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Zhj006 · 2025年04月07日

TE

NO.PZ2023040601000131

问题如下:

For a typical ETF, which of the following sources of tracking error is most likely to be the smallest contributor to tracking error?

选项:

A.

Representative sampling

B.

Fees and expenses incurred by the ETF

C.

Changes to the underlying index securities

解释:

C is correct. Although additions and deletions of securities from the underlying benchmark index may occur and result in tracking error, such index changes generally occur infrequently (often quarterly). In addition, ETF portfolio managers may work with APs for index rebalance trades to ensure market-on-close pricing to minimize this source of tracking error. Therefore, the resulting tracking error caused by index changes will not likely be as large as the tracking error caused by representative sampling or by fees and expenses incurred by the ETF.

Representative sampling 怎么影响TE?

1 个答案

品职助教_七七 · 2025年04月07日

嗨,从没放弃的小努力你好:


Representative sampling是部分抽样,并不包括总体里全部的证券。会导致TE。抽的样本越少,理论上TE就越大。

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努力的时光都是限量版,加油!

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