NO.PZ2023010903000028
问题如下：
Välimaa next considers the transition of the Fund’s portfolio holdings, which have a total market value of EUR 150 million. She is constructing the portfolio using individual equities and considers the following methods: full replication, stratified sampling, and optimization. The benchmark for the portfolio is the FTSE Eurotop 100 Index, which is based on market capitalization and consists of 100 of the largest publicly traded European companies. The investment committee prefers not to use sophisticated algorithms that are difficult to understand.
Determine, from the three methods that Välimaa is considering, the most appropriate method for constructing the equity portfolio. Justify your response.
选项：
解释：
Answer
Full replication is suitable.
The value of the Fund’s equity portfolio is EUR 150 million and is large enough to follow a full replication approach of the FTSE Eurotop 100 Index. The constituents of this index are the top 100 large capitalization European equities, which are likely liquid and available for trading. The full replication approach requires owning each of the securities in the benchmark portfolio. Tracking error is likely to remain low since the number of constituents in this index is not large.
Stratified sampling is less appropriate since it does not track the index as closely as full replication, which would result in higher tracking error relative to full replication. The board prefers not to use sophisticated algorithms that are difficult to understand, making the optimization approach less appropriate.
No.PZ2023010903000028 (问答题)
请问老师，这题没有强调要最小化tracking error。因为看题目中说fund规模150 million，属于小规模投资者，从这个角度判断， stratified sampling比full replication更合适。这个思路为什么不对？
