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wendysakura · 2019年12月16日

问一道题：NO.PZ2019012201000050

  1. CFA III
  2. Equity

问题如下：

Winthrop and Tong agree that only the existing equity investments need to be liquidated. Tong suggests that, as an alternative to direct equity investments, the new equity portfolio be composed of the exchange-traded funds (ETFs) shown in Exhibit 1.

Based on Exhibit 1 and assuming a full-replication indexing approach, the tracking error is expected to be highest for：

选项：

A.

XIU

B.

SPY

C.

EFA

解释：

An index that contains a large number of constituents will tend to create higher tracking error than one with fewer constituents. Based on the number of constituents in the three indexes (S&P/TSX 60 has 60, S&P 500 has 506, and MSCI EAFE has 933), EFA (the MSCI EAFE ETF) is expected to have the highest tracking error. Higher expense ratios (XIU: 0.18%; SPY: 0.10%; and EFA: 0.33%) also contribute to lower excess returns and higher tracking error, which implies that EFA has the highest expected tracking error.

在讲义第76页，不是写着当组合中股票的数量越多，那么fully replication 来track指数index的时候，跟踪误差越小马？

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2 个答案

maggie_品职助教 · 2020年02月13日

我把讲义这部分截图发上来详细说一下：这三个小点点的不是独立的，而是要一起看的：

第一个小点点，随着组合中包含的股票数量上升，跟踪误差下降，没有错，但是这句话还没说完，你们看下第二小点点第一个词“but”，随着指数中流动性好的股票买完后，继续增加指数中包含的交易量较小的小盘股会使得交易成本上升。所以这页讲义第一个小点和第二个小点是合起来的一段话。他们就是在解释下面U型图的形状。当组合包含的股票数量上升时，跟踪误差一开始是下降的, 随着N上升，交易费用也在上升，而我们被动的复制股票的目的在于获得和大盘一样的收益率（此时追踪误差最小），但是我们买的越多（都是先买流动性好的股票，然后流动性以此递减），买到后来交易费用就会上升的很快，这样就会削减我们能获得的收益（追踪误差上升）。所以在这里我们要解释的是并不是全买追踪误差就最小，其实是有一个trade off的正如讲义所所画是个U型。

maggie_品职助教 · 2019年12月17日

这里说的是你要追踪的指数中所包括的股票数量（不是你构建的组合中的股票数量），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）。


jeffrey19861001 · 2020年02月12日

助教没解释清楚啊。。。

maggie_品职助教 · 2020年02月13日

请看最新的回复。

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