Reconstructing Chinese Stock Industry Returns from Constituents
Summary
The post asks how to reproduce a Chinese stock industry return series from constituent-level data. It identifies three aggregation methods: equal weighting, weighting by total shares, and weighting by free-float shares. The example query retrieves constituent returns and share or market-cap fields alongside the reported industry return, then filters to one industry and date range.
The code shown averages the constituent change ratios, which corresponds to an arithmetic mean only if the rows represent the intended constituents for each date. For weighted methods, constituent returns need to be combined with the relevant weights; lagging market-cap values may be intended to avoid using same-day values, but the post does not explain the calculation or confirm the correct timing. The query also includes a trailing comma in its select list, and the final averaging expression does not group by date. No answer or comparison against the published series is provided, so the post raises a useful data-reconstruction question without resolving it.
Key ideas
- Industry returns may be calculated with equal weights, total-share weights, or free-float-share weights.
- A simple mean of constituent returns corresponds to equal weighting, not either share-weighted method.
- Reconstruction requires matching constituent membership and weights to each date.
- The post provides sample data retrieval code but no validated result or explanation of the discrepancy.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.