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🌊Yuri🌊 · 2023年10月05日

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  1. CFA I
  2. Equity

NO.PZ2023040301000070

问题如下：

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

The total return of the index is:

选项：

A.

5.0%

B.

7.9%

C.

11.4%

解释：

The total return of an index is calculated on the basis of the change in price of the underlying securities plus the sum of income received or the sum of the weighted total returns of each security. The total return of Able is 27.5 percent; of Baker is 0 percent; and of Charlie is 6.7 percent:

Able: (12 — 10 + 0.75)/10 = 27.5%

Baker: (19 — 20 + 1)/20 = 0%

Charlie: (30 — 30 + 2)/30 = 6.7%

An equal-weighted index applies the same weight (1/3) to each security's return; therefore, the total return = 1/3 X (27.5% + 0% + 6.7%) = 11.4%.

一点都没搞懂，所以算total return不可以全部加总，得先一个一个算完了再加总相除？

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1 个答案

王园圆_品职助教 · 2023年10月05日

同学你好，你除了看到题目问的是total return，还要看题目是哪种指数构建方式的啊

本题说了“ equal-weighted index comprised of assets Able, Baker, and Charlie:”，等权重指数和别的指数构建方式肯定计算return的方式不一样的

根据以下讲义公式，等权重指数的return=每个股票的return/股票的总数，所以本题才用每个股票都计算一个total return，然后再平均得到整个指数的return

具体等权重指数的value为什么这么计算的，下面的图中也提供了具体推导，同学有兴趣可以看下


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NO.PZ2023040301000070问题如下 analyst gathers the following information for equal-weighteinx compriseof assets Able, Baker, anCharlie:The totreturn of the inx is: A.5.0%B.7.9%C.11.4% The totreturn of inx is calculateon the basis of the change in priof the unrlying securities plus the sum of income receiveor the sum of the weightetotreturns of easecurity. The totreturn of Able is 27.5 percent; of Baker is 0 percent; anof Charlie is 6.7 percent:Able: (12 — 10 + 0.75)/10 = 27.5%Baker: (19 — 20 + 1)/20 = 0%Charlie: (30 — 30 + 2)/30 = 6.7%equal-weighteinx applies the same weight (1/3) to easecurity's return; therefore, the totreturn = 1/3 X (27.5% + 0% + 6.7%) = 11.4%. price- weigh可以每个公司的return分别计算出来除以3吗

2024-08-10 23:38 1 · 回答

NO.PZ2023040301000070问题如下 analyst gathers the following information for equal-weighteinx compriseof assets Able, Baker, anCharlie:The totreturn of the inx is: A.5.0%B.7.9%C.11.4% The totreturn of inx is calculateon the basis of the change in priof the unrlying securities plus the sum of income receiveor the sum of the weightetotreturns of easecurity. The totreturn of Able is 27.5 percent; of Baker is 0 percent; anof Charlie is 6.7 percent:Able: (12 — 10 + 0.75)/10 = 27.5%Baker: (19 — 20 + 1)/20 = 0%Charlie: (30 — 30 + 2)/30 = 6.7%equal-weighteinx applies the same weight (1/3) to easecurity's return; therefore, the totreturn = 1/3 X (27.5% + 0% + 6.7%) = 11.4%. 什么样的指数计算权重时可以先加总再计算return？

2024-08-08 17:18 1 · 回答