NO.PZ2019012201000070
问题如下：
For the large-cap US equity portion of Sapphire’s investment portfolio, Cullen believes that there are some existing passive indexed-based funds that track the S&P 500 Index that the foundation should consider. Cullen presents Exhibit 2 to Sapphire’s board.Exhibit 2 S&P 500 Index Funds
Based on Exhibit 2, the portfolio manager most likely to have the largest tracking error is:
选项：
A.Manager A
Manager C
Manager B
解释：
Tracking error
indicates how closely the portfolio behaves like its benchmark and measures a
manager’s ability to replicate the benchmark return. Manager C is most likely
to have the largest tracking error for three reasons:
l The portfolio contains a smaller number of the index holdings than
the other two portfolios, resulting in a lower level of replication.
l Dividends are reinvested the day following receipt rather than the
same day, which would cause cash drag relative to Manager B.
l The portfolio is reconstituted less frequently than the other two
portfolios.
Although Manager C
has a slightly lower management fee, which would result in a lower tracking
error, the benefit is unlikely to offset the combined higher tracking error
related to the other portfolio characteristics.
A and C are
incorrect.
几个点想明确一下：
- Manager B 的 portfolio有504支股票，manager A 的portfolio有498支股票，S&P 500 index中是500只股票，那么manger A和index更接近还是manager B和index更接近
- manager C 调仓频率比较低，那么有两个角度，一方面调仓频率低会导致长时间不调仓和index差异较大，增加tracking error, 但是另一方面，调仓频率低，对应调仓成本也低，这方面是降低tracking error.所以这里我无法判定调仓频率对于tracking error的最终影响是怎样的
