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弓 · 2021年10月24日

Buffering makes index benchmarks more investable (Statement 2) by making index transitions a more gradual and orderly process.

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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.

Buffering makes index benchmarks more investable (Statement 2) by making index transitions a more gradual and orderly 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!

2 个答案

笛子_品职助教 · 2021年10月25日

嗨,努力学习的PZer你好:


常见的陷阱我们都摸熟了哈哈。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

笛子_品职助教 · 2021年10月24日

嗨,从没放弃的小努力你好:


investible是好买还是不好买,“好买与不好买”这里不仅仅只是解决流动性的问题,它也涉及到交易成本。


Buffering,以及其他几种指数的调整方式,它们都是为了让track index的基金,交易更加方便,减少交易频率和因为频繁交易带来的交易成本,或者减少一次性过大的交易对带来的冲击成本。


强化班第6页的知识点,也给non- investable下了定义,也可以看到,它涉及流动性和交易成本两个方面


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虽然现在很辛苦,但努力过的感觉真的很好,加油!

弓 · 2021年10月24日

厉害啊,竟然可以从non-investible倒推~这股子阴风颇有协会实际考题的挖坑做派

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