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锦程Connie · 2020年03月05日

问一道题:NO.PZ2018062002000047 [ CFA I ]

问题如下:

Drew, an analyst from an investment company, recently gathered the following information for a market-capitalization-weighted index comprised of securities D,E,F:

What is the index's total return?

选项:

A.

3.04%.

B.

5.17%.

C.

8.12%

解释:

The total return of the market-capitalization-weighted index =end  of  period  value  +  total  dividends    beginning    of  period  value  beginning    of  period  value=15,750,000+1,245,00016,160,00016,160,0005.17%=\frac{end\;of\;period\;value\;+\;total\;dividends\;-\;beginning\;\;of\;period\;value\;}{beginning\;\;of\;period\;value}=\frac{15,750,000+1,245,000-16,160,000}{16,160,000}\approx5.17\% ,is calculated as the table below:

麻烦老师给下具体计算步骤,有点没看懂。谢谢
1 个答案

maggie_品职助教 · 2020年03月06日

嗨,从没放弃的小努力你好:


这道题解析中的表格数据已经很清晰的展示的各项数据的计算,因为是市值加权,所以期初和期末价值都是股票价格乘以其股票数量,因为是计算total return,所以在计算时还要考虑股息。

这道题唯一的坑就是在计算出各只股票收益率后,要得到最终的5.17,我们需要对三个return进行加权平均。这个道题考察的是以市值做权重的指数,所以加权平均时权重用的是他们各自的市值占总市值的比例。


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努力的时光都是限量版,加油!


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