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muamadove · 2022年05月05日

可以用股票数量来判定吗

  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.

股票数量多，跟踪误差大，可以用这个思路来解题吗？还是说fund expense ratio和股票数量是必然正相关关系吗 ？

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2 个答案

伯恩_品职助教 · 2022年07月13日

嗨，努力学习的PZer你好：


我觉得老师没有正面回答同学的问题，我也想知道是从股票数量判断还是从交易费用考虑tracking error？ ——股票数量导致的交易费。说清楚是交易费哈，这个假设前提是交易费率是一样的，比如A基金B基金，交易费率无论是1‰还是1%都行，只要他们的费率一样就行。那么由于股票数量多必然导致过多的交易费，因为比如跟着甲index，就一个1个股票，只要一笔手续费就可以，但是跟着乙index就是100个股票，就要100笔手续费，结果是完全不一样的

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伯恩_品职助教 · 2022年05月05日

嗨，爱思考的PZer你好：


是的

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加油吧，让我们一起遇见更好的自己！

柠乐 · 2022年07月13日

我觉得老师没有正面回答同学的问题，我也想知道是从股票数量判断还是从交易费用考虑tracking error？

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