1.6.8 Price Return

Price return, capital growth, or indirect return, measures the change in asset's value over a period of time relative to the initial value. The index-level price return is calculated as the weighted average using the market value of each constituent.

where:

and  denote constituent i's fair value estimates at times t and t-1 respectively.
 denotes the weight of constituent i at time t-1.

This is an input to the computation of price returns contribution