2.6.8 Price return
Price return, capital growth, or indirect return, measures the change in an 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 the price and cash returns contribution.