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椰子鸡 · 2024年04月10日

麻烦解释一下AB

NO.PZ2023040301000081

问题如下:

Which of the following statements regarding a commodity index is most accurate?

选项:

A.

Commodity index returns differ from the changes in the prices of their underlying commodities

B.

Commodity indices commonly use an equal weighting method

C.

Commodity indices in the same markets will share similar risk and return profiles

解释:

The performance of commodity indices can be different from their underlying commodities because the indices consist of futures contracts on the commodities rather than the actual commodities. Commodity index returns reflect the risk-free interest rate, the changes in future prices, and the roll yield.

1

1 个答案

王园圆_品职助教 · 2024年04月10日

请看以下原版书截图,A选项对应蓝色部分——因为大宗商品指数是由futures构成而非底层资产直接构成,而futures price受到的影响因素和底层资产并不一致,所以指数本身表现就和底层资产不一致,B 对应黄色部分——不同大宗商品指数的构建方式都很不同,不是普遍都用 equal weighting方式构建的