l*********g
发帖数: 1899 | |
Y******u
发帖数: 1912 | 2 are there anyone except financial newspaper still looking at INDU now?
answer to your question is easy: INDU is price weighted and SPX is mkcap
weighted.
why is price weighted index a bad indicator of market? just give you an
example, GE and IBM are both around 200 - 250B mkcap so we can say their
size are similar. but in INDU IBM has around 10% weight while GE only has 1%
, therefore a price move in IBM is 10 times more important than GE in INDU,
making INDU totally useless |
C******n
发帖数: 9204 | 3 我印象中的fact是SP500和aggregate stock market(NYSE/AMEX/NASDAQ)的return
series很相似。道琼斯工业指数？好像没怎么见人用过吧。 |
q**j
发帖数: 10612 | 4 the most important reason is dj is price weighted, so you have to rebalance
to maintain the weight, while sp500 requires almost no trading. for this
kind of indexes, low trading cost means the winner vs. loser.
1%
,
【在 Y******u 的大作中提到】
: are there anyone except financial newspaper still looking at INDU now?
: answer to your question is easy: INDU is price weighted and SPX is mkcap
: weighted.
: why is price weighted index a bad indicator of market? just give you an
: example, GE and IBM are both around 200 - 250B mkcap so we can say their
: size are similar. but in INDU IBM has around 10% weight while GE only has 1%
: , therefore a price move in IBM is 10 times more important than GE in INDU,
: making INDU totally useless
|
l*********g
发帖数: 1899 | 5 谢谢YonahYou, Culverin, qqzj 的回复解惑。
rebalance
【在 q**j 的大作中提到】
: the most important reason is dj is price weighted, so you have to rebalance
: to maintain the weight, while sp500 requires almost no trading. for this
: kind of indexes, low trading cost means the winner vs. loser.
:
: 1%
: ,
|
j****q
发帖数: 204 | 6 必须是SP500啊。。。看看ETF交易量option交易量就知道了
ls说是price weighted。。。我只能说版上果然学术人才多于金融人才。。。
Nikkei225也是price weighted，那不是也没人用没人看了？
DJIA只有30只股票才是硬伤，30支股票毛的代表不了，要来做benchmark有何用？
【在 l*********g 的大作中提到】
: 原因是什么呢？
: 谢谢。
|
c*******y
发帖数: 1630 | 7 不一定，对于商品货币，道琼斯30还是很可以看看的，关联性很强。
【在 j****q 的大作中提到】
: 必须是SP500啊。。。看看ETF交易量option交易量就知道了
: ls说是price weighted。。。我只能说版上果然学术人才多于金融人才。。。
: Nikkei225也是price weighted，那不是也没人用没人看了？
: DJIA只有30只股票才是硬伤，30支股票毛的代表不了，要来做benchmark有何用？
|
C******n
发帖数: 9204 | 8 哦？这个是为什么？commidity不是和macro, inventory关系大么？
【在 c*******y 的大作中提到】
: 不一定，对于商品货币，道琼斯30还是很可以看看的，关联性很强。
|
p***u
发帖数: 21 | 9 很惊讶有人说DJ，SP500的重要性比DJ,NQ高不止一个level啊，当然它们都是highly
correlated。 |
