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裴佳慧 · 2025年07月09日

c为什么不对啊

NO.PZ2025021204000020

问题如下:

In a trending market, which of the following index characteristics most likely leads to higher returns?

选项:

A.Using a floating weighting scheme rather than a fixed weighting

B.Rebalancing at an increased frequency rather than a lower frequency

C.Including a large weight of commodities that typically trade in contango rather than in backwardation

解释:

If an index uses a floating weighting scheme, such as production value (fully or partially), then the higher (lower) futures prices usually coincide with higher (lower) physical prices. Therefore, with this kind of approach, the magnitude of rebalancing weights is generally lower than for a fixed-weight scheme because the post-rebalance weights will generally drift in line with the current portfolio weights. As a result, the S&P GSCI and BCOM indexes (using a floating weighting scheme) typically have lower rebalancing costs and—in a trending market—have an opportunity to outperform their fixed-weight index counterparts, particularly those that have a relatively frequent rebalance period.

B is incorrect because the relative performance of the monthly rebalanced indexes versus the annual rebalance of the other indexes will depend on the length of time of price trends: More frequent mean reversions should favor the former two indexes, but a longer-term trend will more likely favor the annually rebalancing indexes.

C is incorrect because indexes that choose (perhaps inadvertently) contracts that more commonly trade in backwardation may appear to improve forward-looking performance (because this generates a positive roll return), whereas those that more commonly trade in contango may hurt performance.

c放期货 在cag的市场中 期货不是大于现货嘛


1 个答案

pzqa35 · 2025年07月09日

嗨,爱思考的PZer你好:


C选项是从roll return的角度来看,contango的期货会有负的roll return,会导致收益降低。这还是可以回到我们的解题技巧,在contango/backwardation的概念中如果考到return,基本都是在考roll return。

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