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dilly24 · 2024年06月19日

这道题是只考虑index中的股票数量吗？

  1. CFA III
  2. Equity

NO.PZ2019012201000050

问题如下：

Winthrop and Tong agree that only the existing equity investments need to be liquidated. Tong suggests that, as an alternative to direct equity investments, the new equity portfolio be composed of the exchange-traded funds (ETFs) shown in Exhibit 1.

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

选项：

A.

XIU

B.

SPY

C.

EFA

解释：

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.

如题，这道题是只看inde中的股票数量吗？股票数量最多的，做被动投资的tracking error最大？

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1 个答案

笛子_品职助教 · 2024年06月19日

嗨，努力学习的PZer你好：


如题，这道题是只看inde中的股票数量吗？股票数量最多的，做被动投资的tracking error最大？

Hello，亲爱的同学~

这题已经明确使用full-replication indexing approach。

benchmark的股票数量越多，对于full-replication indexing approach来说，越难复制，tracking error越大。

同学这一点理解正确。

此外，费用也会影响tracking error。费用越高，tracking error越大。

从这两方面看，无论是benchmark数量还是费用，都说明EFA的trakcing error最大。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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