NO.PZ2023010903000024
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.
可否请老师总结下跟踪误差的决定因素以及这些因素重要性排序？
为什么股票数量越多误差可能越大？题目没有给benchmark 的股数
