开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

muamadove · 2022年05月05日

可以用股票数量来判定吗

  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.

股票数量多，跟踪误差大，可以用这个思路来解题吗？还是说fund expense ratio和股票数量是必然正相关关系吗 ？

添加评论
2 个答案

伯恩_品职助教 · 2022年07月13日

嗨，努力学习的PZer你好：


我觉得老师没有正面回答同学的问题，我也想知道是从股票数量判断还是从交易费用考虑tracking error？ ——股票数量导致的交易费。说清楚是交易费哈，这个假设前提是交易费率是一样的，比如A基金B基金，交易费率无论是1‰还是1%都行，只要他们的费率一样就行。那么由于股票数量多必然导致过多的交易费，因为比如跟着甲index，就一个1个股票，只要一笔手续费就可以，但是跟着乙index就是100个股票，就要100笔手续费，结果是完全不一样的

----------------------------------------------
加油吧，让我们一起遇见更好的自己！

伯恩_品职助教 · 2022年05月05日

嗨，爱思考的PZer你好：


是的

----------------------------------------------
加油吧，让我们一起遇见更好的自己！

柠乐 · 2022年07月13日

我觉得老师没有正面回答同学的问题，我也想知道是从股票数量判断还是从交易费用考虑tracking error？

  • 2

    回答

  • 0

    关注

  • 343

    浏览
相关问题

NO.PZ2019012201000050 问题如下 Winthrop anTong agreethonly the existing equity investments neeto liquite Tong suggeststhat, alternative to reequity investments, the new equity portfoliocomposeof the exchange-trafun (ETFs) shown in Exhibit 1.Basen Exhibit 1 anassuming a full-replication inxing approach, the trackingerror is expecteto highest for A.XIU B.SPY C.EF inx thcontains a large number of constituents will tentocreate higher tracking error thone with fewer constituents. Baseon thenumber of constituents in the three inxes (S P/TSX 60 h60, S P 500h506, anMSEAFE h933), EFA (the MSEAFE ETF) is expecteto havethe highest tracking error. Higher expense ratios (XIU: 0.18%; SPY: 0.10%; anEFA:0.33%) also contribute to lower excess returns anhigher tracking error, whichimplies thEFA hthe highest expectetracking error. 如题，这道题是只看in中的股票数量吗？股票数量最多的，做被动投资的tracking error最大？

2024-06-19 10:18 1 · 回答

NO.PZ2019012201000050问题如下 Winthrop anTong agreethonly the existing equity investments neeto liquite Tong suggeststhat, alternative to reequity investments, the new equity portfoliocomposeof the exchange-trafun (ETFs) shown in Exhibit 1.Basen Exhibit 1 anassuming a full-replication inxing approach, the trackingerror is expecteto highest forA.XIU B.SPY C.EFA inx thcontains a large number of constituents will tentocreate higher tracking error thone with fewer constituents. Baseon thenumber of constituents in the three inxes (S P/TSX 60 h60, S P 500h506, anMSEAFE h933), EFA (the MSEAFE ETF) is expecteto havethe highest tracking error. Higher expense ratios (XIU: 0.18%; SPY: 0.10%; anEFA:0.33%) also contribute to lower excess returns anhigher tracking error, whichimplies thEFA hthe highest expectetracking error. 这里的数量是benchmark inx里的个数吧？个数越多，越难模拟，TE越高。那这个和U shape是不是没关系？U shape应该是portfolio里的个数吧，越多的话考虑trang costTE越大？另外，有的题目在三种方法里选，选full replication条件是asset size sufficient还有liqui是说要有钱且好交易对吧，那对于成分数量是不是适中比较好呢？

2024-05-20 08:58 1 · 回答

NO.PZ2019012201000050 问题如下 Winthrop anTong agreethonly the existing equity investments neeto liquite Tong suggeststhat, alternative to reequity investments, the new equity portfoliocomposeof the exchange-trafun (ETFs) shown in Exhibit 1.Basen Exhibit 1 anassuming a full-replication inxing approach, the trackingerror is expecteto highest for A.XIU B.SPY C.EF inx thcontains a large number of constituents will tentocreate higher tracking error thone with fewer constituents. Baseon thenumber of constituents in the three inxes (S P/TSX 60 h60, S P 500h506, anMSEAFE h933), EFA (the MSEAFE ETF) is expecteto havethe highest tracking error. Higher expense ratios (XIU: 0.18%; SPY: 0.10%; anEFA:0.33%) also contribute to lower excess returns anhigher tracking error, whichimplies thEFA hthe highest expectetracking error. 如题

2024-05-09 17:22 1 · 回答

NO.PZ2019012201000050问题如下 Winthrop anTong agreethonly the existing equity investments neeto liquite Tong suggeststhat, alternative to reequity investments, the new equity portfoliocomposeof the exchange-trafun (ETFs) shown in Exhibit 1.Basen Exhibit 1 anassuming a full-replication inxing approach, the trackingerror is expecteto highest forA.XIU B.SPY C.EFA inx thcontains a large number of constituents will tentocreate higher tracking error thone with fewer constituents. Baseon thenumber of constituents in the three inxes (S P/TSX 60 h60, S P 500h506, anMSEAFE h933), EFA (the MSEAFE ETF) is expecteto havethe highest tracking error. Higher expense ratios (XIU: 0.18%; SPY: 0.10%; anEFA:0.33%) also contribute to lower excess returns anhigher tracking error, whichimplies thEFA hthe highest expectetracking error. 这个图形，在不考虑trang cost情况下，单独考虑成分股数量，不应该是那条向下倾斜的虚线吗？意思是成份股数量越大（讲课举例接近5000），tracting error逐渐减小吗？没理解这个点

2024-02-20 09:30 3 · 回答

NO.PZ2019012201000050 问题如下 Winthrop anTong agreethonly the existing equity investments neeto liquite Tong suggeststhat, alternative to reequity investments, the new equity portfoliocomposeof the exchange-trafun (ETFs) shown in Exhibit 1.Basen Exhibit 1 anassuming a full-replication inxing approach, the trackingerror is expecteto highest for A.XIU B.SPY C.EF inx thcontains a large number of constituents will tentocreate higher tracking error thone with fewer constituents. Baseon thenumber of constituents in the three inxes (S P/TSX 60 h60, S P 500h506, anMSEAFE h933), EFA (the MSEAFE ETF) is expecteto havethe highest tracking error. Higher expense ratios (XIU: 0.18%; SPY: 0.10%; anEFA:0.33%) also contribute to lower excess returns anhigher tracking error, whichimplies thEFA hthe highest expectetracking error. 这里的expense ratio指的是投资ETF所需的费用么？ratio的分母是什么？

2024-01-23 14:26 1 · 回答