YL2024-04-09 09:01:54
Module 1-书P16-Example 7-截图1中harmonic mean 分母中的数字取自Exhibit 7, 所以分母直接是(1/22.29)+(1/15.54)+...+(1/10.34)+(1/8.35),即公式里的分母=1/return, 截图2中,harmonic mean return 分母中的数字取自Exhibit 9, 但是分母计算式却是(1/1.045)+(1/1.06)+...+(1/1.055)+(1/1.04),即公式里的分母却是1/(1+return)? 我的疑问:harmonic mean和harmonic mean return 到底是不是同一个公式?为什么一个分母上的return直接用,不需要+1, 另一个分母上的return却是(return +1)? 书P15 harmonic mean formula (截图3) 只有一个,分母就是1/X, 为什么截图2里的题目求horamonic mean return, 分母却是1/(1+X)? 为什么会有两个公式?
回答(1)
KrisYip2024-04-10 17:11:37
同学你好,
协会对本example和本页有勘误,以下这段文字应该补充在example 7之前。
The harmonic mean only works for non-negative numbers, so
when working with returns that are expressed as positive or
negative percentages, we first convert the returns into a
compounding format, assuming a reinvestment, as (1 + R), as was
done in the geometric mean return calculation, and then
calculate (1 + harmonic mean), and subtract 1 to arrive at the
harmonic mean return.
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