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gjm · 2020年02月11日

问一道题：NO.PZ2018091701000108

  1. CFA II
  2. Portfolio

问题如下：

How does ex ante tracking error differ from ex post tracking error?

选项：

A.

Ex ante tracking error takes into account the behavior of options whereas ex post tracking error does not.

B.

Ex post tracking error uses a more accurate forecast of future markets than the forecast used for ex ante tracking error.

C.

Ex ante tracking error uses current portfolio holdings exposed to the variability of historical markets, whereas ex post tracking error measures the variability of historical portfolio holdings in historical markets.

解释：

老师，C选项是什么意思

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1 个答案

星星_品职助教 · 2020年02月11日

同学你好，

两种tracking error的核心都是和benchmark相比偏离了多少，Ex ante看的是today's performance，所以用current holdings去和historical market去比。 Ex post就是事后，所以看的是historical holdings和historical markets的比较。

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NO.PZ2018091701000108 问题如下 How es ex ante tracking error ffer fromex post tracking error? A.Ex ante tracking error takes into account thebehavior of options whereex post tracking error es not. B.Ex post tracking error uses a more accurateforecast of future markets ththe forecast usefor ex ante tracking error. C.Ex ante tracking error uses current portfolioholngs exposeto the variability of historicmarkets, whereex posttracking error measures the variability of historicportfolio holngs inhistoricmarkets. C is correct. A is incorrebecause although ex post tracking error accounts for the options thwere in the portfolio in the past, ex ante tracking error might actually misstate the risk of options if it is computeusing the parametric metho B is incorrebecause ex post tracking error is not aiming to forecast the future, it is only measuring the variability of past results. 似乎强化班里没有看到

2022-05-28 17:24 1 · 回答

Ex ante tracking error uses current portfolio holngs exposeto the variability of historicmarkets, whereex post tracking error measures the variability of historicportfolio holngs in historicmarkets. 为什么事前和事后都是基于variability of historicmarkets呢？我理解事前采用当前的数据，那么对应的应该也是current market。

2020-03-08 22:35 1 · 回答

老师可以一下A和B错在哪里吗

2020-02-29 15:18 2 · 回答