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小米 · 2021年04月09日

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NO.PZ201809170400000201

问题如下:

Which of Tong’s statements regarding equity index benchmarks is (are) correct?

选项:

A.

Only Statement 1

B.

Only Statement 2

C.

Both Statement 1 and Statement 2

解释:

B is correct. The three requirements for an index to become the basis for an equity investment strategy are that the index be (a) rules based, (b) transparent, and (c) investable. Buffering makes index benchmarks more investable (Statement 2) by making index transitions a more gradual and orderly process.

A is incorrect because basing the index weight of an individual security solely on the total number of shares outstanding without using a free-float adjustment may make the index less investable. If a stock market cap excludes shares held by founders, governments, or other companies, then the remaining shares more accurately reflect the stock’s true liquidity. Thus a free-float adjustment (Statement 1) to a market index more accurately reflects its actual liquidity (it does not lower its liquidity). Many indexes require that individual stocks have float and average shares traded above a certain percentage of shares outstanding.

第一句话应该修改成 提高流动性 是不是就对了?

第二句话能帮忙解释下吗

1 个答案

maggie_品职助教 · 2021年04月10日

嗨,爱思考的PZer你好:


  1. 是的。许多市值为权重的股票指数对它所包含的成分股进行 "自由流通股调整" , 这意味着调整后它们占指数的权重只按可供公众交易的股票量进行计算 , 剔除创始人 、 政府或其他公司持有的非流通股票 。 这样调整后指数中全部的股票都是可以进行自有交易的,所以流动性是提高了而非降低了。因此说法1错在它说反了。关于free-float adjustment我举个简单的例子:假设某成分股在指数里一共有100股,其中40股为限售股。这说明在free float调整之前,100股中只有60%是流通的, 是investable的。在free float 调整后,剩下的60股 100%都是流通的, investable的, 所以是增加了流动性。用英文表达是free float reflects true liquidity,thus makes index more investable。
  2. 第二句话是正确的,buffering政策是指数供应商使用的,增加buffer的目的是为了降低每次指数调整的幅度(达到某一标准的股票才被调整),因为很多交易量小的股票,如果指数一次买或卖量太大,投资者可能就follow不上了。因此当指数供应商在构建指数时使用buffering,基金经理就可以更容易的去复制指数,因此指数就更加investable。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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NO.PZ201809170400000201问题如下 Whiof Tong’s statements regarng equity inx benchmarks is (are) correct?A.Only Statement 1B.Only Statement 2C.Both Statement 1 anStatement 2B is correct. The three requirements for inx to become the basis for equity investment strategy are ththe inx (rules base (transparent, an(investable. Buffering makes inx benchmarks more investable (Statement 2) making inx transitions a more graanorrly process.A is incorrebecause basing the inx weight of invisecurity solely on the totnumber of shares outstanng without using a free-floaustment mmake the inx less investable. If a stomarket cexclus shares helfounrs, governments, or other companies, then the remaining shares more accurately reflethe stock’s true liquity. Thus a free-floaustment (Statement 1) to a market inx more accurately reflects its actuliquity (it es not lower its liquity). Many inxes require thinvistocks have floanaverage shares traabove a certain percentage of shares outstanng.排除法做对的,知道buffering有降低调构成的成本的作用,但如何理解buffering使得组合more investable?

2023-11-28 11:12 1 · 回答

NO.PZ201809170400000201 Buffering makes inx benchmarks more investable (Statement 2) making inx transitions a more graanorrly process. 对于这句话的理解不够深入,请指点。 在之前听课的理解中,investible仅仅意味着“好买还是不好买”,也就是流动性问题。 而buffering解决的是“减少rebalancing”,也就是降低cost的问题。 这两件事不在一个层面上,为什么buffering能牵扯到investible? 谢谢!

2021-10-24 12:15 2 · 回答

NO.PZ201809170400000201 能一下statement1吗

2021-09-15 17:41 1 · 回答

NO.PZ201809170400000201 把流通盘调整后(剔除),发现可以交易的难度提升了,意思不就是说流动性对于投资者不好了?

2021-08-15 11:19 1 · 回答