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Viva · 2019年12月29日

问一道题：NO.PZ2019012201000050

  1. CFA III
  2. Equity

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.

从expense的角度可以理解，从个数的角度，怎么看C总体有多少个股票？从而怎么影响TE？A、B题目中可以看出全部复制是多少个股票。

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1 个答案

maggie_品职助教 · 2020年01月01日

因为我们要做的是full-replication indexing approach，只有全买才是完全复制，那么指数包含的股票数量越大，全买的难度就越大（因为很多股票流动性很差），因此跟踪误差就会越大。

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