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黄路迦 · 2024年07月26日

tracking error

  1. CFA III
  2. Equity

NO.PZ2019012201000046

问题如下：

Laubach states that the board is interested in following a passive approach for some or all of the equity allocation. In addition, the board is open to approaches that could generate returns in excess of the benchmark for part of the equity allocation. McMahon suggests that the board consider following a passive factor-based momentum strategy for the allocation to international stocks.

Compared with broad-market-cap weighting, the international equity strategy suggested by McMahon is most likely to：

选项：

A.

concentrate risk exposure

B.

be based on the efficient market hypothesis

C.

overweight stocks that recently experienced large price decreases

解释：

Compared with broad-market-cap weighting, passive factor-based strategies tend to concentrate risk exposure, leaving investors vulnerable during periods when the risk factor (e.g., momentum) is out of favor.



上面两道题目，关于tracking error 是不是有点冲突。

5.1题说的是当n的数量越多时，tracking error 越大，但如果用这个逻辑去做5.2题时，那manager B的n=504，n最大，不应该tracking error比C大吗？

然而5.2李老师说的是从portfolio与benchmark像不像的角度出发，我已经晕了

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1 个答案

笛子_品职助教 · 2024年07月26日

嗨，爱思考的PZer你好：


Hello，亲爱的同学~


在适合使用full replication方法的前提下，并不是N越多越大，是N与benchmark越偏离，越大。

例如：标准普尔有500个股票。

portfolio1，只有5只股票。和benchmark差了495只。

portfolio2，有501只股票。和benchmark只差了1只。

虽然portfolio2的股票数量更多，但portfolio1与benchmark的股票数量偏离更大。

portfolio1的tracking error大于portfolio2.


但如果不适合使用full replication，却强行使用full replication，则tracking error会加大。

例如，对于mid -cap index，就不适合完全复制。


同学注意不同的前提。

1）适合full replication的前提下：数量的偏离越大，tracking error越大。

2）不适合full replication，且强行使用full replication前提下：index的股票数量越多，tracking error越大。

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