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张欣佳 · 2022年06月26日

股票数量越多，tracking error不是应该越小吗？

  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.

股票数量越多，tracking error不是应该越小吗？

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1 个答案

笛子_品职助教 · 2022年06月27日

嗨，从没放弃的小努力你好：


股票数量越多，tracking error不是应该越小吗？


不是，对于benchmark，股票数量越多越难复制，tracking error呈现U形曲线。

见强化讲义第9页左下角的图


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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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