MSCI EAFE

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NO.PZ201809170400000203

问题如下：

Based on Exhibit 1 and assuming a full-replication indexing approach, the tracking error is expected to be highest for:

选项：

XIU.

SPY.

EFA.

解释：

C is correct. An index that contains a large number of constituents will tend to create higher tracking error than one with fewer constituents. Based on the number of constituents in the three indexes (S&P/TSX 60 has 60, S&P 500 has 506, and MSCI EAFE has 933), EFA (the MSCI EAFE ETF) is expected to have the highest tracking error. Higher expense ratios (XIU: 0.18%; SPY: 0.10%; and EFA: 0.33%) also contribute to lower excess returns and higher tracking error, which implies that EFA has the highest expected tracking error.

成分股数量是933吗？题目给的是组合的股数吧，指数的成分股数量没有给

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笛子_品职助教 · 2023年11月17日

嗨，努力学习的PZer你好：

成分股数量是933吗？题目给的是组合的股数吧，指数的成分股数量没有给

Hello，亲爱的同学~

我们看933是Number of constitutes。

这里Number of constitutes，翻译成中文是：成份股票的数量。

举例来说，标准普尔500指数，成份股票的数量是500只个股。

因此，成分股数量就是933。题目给的不是组合的股数，给的就是成份股数量。

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NO.PZ201809170400000203问题如下 Baseon Exhibit 1 anassuming a full-replication inxing approach, the tracking error is expecteto highest for: XIU. SPY. EFA. C is correct. inx thcontains a large number of constituents will tento create higher tracking error thone with fewer constituents. Baseon the number of constituents in the three inxes (S&P/TSX 60 h60, S&P 500 h506, anMSEAFE h933), EFA (the MSEAFE ETF) is expecteto have the highest tracking error. Higher expense ratios (XIU: 0.18%; SPY: 0.10%; anEFA: 0.33%) also contribute to lower excess returns anhigher tracking error, which implies thEFA hthe highest expectetracking error. 有助教回答说是这道题应该从指数的角度出发，指数里包含的股票越多越难复制，但是另一个助教回答说这是指fun股，s p500里不可能是506只股票，所以到底该从哪个角度理解呢，还是没搞明白，谢谢

2023-12-10 19:03 3 · 回答

NO.PZ201809170400000203 SPY. EF C is correct. inx thcontains a large number of constituents will tento create higher tracking error thone with fewer constituents. Baseon the number of constituents in the three inxes (S&P/TSX 60 h60, S&P 500 h506, anMSEAFE h933), EFA (the MSEAFE ETF) is expecteto have the highest tracking error. Higher expense ratios (XIU: 0.18%; SPY: 0.10%; anEF0.33%) also contribute to lower excess returns anhigher tracking error, whiimplies thEFA hthe highest expectetracking error. 看了老师的解答可以归纳为以下两个角度嘛？1.站在portfolio角度出发，股票数量越小，tracking error越大；2.站在inx角度，股票数量越多，越难被portfolio 复制，tracking error越大

2021-07-31 01:44 1 · 回答

expense ratio指的是什么？为什么higher expense ratio tracming error大？

2019-04-22 13:00 1 · 回答

讲义75页写的是，追踪的股票数量越大，tracing erro越低。上一个提问里助教说这道题指的是跟踪的股票数量越大，越难以复制。可是考试时如何判断考的是哪种类型呢？感觉两种说法都对

2019-04-20 20:15 1 · 回答

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