhanced indexing is not passive

zwjy

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.

lcw77

sampling is not even a relevant option that answer the question.

former

ITS NOT SAMPLING WHAT I HAVE MENTIONED ITS S SAMPLING. STRATIFIED SAMPLING KKKK ??? oAL??????

Windjammer

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?????????

lcw77

lol - feeling a little high strung vikas? Hang in there. 3 days.