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kevinzhu · 2022年07月10日

需要中文解释

NO.PZ2021101401000024

问题如下:

Stosur is evaluating three ETFs for potential investment. He notes that the ETFs have different portfolio characteristics that are likely to affect each ETF's tracking error.

A summary of the characteristics for the ETFs is presented in Exhibit 1: ETF Characteristics Affecting Tracking Error


Which ETF in Exhibit 1 is most likely to have the lowest tracking error?

选项:

A.

ETF 2

B.

ETF 3

C.

ETF 4

解释:

A is correct.

Compared with a full replication approach, ETF portfolios managed using a representative sampling/optimization approach are likely to have greater tracking error. Also, differences in trading hours for depositary receipts and local constituent shares create discrepancies between the portfolio and index values. These discrepancies can lead to greater tracking error for portfolios holding ADRs in lieu of the underlying local shares. Further, ETF sponsors that engage in securities lending can generate additional portfolio income to help offset fund expenses, thereby lowering tracking error.

ETF 2 uses a full replication approach, holds only local foreign shares, and engages in securities lending. Therefore, ETF 2 will likely have the lowest tracking error out of the ETFs in Exhibit 1.

ETF 3 will likely have greater tracking error than ETF 2 because it is managed using a representative sampling approach and is invested in depositary receipts in lieu of local shares.

ETF 4 will likely have greater tracking error than ETF 2 because it is invested in depositary receipts in lieu of local shares and does not engage in securities lending.

uses a full replication approach, holds only local foreign shares, and engages in securities lending

为何这样就能 have the lowest tracking error?

1 个答案
已采纳答案

星星_品职助教 · 2022年07月11日

同学你好,

full replication是完全复制,representative sampling是抽样,显然前者的投资组合和benchmark会更像一些,即tracking error小。

投资外国的证券可能会有汇率等问题,这也是导致投资组合和benchmark回报率不同的原因之一,所以如果全都是本地的股票,tracking error会小。

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