security lending

问题如下：

Mives asks Sorrill to describe how ETF performance is measured. Sorrill explains that most ETFs are designed to track the performance of a specific benchmark index, such as the S&P 500 Index. Sorrill cautions, however, that there are numerous sources of tracking error that may cause a deviation in an ETF’s return relative to its benchmark index. Sorrill provides an example, stating that one of the sources of tracking error is an ETF portfolio manager’s operations with short sellers.

In describing tracking error, Sorrill’s example most likely relates to:

选项：

A.

trading costs.

B.

full replication.

C.

securities lending.

解释：

Sorrill’s description of ETF tracking error includes a reference to securities lending by the ETF portfolio manager. Many ETF portfolio managers lend a portion of their portfolio holdings to short sellers. Securities lending provides income for an ETF that offsets a portion of an ETF’s administrative expenses.

A is incorrect. Trading costs are a source of tracking error but are not caused by operations with short sellers.

B is incorrect. Replication (lack of full replication) is a source of tracking error but is not caused by operations with short sellers.