R40 练习: 证券市场指数
考纲范围
- describe a security market index
- calculate and interpret the value, price return, and total return of an index
- describe the choices and issues in index construction and management
- compare the different weighting methods used in index construction
- calculate and analyze the value and return of an index given its weighting method
- describe rebalancing and reconstitution of an index
- describe uses of security market indexes
- describe types of equity indexes
- compare types of security market indexes
- describe types of fixed-income indexes
- describe indexes representing alternative investments
Q1.
Which of the following statements about the security market index is least accurate?
A. Security market index is like a portfolio of securities when being constructed and managed.
B. Security market index can represent the performance of a given security market, market segment, or asset class.
C. Security market index must use the actual market prices of the constituent securities.
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答案：C
解析：证券市场指数不一定必须使用实际市场价格。某些指数（如债券指数）可能使用估计价格或做市商报价。A和B都是正确的描述。
选项 判断 解析 A ✗ 指数构建和管理确实类似于投资组合 B ✗ 指数确实可以代表特定市场、板块或资产类别的表现 C ✓ 指数不一定必须使用实际市场价格 关联：R40: 证券市场指数
Q2.
Which of the following statements is correct regarding the security market indices?
A. A price return index not only reflects the price changes of the constituent securities, but also the reinvestment of all income received since inception.
B. A total return index reflects the reinvestment of all income received since inception.
C. The value of price return index is always higher than that of the total return index.
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答案：B
解析：总回报指数（total return index）反映了自成立以来所有收入的再投资。价格回报指数仅反映价格变化，不包括收入再投资（A错误）。总回报指数的价值通常高于价格回报指数（C反了）。
选项 判断 解析 A ✗ 价格回报指数只反映价格变化，不包括收入再投资 B ✓ 总回报指数确实反映所有收入的再投资 C ✗ 总回报指数的值通常高于价格回报指数 关联：R40: 证券市场指数
Q3.
John’s head manager asked him to calculate the annual price return of an index constituting of stock X and stock Y with equal weighting method. On 1st January 2019, the share prices of stock X and stock Y were $10 and $15 respectively. On 31st December 2019, the share prices of stock X and stock Y were $16 and $18 respectively. During this period, only stock X distributed $2 dividend per share. The price return of the index consisting of 2 stocks is closest to:
A. 40%.
B. 36%.
C. 30%.
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答案：A
计算过程：等权重指数中，每只股票权重相等。
注意：价格回报不包括股息。
选项 判断 解析 A ✓ 等权重价格回报 = (60%+20%)/2 = 40% B ✗ 36%可能误将股息纳入计算 C ✗ 30%计算有误 关联：R40: 证券市场指数
Q4.
Which of the following statement regarding index construction is most correct?
A. The investment universe can be determined after identifying the target market.
B. The constituent securities usually include all of the stocks in the target market.
C. The target market cannot be identified narrowly.
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答案：A
解析：指数构建步骤：首先确定目标市场，然后确定投资范围（investment universe），再选择成分证券。成分证券通常不包括目标市场的所有股票（B错误）。目标市场可以被广泛或狭窄地定义（C错误）。
选项 判断 解析 A ✓ 确定目标市场后才能确定投资范围 B ✗ 成分证券通常是目标市场的子集 C ✗ 目标市场可以广泛或狭窄定义 关联：R40: 证券市场指数
Q5.
Constructing and managing a security market index is similar to constructing and managing a portfolio of securities. When creating a security market index, the first step is:
A. determining appropriate weighting method.
B. selection of constituent securities.
C. determining target market.
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答案：C
解析：构建指数的第一步是确定目标市场（target market），然后选择成分证券，再确定加权方法，最后是再平衡和再审查。
选项 判断 解析 A ✗ 确定加权方法不是第一步 B ✗ 选择成分证券在确定目标市场之后 C ✓ 确定目标市场是构建指数的第一步 关联：R40: 证券市场指数
Q6.
Which of following is least likely consistent with fundamental weighting index?
A. Fundamental weighting index uses dividends, cash flow, or book value as weights.
B. Fundamental weighting index could have contrarian effect.
C. Fundamental weighting index should be rebalanced most frequently.
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答案：C
解析：基本面加权指数使用股息、现金流或账面价值作为权重（A正确），具有逆向投资效应（contrarian effect，B正确）。需要最频繁再平衡的是等权重指数，而非基本面加权指数（C错误）。
选项 判断 解析 A ✗ 基本面加权确实使用基本面指标作为权重 B ✗ 基本面加权确实具有逆向投资效应 C ✓ 等权重指数需要最频繁再平衡，不是基本面加权 关联：R40: 证券市场指数
Q7.
If a 2-for-1 split just occurs for a constituent stock in the index, the divisor has to be adjusted corresponding to the stock split. Which index weighting method is the index most likely using?
A. Fundamental weighting
B. Price weighting
C. Market-capitalization weighting
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答案：B
解析：价格加权指数（如道琼斯工业平均指数）在成分股发生拆股时需要调整除数（divisor），以确保指数值不因拆股而变化。市值加权和基本面加权指数不需要因拆股调整除数。
选项 判断 解析 A ✗ 基本面加权不需要因拆股调整除数 B ✓ 价格加权指数需要在拆股时调整除数 C ✗ 市值加权不需要因拆股调整除数（总市值不变） 关联：R40: 证券市场指数
Q8.
Jason is a passive investor and trying to find some favorable indexes to follow. He observed two indexes which consist of the same securities, the price return of the market-capitalization weighted index is greater than that of the price-weighted index. This is most likely caused by:
A. outperformance of large-market-capitalization stocks.
B. stock splits.
C. outperformance of highly priced securities.
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答案：A
解析：市值加权指数的回报高于价格加权指数，说明大市值股票（市值加权中权重大）表现优于高价格股票（价格加权中权重大）。因此是大市值股票的超额表现导致的。
选项 判断 解析 A ✓ 大市值股票表现好会使市值加权指数回报更高 B ✗ 拆股会降低价格加权指数中该股权重，但不直接导致此结果 C ✗ 高价股表现好会使价格加权指数回报更高 关联：R40: 证券市场指数
Q9.
Regarding an equally-weighted index, which of the following statements is most accurate?
A. The divisor should be adjusted when a stock split occurs.
B. Small-cap stocks are over-presented.
C. It leads to indexes that have a momentum tilt.
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答案：B
解析：等权重指数中每只股票权重相同，因此小市值股票的权重相对于其市值被高估（over-represented）。等权重指数不需要因拆股调整除数（A错误）。等权重指数不具有动量倾向，而是可能需要频繁再平衡（C错误，动量倾向是市值加权的特征）。
选项 判断 解析 A ✗ 等权重指数不需要因拆股调整除数 B ✓ 小市值股票在等权重指数中被过度代表 C ✗ 动量倾向是市值加权指数的特征 关联：R40: 证券市场指数
Q10.
The index which is excluding shares unavailable to the public and to foreign investors is best described as:
A. free-float-adjusted market capitalization weighting index.
B. float-adjusted market-cap weighting index.
C. market-capitalization weighting index.
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答案：A
解析：自由流通市值调整加权指数（free-float-adjusted market capitalization weighting index）排除了不向公众和外国投资者开放的股份，只计算自由流通的股份进行加权。
选项 判断 解析 A ✓ 自由流通调整市值加权指数排除不可交易的股份 B ✗ 浮动调整市值加权指数与A类似但描述不够精确 C ✗ 普通市值加权指数使用全部股份计算 关联：R40: 证券市场指数
Q11.
An index includes three constituent stocks. Their stock prices are shown in the following table. What is the price return of the index in May using price-weighted method?
| Stock | April price | May price | Shares outstanding |
|---|---|---|---|
| A | 20 | 25 | 1200 |
| B | 45 | 40 | 800 |
| C | 32 | 35 | 1000 |
A. 3.09%
B. 4.15%
C. 4.23%
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答案：A
计算过程：价格加权方法中，指数值为成分股价格之和除以除数。
选项 判断 解析 A ✓ 价格加权回报 = (100-97)/97 = 3.09% B ✗ 可能使用了错误的加权方法 C ✗ 可能使用了错误的加权方法 关联：R40: 证券市场指数
Q12.
Alice, a well-known analyst constructed an equally-weighted index one year ago, which inclueded 3 leading companies in the precious metals industry. She wants to calculate the total return over the period. Based on the information below, what is the total return?
| Security | Beginning of Period Price ($) | End of Period Price ($) | Total Dividends ($) | Shares Outstanding |
|---|---|---|---|---|
| Company A | 10 | 8 | 2 | 5,000 |
| Company B | 20 | 22 | 1 | 10,000 |
| Company C | 25 | 29 | 2 | 10,000 |
A. 16.4%
B. 2%
C. 13%
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答案：C
计算过程：等权重指数中，每只股票权重相等（1/3）。
选项 判断 解析 A ✗ 16.4%可能使用了市值加权 B ✗ 2%计算有误 C ✓ 等权重总回报 = (0%+15%+24%)/3 = 13% 关联：R40: 证券市场指数
Q13.
Chen Orange, CFA, collects the following information for a market-capitalization weighting index:
| Security | Beginning of period price | Shares outstanding | End of period price | Dividends per share |
|---|---|---|---|---|
| Avada | $36 | 1,000 | 40 | 2 |
| Crucio | $20 | 2,300 | 18 | 0 |
| Deffindo | $84 | 3,500 | 85 | 3 |
The total return of the index is:
A. 0.77%
B. 3.81%
C. 4.10%
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Q14.
If an index provider feels like rebalancing an index, the purpose of the index provider is most likely:
A. to change constituent securities to maintain consistency with the target market.
B. to adjust constituent securities’ weights to achieve best investment performance.
C. to adjust constituent securities’ weights to maintain consistency with the index’s weighting method.
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答案：C
解析：再平衡（rebalancing）的目的是调整成分证券的权重，使其与指数的加权方法保持一致。改变成分证券是重建（reconstitution，A的描述）。再平衡不是为了获得最佳投资表现（B错误）。
选项 判断 解析 A ✗ 改变成分证券属于重建（reconstitution） B ✗ 再平衡不是为了最佳投资表现 C ✓ 再平衡目的是使权重与加权方法保持一致 关联：R40: 证券市场指数
Q15.
Market indexes can be used for a few purposes, except:
A. gauge of investor confidence or market sentiment.
B. proxy for measuring returns, unsystematic risk, and risk-adjusted performance.
C. model portfolios for index funds and ETFs.
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答案：B
解析：市场指数可用于衡量投资者信心/市场情绪（A），以及作为指数基金和ETF的模型组合（C）。市场指数是衡量回报和系统性风险（systematic risk）的代理变量，而非非系统性风险（unsystematic risk），因此B不正确。
选项 判断 解析 A ✗ 指数可用于衡量市场情绪 B ✓ 指数衡量的是系统性风险，不是非系统性风险 C ✗ 指数可作为指数基金和ETF的模型组合 关联：R40: 证券市场指数
Q16.
Which of the following is an example of a broad market index?
A. Germany Large-Cap Growth Index
B. Japanese Energy Index
C. Shanghai Stock Exchange Composite Index
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答案：C
解析：上海证券交易所综合指数（Shanghai Stock Exchange Composite Index）是广泛市场指数（broad market index），覆盖整个市场。德国大盘成长指数（A）和日本能源指数（B）分别是风格指数和行业指数。
选项 判断 解析 A ✗ 这是一个风格/规模指数 B ✗ 这是一个行业指数 C ✓ 上证综指是覆盖整个市场的广泛市场指数 关联：R40: 证券市场指数
Q17.
In contrast with equity index, bond index has the following characteristics except that:
A. bond index has a broad universe.
B. bond index has less turnover.
C. bond index providers rely on dealers for prices.
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答案：B
解析：与股票指数相比，债券指数特征包括：更广泛的范围（A）、更高的周转率（因为债券到期需要替换，所以B说”更少周转率”是错误的）、以及依赖做市商提供价格（C）。
选项 判断 解析 A ✗ 债券指数确实有更广泛的范围 B ✓ 债券指数的周转率更高（非更低），因为债券会到期 C ✗ 债券指数确实依赖做市商提供价格 关联：R40: 证券市场指数
Q18.
Compared to equity indexes, the constituent securities of fixed-income indexes are most likely:
A. with longer investment horizon.
B. with frequent and transparent price data.
C. classified along more dimensions.
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答案：C
解析：与股票指数相比，固定收益指数的成分证券沿更多维度分类（如发行人、期限、信用质量、货币、是否有通胀保护等）。固定收益证券的价格数据不如股票频繁透明（B错误）。投资期限不一定更长（A不准确）。
选项 判断 解析 A ✗ 固定收益证券期限各异，不一定更长 B ✗ 债券价格数据不如股票频繁透明 C ✓ 固定收益指数沿更多维度分类 关联：R40: 证券市场指数
Q19.
Considering the fixed-income index, which of the following is not a characteristic of it?
A. Narrow universe
B. High turnover
C. Iliquidity
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答案：A
解析：固定收益指数的特征包括：广泛的范围（broad universe）、高周转率（债券到期需替换）、流动性低（illiquidity）。A说”范围狭窄”是错误的，应该是范围广泛。
选项 判断 解析 A ✓ 固定收益指数范围广泛（broad），不是狭窄的 B ✗ 高周转率是固定收益指数的特征 C ✗ 流动性低是固定收益指数的特征 关联：R40: 证券市场指数
Q20.
Which of the following is not a dimension for classifying fixed-income indexes?
A. currency of payments
B. coupon payment frequency
C. absence or presence of inflation protection
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答案：B
解析：固定收益指数的分类维度包括：发行人类型、期限、信用质量、支付货币（A）、是否有通胀保护（C）等。票息支付频率（coupon payment frequency）不是主要的分类维度。
选项 判断 解析 A ✗ 支付货币是固定收益指数的分类维度 B ✓ 票息支付频率不是主要的分类维度 C ✗ 是否有通胀保护是固定收益指数的分类维度 关联：R40: 证券市场指数
Q21.
Regarding the various alternative investment indices, which of the following is most accurate?
A. The performance of commodity indices could be different from the underlying commodities’.
B. Hedge fund indices do not suffer from survivorship bias.
C. Real estate indices can only be classified into appraisal indices and repeat sales indices.
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答案：A
解析：商品指数基于期货合约价格，其表现可能与标的商品不同（A正确）。对冲基金指数存在幸存者偏差（survivorship bias，B错误）。房地产指数包括评估指数、重复销售指数和REIT指数三类（C错误）。
选项 判断 解析 A ✓ 商品指数基于期货，表现可能与标的商品不同 B ✗ 对冲基金指数确实存在幸存者偏差 C ✗ 房地产指数还包括REIT指数 关联：R40: 证券市场指数
Q22.
Which of the following statement is correct?
A. Commodity index only use equal-weighting method.
B. Commodity index values are based on futures contract prices.
C. Commodity index’s return is exactly the same with the underlying commodities.
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答案：B
解析：商品指数的价值基于期货合约价格（B正确）。商品指数不一定只使用等权重方法（A错误）。由于基于期货而非现货，商品指数回报与标的商品不完全相同（C错误）。
选项 判断 解析 A ✗ 商品指数使用多种加权方法 B ✓ 商品指数确实基于期货合约价格 C ✗ 期货回报与现货回报不完全相同 关联：R40: 证券市场指数