开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

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？

添加评论
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。

----------------------------------------------
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！

  • 3

    回答

  • 1

    关注

  • 409

    浏览
相关问题

NO.PZ2019012201000050 问题如下 Winthrop anTong agreethonly the existing equity investments neeto liquite Tong suggeststhat, alternative to reequity investments, the new equity portfoliocomposeof the exchange-trafun (ETFs) shown in Exhibit 1.Basen Exhibit 1 anassuming a full-replication inxing approach, the trackingerror is expecteto highest for A.XIU B.SPY C.EF inx thcontains a large number of constituents will tentocreate higher tracking error thone with fewer constituents. Baseon thenumber of constituents in the three inxes (S P/TSX 60 h60, S P 500h506, anMSEAFE h933), EFA (the MSEAFE ETF) is expecteto havethe highest tracking error. Higher expense ratios (XIU: 0.18%; SPY: 0.10%; anEFA:0.33%) also contribute to lower excess returns anhigher tracking error, whichimplies thEFA hthe highest expectetracking error. 如题，这道题是只看in中的股票数量吗？股票数量最多的，做被动投资的tracking error最大？

2024-06-19 10:18 1 · 回答

NO.PZ2019012201000050问题如下 Winthrop anTong agreethonly the existing equity investments neeto liquite Tong suggeststhat, alternative to reequity investments, the new equity portfoliocomposeof the exchange-trafun (ETFs) shown in Exhibit 1.Basen Exhibit 1 anassuming a full-replication inxing approach, the trackingerror is expecteto highest forA.XIU B.SPY C.EFA inx thcontains a large number of constituents will tentocreate higher tracking error thone with fewer constituents. Baseon thenumber of constituents in the three inxes (S P/TSX 60 h60, S P 500h506, anMSEAFE h933), EFA (the MSEAFE ETF) is expecteto havethe highest tracking error. Higher expense ratios (XIU: 0.18%; SPY: 0.10%; anEFA:0.33%) also contribute to lower excess returns anhigher tracking error, whichimplies thEFA hthe highest expectetracking error. 这里的数量是benchmark inx里的个数吧？个数越多，越难模拟，TE越高。那这个和U shape是不是没关系？U shape应该是portfolio里的个数吧，越多的话考虑trang costTE越大？另外，有的题目在三种方法里选，选full replication条件是asset size sufficient还有liqui是说要有钱且好交易对吧，那对于成分数量是不是适中比较好呢？

2024-05-20 08:58 1 · 回答

NO.PZ2019012201000050 问题如下 Winthrop anTong agreethonly the existing equity investments neeto liquite Tong suggeststhat, alternative to reequity investments, the new equity portfoliocomposeof the exchange-trafun (ETFs) shown in Exhibit 1.Basen Exhibit 1 anassuming a full-replication inxing approach, the trackingerror is expecteto highest for A.XIU B.SPY C.EF inx thcontains a large number of constituents will tentocreate higher tracking error thone with fewer constituents. Baseon thenumber of constituents in the three inxes (S P/TSX 60 h60, S P 500h506, anMSEAFE h933), EFA (the MSEAFE ETF) is expecteto havethe highest tracking error. Higher expense ratios (XIU: 0.18%; SPY: 0.10%; anEFA:0.33%) also contribute to lower excess returns anhigher tracking error, whichimplies thEFA hthe highest expectetracking error. 如题

2024-05-09 17:22 1 · 回答

NO.PZ2019012201000050问题如下 Winthrop anTong agreethonly the existing equity investments neeto liquite Tong suggeststhat, alternative to reequity investments, the new equity portfoliocomposeof the exchange-trafun (ETFs) shown in Exhibit 1.Basen Exhibit 1 anassuming a full-replication inxing approach, the trackingerror is expecteto highest forA.XIU B.SPY C.EFA inx thcontains a large number of constituents will tentocreate higher tracking error thone with fewer constituents. Baseon thenumber of constituents in the three inxes (S P/TSX 60 h60, S P 500h506, anMSEAFE h933), EFA (the MSEAFE ETF) is expecteto havethe highest tracking error. Higher expense ratios (XIU: 0.18%; SPY: 0.10%; anEFA:0.33%) also contribute to lower excess returns anhigher tracking error, whichimplies thEFA hthe highest expectetracking error. 这个图形，在不考虑trang cost情况下，单独考虑成分股数量，不应该是那条向下倾斜的虚线吗？意思是成份股数量越大（讲课举例接近5000），tracting error逐渐减小吗？没理解这个点

2024-02-20 09:30 3 · 回答

NO.PZ2019012201000050 问题如下 Winthrop anTong agreethonly the existing equity investments neeto liquite Tong suggeststhat, alternative to reequity investments, the new equity portfoliocomposeof the exchange-trafun (ETFs) shown in Exhibit 1.Basen Exhibit 1 anassuming a full-replication inxing approach, the trackingerror is expecteto highest for A.XIU B.SPY C.EF inx thcontains a large number of constituents will tentocreate higher tracking error thone with fewer constituents. Baseon thenumber of constituents in the three inxes (S P/TSX 60 h60, S P 500h506, anMSEAFE h933), EFA (the MSEAFE ETF) is expecteto havethe highest tracking error. Higher expense ratios (XIU: 0.18%; SPY: 0.10%; anEFA:0.33%) also contribute to lower excess returns anhigher tracking error, whichimplies thEFA hthe highest expectetracking error. 这里的expense ratio指的是投资ETF所需的费用么？ratio的分母是什么？

2024-01-23 14:26 1 · 回答