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花卷喵 · 2022年09月01日

A为什么不对？

  1. CFA II
  2. Portfolio

NO.PZ2015121810000058

问题如下：

An ETF’s reported tracking error is typically measured as the:

选项：

A.

standard deviation of the difference in daily returns between an ETF and its benchmark.

B.

difference in annual return between an ETF and its benchmark over the past 12 months.

C.

annualized standard deviation of the difference in daily returns between an ETF and its benchmark.

解释：

C is correct. An ETF’s tracking error is typically reported as the annualized standard deviation of the daily differential returns of the ETF and its benchmark.

是所有tracking error都是按年化公布的嘛？

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1 个答案

星星_品职助教 · 2022年09月01日

同学你好，

按照“ the difference in daily returns”计算出来的standard deviation/tracking error是daily的，但reported tracking error需要是年化的。

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NO.PZ2015121810000058 fferenin annureturn between ETF anits benchmark over the past 12 months. annualizestanrviation of the fferenin ily returns between ETF anits benchmark. C is correct. ETF’s tracking error is typically reportethe annualizestanrviation of the ily fferentireturns of the ETF anits benchmark. 如题,b为什么不对。。。。。

2021-02-19 20:10 1 · 回答

fferenin annureturn between ETF anits benchmark over the past 12 months. annualizestanrviation of the fferenin ily returns between ETF anits benchmark. C is correct. ETF’s tracking error is typically reportethe annualizestanrviation of the ily fferentireturns of the ETF anits benchmark. 你好，我想多问一下ily stanrvination计算的时候是怎么annualize老师讲的时候说不会考计算，但是我就是想知道一下心里踏实。是ily乘根号下天数吗？还是直接乘一年的交易天数？谢谢

2021-02-05 16:08 1 · 回答

我知道tracking error通常是要算年化的，不过不是也要先算出ily的再算年化的吗？定义里到底需不需要体现ily fference呢？

2020-02-13 23:39 1 · 回答