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moon · 2022年01月11日

老师，麻烦解释下为什么选A呢？谢谢

  1. CFA III
  2. Equity

NO.PZ2019012201000050

问题如下：

Winthrop and Tong agree that only the existing equity investments need to be liquidated. Tong suggests that, as an alternative to direct equity investments, the new equity portfolio be composed of the exchange-traded funds (ETFs) shown in Exhibit 1.

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：

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.

老师，麻烦解释下为什么选A呢？谢谢

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1 个答案

笛子_品职助教 · 2022年01月11日

嗨，从没放弃的小努力你好：


麻烦解释下为什么选A呢？


这题不选A，这题选C。


对于full-replication indexing approach，股票数量越多，跟踪误差越大，C选项有933只股，跟踪误差最大。


费用越高，跟踪误差越大，C选项费用最高，跟踪误差最大。


综合起来，C的跟踪误差最大。本题要求选C。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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