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大张伟 · 2022年11月22日

更高的expense ration，为什么会使得tracking error也越高呢，背后的逻辑是？

  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.

如题

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笛子_品职助教 · 2022年11月22日

嗨，努力学习的PZer你好：


高的expense ration，为什么会使得tracking error也越高呢，背后的逻辑是？


这是在基金持有人的费后收益率角度来说的。

高的费用率，基金持有人付出的成本就高。高的交易成本，就越不像benchmark。


比如跟踪SP500的基金，SP500某一年涨10%，这只基金涨9.9%，管理费1%，则基金投资人费后收益率为8.9%。和benchmark相差1.1%

如果这只基金管理费2%，则投资人费后收益率7.9%，和benchmark相差2.1%


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