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徐威廉 · 2021年07月31日

2个问题

  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.

问题1.U型图x轴到底描述的是我们portfolio的持股数量还是index的持股数量？ 问题2.index和portfolio两个角度出发股票越多对应tracking error的结果分别是什么？为什么？
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2 个答案

伯恩_品职助教 · 2021年10月22日

嗨，从没放弃的小努力你好：


那u型图左边股票数少不也tracking error大吗，为什么不选第一个？——这个图主要说的是相对benchmark股票数量的多少，如果和benchmark的股票数量一样，而且benchmark的成分股数量少（意味着因为建仓成本而导致跟踪误差小），那么tracking error是最小的。

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加油吧，让我们一起遇见更好的自己！

伯恩_品职助教 · 2021年07月31日

嗨，从没放弃的小努力你好：


.U型图x轴到底描述的是我们portfolio的持股数量还是index的持股数量？——同学你好，你这个U型图在哪里啊，我找不到。。

问题2.index和portfolio两个角度出发股票越多对应tracking error的结果分别是什么？为什么？——这个在你之前的问题里回答了，在简单说下，如果是portfolio的股票越少就tracking error，对应下面这个图

index股票越多就tracking error越大。因为交易费用也会根据增长。对应下面这个图

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加油吧，让我们一起遇见更好的自己！

puchao · 2021年10月22日

那u型图左边股票数少不也tracking error大吗，为什么不选第一个？

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