陈同学2021-10-23 20:04:31

老师，equity以下这两点我很混淆：对于full replication来说，a large number of constituents会增大index的tracking error. 但是对于active share来说，the portfolio with the fewer securities and therefore higher degree of concentration in positions will have a higher level of Active Share，同时也会增大active risk。我觉得这两点很矛盾。 Full replication ：An index that contains a large number of constituents will tend to create higher tracking error than one with fewer constituents. The manager will naturally first purchase the largest, most liquid, lowest cost stocks. But as more stocks are added and the portfolio approaches full replication, the added stocks will be less liquid, increasing the effect of transaction costs on tracking error. 1) Comparison of active share If two portfolios with the same benchmark invest only in benchmark securities, the portfolio with the fewer securities and therefore higher degree of concentration in positions will have a higher level of Active Share.