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开泰-王飞 · 2022年10月05日

a为何错？

  1. CFA III
  2. Equity

NO.PZ2019012201000050

问题如下：

Winthrop and Tong agreethat only the existing equity investments need to be liquidated. Tong suggeststhat, as an alternative to direct equity investments, the new equity portfoliobe composed of the exchange-traded funds (ETFs) shown in Exhibit 1.

Basedon Exhibit 1 and assuming a full-replication indexing approach, the trackingerror 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 tocreate higher tracking error than one with fewer constituents. Based on thenumber of constituents in the three indexes (S&P/TSX 60 has 60, S&P 500has 506, and MSCI EAFE has 933), EFA (the MSCI EAFE ETF) is expected to havethe 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, whichimplies that EFA has the highest expected tracking error.

成分股数量和交易成本都会对跟踪误差造成影响，一般以哪个为主？

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3 个答案

笛子_品职助教 · 2022年10月11日

嗨，努力学习的PZer你好：


机遇成分股数量，应该是XIU小于EFA吧？


是的，同学理解正确。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

开泰-王飞 · 2022年10月10日

机遇成分股数量，应该是XIU小于EFA吧？

笛子_品职助教 · 2022年10月05日

嗨，努力学习的PZer你好：


a为何错？


Hello，亲爱的同学。

本题问的是最高的tracking error，不是最小tracking error。

A选项，根据成分股数量，它的tracking error，小于EFA。

同时，根据基金费用率，它的tracking，error，小于EFA。

所以不选A。


成分股数量和交易成本都会对跟踪误差造成影响，一般以哪个为主？

两者都要看。

就本题而言，EFA的成分股数量最多，交易费用没涉及但是提到了基金费用率（可以看成管理费）。

因此这两项都说明EFA是tracking error最高的。

因此本题选EFA。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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