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Ironlung · 2024年01月23日

expense ratio

  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.

这里的expense ratio指的是投资ETF所需的费用么？ratio的分母是什么？

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1 个答案

笛子_品职助教 · 2024年01月24日

嗨，爱思考的PZer你好：


这里的expense ratio指的是投资ETF所需的费用么？ratio的分母是什么？

这里的expense ratio是指投资ETF需要支付的管理费，同学理解正确的。

ratio = 年度管理费/投入金额。

例如，对于XIU基金，买入100万元，每年需要向基金公司缴纳100万*0.18%的管理费。

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努力的时光都是限量版，加油！

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