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Quantitative Finance · Glosarium

Apa itu Total return index?

Definition 8.17 Markets I: The Ecosystem and Exchange-Traded Markets · Bab 8 — Shares, Corporate Actions and Indices

A price index reflects only price changes: on an ex-date it falls with its constituent. A total return index reinvests every dividend in the index on its ex-date (a net total return index after deducting a withholding tax), and is the correct benchmark for a fund that receives the dividends.

Five illustrative stocks under three weighting rules. Stock D, the smallest company, dominates the price-weighted index because its share price is 900; stock B, one of the largest companies, nearly vanishes from it. Data: the chapter’s script.
Figure 8.3. Five illustrative stocks under three weighting rules. Stock D, the smallest company, dominates the price-weighted index because its share price is 900; stock B, one of the largest companies, nearly vanishes from it. Data: the chapter’s script.
On day 30 stock B leaves a five-stock index and a larger company enters. With the level is continuous; without it the index “gains” a third in a day in which no price moved. Data: the chapter’s script.
Figure 8.4. On day 30 stock B leaves a five-stock index and a larger company enters. With Proposition 8.16 the level is continuous; without it the index “gains” a third in a day in which no price moved. Data: the chapter’s script.
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