NO.PZ2019012201000070
问题如下：
For the large-cap US equity portion of Sapphire’s investment portfolio, Cullen believes that there are some existing passive indexed-based funds that track the S&P 500 Index that the foundation should consider. Cullen presents Exhibit 2 to Sapphire’s board.Exhibit 2 S&P 500 Index Funds
Based on Exhibit 2, the portfolio manager most likely to have the largest tracking error is:
选项：
A.Manager A
Manager C
Manager B
解释：
Tracking error
indicates how closely the portfolio behaves like its benchmark and measures a
manager’s ability to replicate the benchmark return. Manager C is most likely
to have the largest tracking error for three reasons:
l The portfolio contains a smaller number of the index holdings than
the other two portfolios, resulting in a lower level of replication.
l Dividends are reinvested the day following receipt rather than the
same day, which would cause cash drag relative to Manager B.
l The portfolio is reconstituted less frequently than the other two
portfolios.
Although Manager C
has a slightly lower management fee, which would result in a lower tracking
error, the benefit is unlikely to offset the combined higher tracking error
related to the other portfolio characteristics.
A and C are
incorrect.
holding stocks越多，可能导致的交易越多，造成的Tracking error理论也越大对吧。
1.Holding来看：C最优，A其次，B最后；
2.Dividends来看：B最优，AC其次；
3.Mgt fee来看：C最优，A其次，B最后；
4.rebalance来看：同
5.reconsist来看：A、B优，C最后。
综上：从5个维度来看，C获得最优次数3次，B获得最优次数3次、A获得最优次数2次，为何这题不选A？
