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ladycoco想放假 · 2020年02月13日

问一道题：NO.PZ2015121810000058

  1. CFA II
  2. Portfolio

问题如下：

An ETF’s reported tracking error is typically measured as the:

选项：

A.

standard deviation of the difference in daily returns between an ETF and its benchmark.

B.

difference in annual return between an ETF and its benchmark over the past 12 months.

C.

annualized standard deviation of the difference in daily returns between an ETF and its benchmark.

解释：

C is correct. An ETF’s tracking error is typically reported as the annualized standard deviation of the daily differential returns of the ETF and its benchmark.

我知道tracking error通常是要算年化的，不过不是也要先算出daily的再算年化的吗？定义里到底需不需要体现daily difference呢？

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星星_品职助教 · 2020年02月14日

同学你好，

这道题的C选项的意思就是通过算出daily的difference，然后再年化后得到了tracking error。C选项的表述就是标准定义。

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NO.PZ2015121810000058 问题如下 ETF’s reportetracking error is typically measurethe: A.stanrviation of the fferenin ily returns between ETF anits benchmark. B.fferenin annureturn between ETF anits benchmark over the past 12 months. C.annualizestanrviation of the fferenin ily returns between ETF anits benchmark. C is correct. ETF’s tracking error is typically reportethe annualizestanrviation of the ily fferentireturns of the ETF anits benchmark. 是所有tracking error都是按年化公布的嘛？

2022-09-01 09:05 1 · 回答

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2021-02-19 20:10 1 · 回答

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2021-02-05 16:08 1 · 回答