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小呀小田螺 · 2021年07月08日

问一道题:NO.PZ2015121810000061 [ CFA II ]

问题如下:

For a typical ETF, which of the following sources of tracking error is most likely to be the smallest contributor to tracking error ?

选项:

A.

Representative sampling

B.

Fees and expenses incurred by the ETF

C.

Changes to the underlying index securities

解释:

C is correct. Although additions and deletions of securities from the underlying benchmark index may occur and result in tracking error, such index changes generally occur infrequently (often quarterly). In addition, ETF portfolio managers may work with APs for index rebalance trades to ensure market-on-close pricing to minimize this source of tracking error. Therefore, the resulting tracking error caused by index changes will not likely be as large as the tracking error caused by representative sampling or by fees and expenses incurred by the ETF.

想问一下A和B,哪个是影响ETF return最大的呢?有这个说法吗?

1 个答案
已采纳答案

星星_品职助教 · 2021年07月08日

同学你好,

最大的不一定是哪个。取决于representative samping的具体抽法;和fees and expense收的是多还是少。