NO.PZ2021101401000024
问题如下：
Stosur is evaluating three ETFs for potential investment. He notes that the ETFs have different portfolio characteristics that are likely to affect each ETF's tracking error.
A summary of the characteristics for the ETFs is presented in Exhibit 1: ETF Characteristics Affecting Tracking Error
Which ETF in Exhibit 1 is most likely to have the lowest tracking error?
选项：
A.ETF 2
ETF 3
ETF 4
解释：
A is correct.
Compared with a full replication approach, ETF portfolios managed using a representative sampling/optimization approach are likely to have greater tracking error. Also, differences in trading hours for depositary receipts and local constituent shares create discrepancies between the portfolio and index values. These discrepancies can lead to greater tracking error for portfolios holding ADRs in lieu of the underlying local shares.
In exchange, the ETF receives a fee and earns interest on the collateral posted by the borrower (generally, overnight fixed-income securities), which creates income for the portfolio. As long as this securities-lending income is less than the fund expenses, it will lower the tracking error, but if it becomes larger, then it will become a source of tracking error.
ETF 2 uses a full replication approach, holds only local foreign shares, and engages in securities lending. Therefore, ETF 2 will likely have the lowest tracking error out of the ETFs in Exhibit 1.
ETF 3 will likely have greater tracking error than ETF 2 because it is managed using a representative sampling approach and is invested in depositary receipts in lieu of local shares.
ETF 4 will likely have greater tracking error than ETF 2 because it is invested in depositary receipts in lieu of local shares and does not engage in securities lending.
