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luojy · 2024年03月01日

调仓频率对于tracking error的影响

  1. CFA III
  2. Equity

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

B.

Manager C

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.

几个点想明确一下：

  1. Manager B 的 portfolio有504支股票，manager A 的portfolio有498支股票，S&P 500 index中是500只股票，那么manger A和index更接近还是manager B和index更接近
  2. manager C 调仓频率比较低，那么有两个角度，一方面调仓频率低会导致长时间不调仓和index差异较大，增加tracking error, 但是另一方面，调仓频率低，对应调仓成本也低，这方面是降低tracking error.所以这里我无法判定调仓频率对于tracking error的最终影响是怎样的
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1 个答案

笛子_品职助教 · 2024年03月02日

嗨，从没放弃的小努力你好：


Manager B 的 portfolio有504支股票，manager A 的portfolio有498支股票，S&P 500 index中是500只股票，那么manger A和index更接近还是manager B和index更接近

Hello，亲爱的同学~

B和benchmark相差4只股票。

A和benchmark相差2只股票

A更接近index。


anager C 调仓频率比较低，那么有两个角度，一方面调仓频率低会导致长时间不调仓和index差异较大，增加tracking error, 但是另一方面，调仓频率低，对应调仓成本也低，这方面是降低tracking error.所以这里我无法判定调仓频率对于tracking error的最终影响是怎样的

Hello，亲爱的同学~

这里的index是标准普尔500指数。

标准普尔500指数属于large cap 指数，指数成份股是流动性极好的大盘股。

同学注意，题目中只要看到标准普尔500指数，就意味着有这个特征。

这一点，就通过这道题，补充记忆一下。

此类指数因为流动性好，交易成本很低，因此交易成本对tracking error影响极小，可以忽略。

所以以portfolio是否与benchmark的持仓一致，为主要判断依据。




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