跟踪误差(Tracking Error)是衡量投资组合或策略与其基准指数之间偏离程度的指标,通常以两者收益率差异的标准差计算。它广泛应用于
The ETF attractions include lower costs, easier access, increased liquidity, and fairness in pricing and trading. But some of their virtues may conflict with other features of the instrument, introducing tracking error. Buying or selling a basket of positions with one trade is always cheaper than...
Tracking errorCountry-specific ETFsThe goal of this study is to determine which fund or country-specific characteristics predict accurate performance in terms of tracking country-specific stock market indices. Ninety-three country-specific exchange-traded funds from 47 different countries are included in ...
Tracking error is the annualized difference between standard deviation of the fund and its benchmark. Tracking error measures the extent to which returns of an ETF have deviated from its underlying index. The lowest tracking error in the mid cap ETF category is 0.05% where as for sectoral ETFs...
rolling tracking difference是一个移动平均的概念,相当于daily difference的的不断移动的均值。通过rolling能看到这个ETF这一段时间不断演进的表现。 以上的这些特点和信息都是仅看静态的daily difference体现不出来的。 --- tracking error是标准差的概念,它的年化基于平方根法则。但这个考点对于计算没有要求,考纲要求...
实际应用中,许多指数基金和ETF都致力于降低跟踪误差波动率。例如,一些大型资产管理公司会通过精细化的投资管理和先进的交易技术,确保他们的指数基金能够紧密跟踪其基准指数。此外,一些投资者也会利用跟踪误差波动率来评估不同投资产品的优劣,从而做出更明智的投资决策。 希望以上回答能够帮助你更好地理解跟踪误差波动率及其...
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...
(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%) alsocontribute to lower excess returns and higher tracking error, which implies that EFA has the highest expected tracking erro...
前者的Granger原因;中国ETF基金价格“已实现”波动率序列与两种跟踪误差序列的同期及一、二阶滞后相关性 较高,而跟踪误差滞后于“已实现”波动率;当ETF基金的跟踪误差受外部市场条件的某一冲击后,将给ETF基金 价格“已实现”波动率带来同向的冲击,这一冲击具有一定的持续性和滞后性。 关键词:高频;基金;跟踪误差;...
For clarity, the Fund is previously Hang Seng Index ETF. With effect from 13 Sep 2022, Hang Seng Index ETF is delisted and renamed as Hang Seng Index Tracking Fund. Hang Seng Index Tracking Fund launch date: 13 Sep 2004. Tracking Difference and Tracking ErrorFund L...