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waterzzz · 2020年02月13日

问一道题:NO.PZ2019012201000069

问题如下:

The board decides to consider adding a mid-cap manager. McMahon presents candidates for the mid-cap portfolio. Exhibit 2 provides fees and cash holdings for three portfolios and an index fund.

Based on Exhibit 2, which portfolio will most likely have the lowest tracking error?

选项:

A.

Portfolio 1

B.

Portfolio 2

C.

Portfolio 3

解释:

Of the three portfolios, Portfolio 3 has the lowest cash holding and the lowest fees. As a result, Portfolio 3 has the potential for the lowest tracking error compared with the other proposed portfolios.

cash holdings高代表什么?这里的fee是trading cost吗

1 个答案

maggie_品职助教 · 2020年02月17日

1、组合里现金(闲置资金)越多,说明和指数(benchmark)越不像,因为指数中是不包含现金的。

2、是的。

这个部分建议看下讲义82页及对应视频讲解。