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.
导致tracking errror原因包括有1.fees charged 2.number of securities
1.如果一个半年rebalance 一个每季度 相比之下每季度cost 会高啊 为什么说每季度rebalance tracking error 低呢？如果说rebalance会让portfolio与index更像 意思就是rebalance越频繁tracking error越低 那为什么讲义又说cost高了 tracking error高呢
2.关于number of securities, 到底是包含股票数目多tracking error低呢 还是包含股票数目多tracking error 低？ 我理解是如果一个portfolio fully replicate，包含数目与index一样。 如果index里很多illiquid股票的话，容易产生tracking error。tracking error和portfolio 包含的股票数目没有关系吧？
考试的时候如何能选出正确答案？感觉讲义和题目矛盾。
