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hotwines · 2021年02月05日

问一道题：NO.PZ2015121810000058 [ CFA II ]

  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.

你好，我想多问一下daily standard divination计算的时候是怎么annualized？老师讲的时候说不会考计算，但是我就是想知道一下心里踏实。是daily乘根号下天数吗？还是直接乘一年的交易天数？谢谢
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星星_品职助教 · 2021年02月05日

同学你好，

年化的方式是平方根法则的应用，这个法则可以掌握一下：

首先求出每日的standard deviation（标准差），假设一年有T个工作日，则年化σ=√T ×每日σ；一般假设每年有252个工作日，则年化σ=√252 ×每日的σ

这个关系是从variance（方差）推导而来的，年化方差=T×每日方差

这个关系式里还有一个return的关系，和方差的关系一样，对于return来说，年化return=T ×每日return。

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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

NO.PZ2015121810000058 fferenin annureturn between ETF anits benchmark over the past 12 months. 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. 如题,b为什么不对。。。。。

2021-02-19 20:10 1 · 回答

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

2020-02-13 23:39 1 · 回答