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kevinzhu · 2019年12月21日

问一道题:NO.PZ2018062002000043

问题如下:

Ahern, an analyst from an investment company, recently gathered the following information for an equal-weighted index comprised of assets A, B, and C:

What is the price return of this index?

选项:

A.

2.7%.

B.

3.79%.

C.

9.69%.

解释:

The price return is the sum of each stock's weighted return. The return of A is1088=25%\frac{\displaystyle10-8}{\displaystyle8}=25\% ; the return of B is192222=13.64%\frac{\displaystyle19-22}{\displaystyle22}=-13.64\% ; and the return of C is252525=0%\frac{\displaystyle25-25}{\displaystyle25}=0\% . Each asset is equal weighted in this index is 13\frac13; therefore, the price return is 25%+(13.64%)+03=3.79%\frac{\displaystyle25\%+(-13.64\%)+0}{\displaystyle3}=3.79\%.

为啥不能[(10+19+25)-(8+22+25)]/(8+22+25)=-1.81% ?

1 个答案

maggie_品职助教 · 2019年12月22日

注意这道题问的是 equal-weighted index,不是price weighted(你计算的是价格加权指数的收益率)。等权重指数的收益率等于三只股票的收益率之和再除以三。这里如果有疑惑,可以再去听下基础班。

mitmit · 2020年03月03日

老师,这里 为什么不能假设都是一样的钱买到这几只股票,来进行计算呢?记得之前有一题是这样计算来着

maggie_品职助教 · 2020年03月04日

可以啊,你可以算一下(等权重下两种方法都可以),结果是一样的。

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NO.PZ2018062002000043 问题如下 Ahern, analyst from investment company, recently gatherethe following information for equal-weighteinx compriseof assets anC:Whis the prireturn of this inx? A.2.7%. B.3.79%. C.9.69%. is correct.The prireturn is the sum of eastock's weightereturn. The return of A is10−88=25%\frac{\splaystyle10-8}{\splaystyle8}=25\%810−8​=25% ; the return of B is19−2222=−13.64%\frac{\splaystyle19-22}{\splaystyle22}=-13.64\%2219−22​=−13.64% ; anthe return of C is25−2525=0%\frac{\splaystyle25-25}{\splaystyle25}=0\%2525−25​=0% . Eaasset is equweightein this inx is 13\frac1331​; therefore, the prireturn is 25%+(−13.64%)+03=3.79%\frac{\splaystyle25\%+(-13.64\%)+0}{\splaystyle3}=3.79\%325%+(−13.64%)+0​=3.79%.考点Metho of inx construction这道题让我们计算的是等权重构建方法下的指数的prireturn,所以我们首先要区分prireturn和totreturn,计算prireturn不需要包括期间的收益即股息。第二,这里是等权重的构建方法,等权重相当于每只股票买了相同的金额,那么我们就先计算每种股票的收益率再除以股票种类。 为什么不能用1/3*(8+22+25)和1/3*(enof perio三个价格之和)来算return?

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