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chiara9009 · 2022年11月07日

两者在reconstitution date为何不相等?

NO.PZ2018062002000042

问题如下:

Which of the following statements about price index and total index is mostly correct?

选项:

A.

The values of a price return index and a total return index consisting of identical equal-weighted dividend paying equities will be equal only at inception.

B.

The values of a price return index and a total return index consisting of identical equal-weighted dividend paying equities will be equal at inception and on balancing date.

C.

The values of a price return index and a total return index consisting of identical equal-weighted dividend paying equities will be equal at inception date and on reconstitution date.

解释:

A is correct.

The values of the price return and total return of an index are equal at inception.

考点:total return和 price return的区别

price return是只考虑价格变化,total index不仅考虑价格的变化,还需要考虑期间再投资收益。这两者只有在指数刚开始建立时才相等。

请看如下原版书的原文:

At inception, the values of the price and total return versions of an index are equal. As time passes, however, the value of the total return index, which includes the reinvestment of all dividends and/or interest received, will exceed the value of the price return index by an increasing amount.

指数reconstitution后,相当于重新构建了一个新的指数,不是相当于又回到了inception,price return 和total return不是相当于同时reset了嘛?

1 个答案

王园圆_品职助教 · 2022年11月07日

嗨,爱思考的PZer你好:


同学你好,reconstitution并不是重新构建一个新的指数。只是对原来指数中一些不合格的股票做剔除,然后再加上一些新的合格的股票

所以对于 重构以后的指数来说,那些没有被剔除掉但是却有分红产生的股票,这些分红产生的收益率依然会被带到指数重构以后,那就依然会使得该指数的price return和total return不一样哦

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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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