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.Exhibit 2 S&P 500 Index Funds
Based on Exhibit 2, the portfolio manager most likely to have the largest tracking error is:
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.
借着这个题的解析提个问题，低tracking error，是要构成portfolio的股票数越多，还是要构成portfolio的股票数与构成index的股票数越接近。举个例子，index有500只股票构成，portfolio A有490只股票构成，portfolio B有505只股票构成，这种情况下哪种portfolio的tracking error更低。 此时，portfolio B按说会过拟合吧
