NO.PZ2023010903000031
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.
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.
可是reconstitution的频率 以及 number of holdings对于tracking error的影响是一体两面的。
1.reconstitution frequency， 调仓越频繁，和benchmark越像，tracking error更小，但是调仓越频繁同时也会带来成本，成本越高，tracking error又会更大，所以不知道怎样判断
2.number of holding也是一样，数量越多，跟踪benchmark越好，tracking error越小，但是数量越多交易成本也越高，导致tracking error变大，所以不知道怎样判断
