老师，ips 2013 q8 a问题：duration matiching是不是被默认为classical immunization. 而cash flow matching是immunization中最简单的方式，但不是最classical的？

为啥杠增加数学return降低几何return

为什么systematic下没有factor timing

这个IR=IC blabla的是用来看factor weighting还是alpha skills还是position sizing的能力，还是都看的？

固收真题2015年Q3 D问 mean-reversion analysis还考吗？公式要记吗

老师，是不是Single liability uses Macauly duration就够了，不需要用modified duration?

pair trading和active factor based里面的hedged portfolio一样吗？如果不一样，那hedged portfolio指什么。 为什么pair trading有两个alpha，不是一个long一盒short吗

真题FIXED INCOME 2016Q1 D问， Trade1：我可以写callable bond的duration小。buy non-callbale，sell callable 可以increase duration吗？ 我没提convexity可以吗

老师，equity以下这两点我很混淆：对于full replication来说，a large number of constituents会增大index的tracking error. 但是对于active share来说，the portfolio with the fewer securities and therefore higher degree of concentration in positions will have a higher level of Active Share，同时也会增大active risk。我觉得这两点很矛盾。 Full replication ：An index that contains a large number of constituents will tend to create higher tracking error than one with fewer constituents. The manager will naturally first purchase the largest, most liquid, lowest cost stocks. But as more stocks are added and the portfolio approaches full replication, the added stocks will be less liquid, increasing the effect of transaction costs on tracking error. 1) Comparison of active share If two portfolios with the same benchmark invest only in benchmark securities, the portfolio with the fewer securities and therefore higher degree of concentration in positions will have a higher level of Active Share.

老师，我之前问过一个问题，2016 q2笔答题这道题：all else holding equal 就convexity来说，fixed rate bond的convexity和floating rate bond的convexity哪一个更大？回答是.固定利率债券的convexity更大。第一，我想追问一下为什么？第二是，我之前在基础课或是讲义上（具体不记得了）记得上课讲过floating rate bond的convexity是大于fixed rate bond的convexity的，所以现在很混淆，想澄清一下。