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.
这个图形，在不考虑trading 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
