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Grace · 2021年04月13日

请问下这题石EQUAL-WEIGHTED INDEX为什么不用USD1000去除以三种证券的价格求份额？VS R37.14

  1. CFA I
  2. Equity

NO.PZ2015122802000043

问题如下：

An analyst gathers the following information for an equal-weighted index comprised of assets Able, Baker, and Charlie:

The price return of the index is:

选项：

A.

1.7%.

B.

5.0%.

C.

11.4%.

解释：

B is correct.

The price return is the sum of the weighted returns of each security. The return of Able is 20 percent [(12 – 10)/10]; of Baker is –5 percent [(19 – 20)/20]; and of Charlie is 0 percent [(30 – 30)/30]. The price return index assigns a weight of 1/3 to each asset; therefore, the price return is 1/3 × [20% + (–5%) + 0%] = 5%.

考点：Methods of index construction

这道题让我们计算的是等权重构建方法下的指数的price return，所以我们首先要区分price return和total return，计算price return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。

请问下这题石EQUAL-WEIGHTED INDEX为什么不用USD1000去除以三种证券的价格求份额？VS R37.14

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1 个答案

Debrah_品职答疑助手 · 2021年04月13日

嗨，爱思考的PZer你好：


equal-weighted相当于每只股票买了相同的金额，通常有两种计算方法，这两个方法均可以。

第一种，你可以先计算每种股票的收益率再除以股票数量（3.1 (R37,6)的做法）

第二种，假设购买的金额，然后计算index变化（3.8 (R37,14) 的做法）

譬如还是拿3.1举例，也可以假设期初每只股票买了30块钱，那ABC分别买了3股、1.5股、1股，期初index市值90块钱。期末，市值变为12*3+19*1.5+30*1=94.5，所以price return=94.5/90-1=5%

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