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娟娟考CFA · 2020年02月09日

问一道题:NO.PZ2015121810000060

问题如下:

An ETF’s tracking error, as traditionally reported, indicates to investors:

选项:

A.

whether the ETF is underperforming or outperforming its underlying index.

B.

the magnitude by which an ETF’s returns deviate from its benchmark over time.

C.

the distribution of differences in daily returns between the ETF and its benchmark

解释:

B is correct. An ETF’s tracking error is typically reported as the annualized standard deviation of the daily differential returns of the ETF and its benchmark. Therefore, an ETF’s reported tracking error indicates to investors the magnitude by which an ETF’s returns deviate from those of its benchmark over time.

你好,这题为什么a不对?tracking error不是R(etf)-R(index)吗?

1 个答案

星星_品职助教 · 2020年02月10日

同学你好,

tracking error衡量的是return的波动性,即σ(Rp-Rb),A指的是return本身,就是Rp-Rb