AI For Trading: How an Index is Constructed (34)

How to construct

Let's see how an index is constructed and updated to see where the index number comes from.

Hang Seng Index

Suppose the Hang Seng Index started at 100 points on its very first day of creation. Let’s also pretend that the total market cap of all fifty companies in the index sums to 100 billion hong kong dollars.
假设恒生指数在创建的第一天就开始于100点。让我们假装指数中所有50家公司的总市值达到1000亿港元。

On day 2, let’s say the market cap changed to 102 billion. The percent change is HK$ 102b / HK$ 100b = 1.02 or a 2% increase.
在第2天,假设市值变为1020亿。
Multiply day one’s index value of 100 points by this 2% increase: 100 points \times× 1.02 = 102 points So day two’s index value is 102 points

练习题

A market cap weighted index has only two stocks, A and B. On day 1, the index has a value of 100. Stock A has a market cap of 100 million, while stock B has a market cap of $200 million. One month later, stock A has a market cap of $105 million, while stock B has a market cap of $210 million. What is the value of the index?

A:100
B:105
C:110
D: 120

答案:B
On day 1, the total market cap is $100 + $200 = $300 million.
One month later, the total market cap is $105 + $210 = $315 million.
The percent change in market cap over a month is 315/300 -1, or 5%.
Adding 5% to the index of 100 points is 105 points.

Hang Seng Index Construction

Free Float(自由浮动)

  • Free float shares refers to the number of shares that are liquid and tradable on the stock exchange.

  • 自由流通股是指在证券交易所流动和可交易的股票数量。

  • Free float shares may be considered a better measure when calculating market cap because only free float shares can be bought or sold, which means only the trade of free float shares affects the market movement of the stock.

  • 在计算市值时,自由流通股可能被视为更好的衡量标准,因为只有自由流通股可以买入或卖出,这意味着只有自由流通股的交易才会影响股票的市场走势。

Capped Index(上限指数)

Now let’s define a capped index. First of all, the English is a bit funny in that the word “cap” that we’re using here has a different meaning from market cap. The “cap” in this context is similar to the concept of putting a cap on a cookie jar, or putting a cap on your daily spending on cookies. It refers to setting a maximum limit.
现在让我们定义一个上限索引。首先,英语有点滑稽,我们在这里使用的“上限”一词与市值有不同的含义。在这种情况下,“上限”类似于在饼干罐上盖帽,或者限制你在饼干上的每日消费。它指的是设置最大限制。

Tencent holding has a market capitalization of 4 trillion hong kong dollars, while the market capitalization of all companies in the Hang Seng Index, including Tencent, is about 20 trillion.
腾讯控股的市值为4万亿港元,而包括腾讯在内的恒生指数所有公司的市值约为20万亿。

So Tencent actually accounts for about 4 divided by 20, or 20% of the value of these 50 companies. An index that tries to keep large companies from dominating the index is called a capped index, because it sets a maximum weight that can be assigned to a single company. In the case of the Hang Seng Index, the largest allowed weight assigned to any single company is 15% so Tencent is assigned a weight of 15% and not 20%.
因此,腾讯实际上约占4个,除以20个,即这50个公司价值的20%。试图阻止大公司控制索引的索引称为上限索引,因为它设置了可分配给单个公司的最大权重。就恒生指数而言,分配给任何一家公司的最大允许权重为15%,因此腾讯的权重为15%而不是20%。

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