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徐威廉 · 2021年07月30日

fund expense ratio

  1. CFA III
  2. Equity

NO.PZ2019012201000050

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.

老师fund expense ratio是啥？对做这题有什么帮助吗？
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已采纳答案

伯恩_品职助教 · 2021年07月31日

嗨，努力学习的PZer你好：


基金费用比率。这个代表就是基金费用的高低。具体这个题就是说，当这个full-replication indexing approach,如果费用高就会 tracking error高。打个比方，如果其它什么都一样。比如沪深300的指数基金，两个走势基本一样，一年下来沪深300涨了17%，这个基金也涨了17%，但基金费用是2%，对投资者而言，其实际收益就是15%，因此 tracking error也是2%了。这样明白了吗

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努力的时光都是限量版，加油！

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