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owensqh · 2019年03月31日

问一道题：NO.PZ201809170400000203 第3小题

  1. CFA III
  2. Equity

* 问题详情，请 查看题干


和讲义内容不一致，讲义上说股票数量越多，track error 越少

问题如下图：

    

选项：

A.

B.

C.

解释：



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1 个答案

maggie_品职助教 · 2019年04月01日

这里说的是你要追踪的指数中所包括的股票数量，指数中的股票数量越大，你就越难做到完全复制（1、管理资金不够大，不能全买 2、很多股票的流动性差，产生很高的交易成本）。


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NO.PZ201809170400000203问题如下 Baseon Exhibit 1 anassuming a full-replication inxing approach, the tracking error is expecteto highest for: XIU. SPY. EFA. C is correct. inx thcontains a large number of constituents will tento create higher tracking error thone with fewer constituents. Baseon the number of constituents in the three inxes (S&P/TSX 60 h60, S&P 500 h506, anMSEAFE h933), EFA (the MSEAFE ETF) is expecteto have the highest tracking error. Higher expense ratios (XIU: 0.18%; SPY: 0.10%; anEFA: 0.33%) also contribute to lower excess returns anhigher tracking error, which implies thEFA hthe highest expectetracking error. 有助教回答说是这道题应该从指数的角度出发，指数里包含的股票越多越难复制，但是另一个助教回答说这是指fun股，s p500里不可能是506只股票，所以到底该从哪个角度理解呢，还是没搞明白，谢谢

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