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小蜜蜂jj1 · 2022年01月26日

计算方法

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:

B is correct.

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\%.

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。

这种题目是否可以理解为,看见求price return首先可以排除div影响,然后看题目中是equalweighted还是pricedweighted,equal就用比率除以3,priced直接用价格和相除减1呢
1 个答案

王园圆_品职助教 · 2022年01月26日

嗨,努力学习的PZer你好:


同学你好,你的理解是正确的哦~~

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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