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 errorindicates how closely the portfolio behaves like its benchmark and measures amanager’s ability to replicate the benchmark return. Manager C is most likelyto have the largest tracking error for three reasons:
l The portfolio contains a smaller number of the index holdings thanthe other two portfolios, resulting in a lower level of replication.
l Dividends are reinvested the day following receipt rather than thesame day, which would cause cash drag relative to Manager B.
l The portfolio is reconstituted less frequently than the other twoportfolios.
Although Manager Chas a slightly lower management fee, which would result in a lower trackingerror, the benefit is unlikely to offset the combined higher tracking errorrelated to the other portfolio characteristics.
A and C areincorrect.
我想请问一下rebalance和Reconstitution都是指benchmark调整的频率吧？recons是里面个股的组成？rebalance是权重改变？这两个因素怎么影响TE呢？只知道benchmark的，并不知道portfolio的呢。 另外，总结一下，是不是index数量影响TE，组合和index数量差越大，TE越大。div要当天投资，不然有cash drag有TE？management fee越高TE越大？谢谢。
