NO.PZ201809170400000203
问题如下：
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：
C is correct. 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.
看了老师的解答可以归纳为以下两个角度嘛？ 1.站在portfolio角度出发，股票数量越小，tracking error越大； 2.站在index角度，股票数量越多，越难被portfolio 复制，tracking error越大
