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海伦岛主 · 2022年05月28日

不太懂这里股票越多,tracking error越大的逻辑

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.

是因为index中股票多,导致full replica下要买的股票也越多,手续费多,才Tracking error大吗?

也就是说主要核心点在于股票数量带来手续费,进而导致tracking error吗,还是说股票越多本身就tracking error大?

1 个答案

笛子_品职助教 · 2022年05月29日

嗨,爱思考的PZer你好:


是因为index中股票多,导致full replica下要买的股票也越多,手续费多,才Tracking error大吗?


理解正确,index股票太多,会导致一些流动性低的小盘股也较多,交易成本高,使tracking error大。

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