5Security-MarketIndicatorSeries(投资分析与投

LecturePresentationSoftwaretoaccompanyInvestmentAnalysisandPortfolioManagementSeventhEditionbyFrankK.Reilly&KeithC.BrownChapter5Chapter5Security-MarketIndicatorSeriesQuestionstobeanswered:•Whataresomemajorusesofsecurity-marketindicatorseries(indexes)?•Whatarethemajorcharacteristicsthatcausealternativeindexestodiffer?•Whatarethemajorstock-marketindexesintheUnitedStatesandgloballyandwhataretheircharacteristics?Chapter5Security-MarketIndicatorSeries•Whatarethemajorbond-marketindexesfortheUnitedStatesandtheworld?•Whataresomeofthecompositestock-bondmarketindexes?•Wherecanyougethistoricalandcurrentdataforalltheseindexes?•Whatistheshort-runrelationshipamongmanyoftheseindexesintheshortrun(monthly)?UsesofSecurity-MarketIndexes•Asbenchmarkstoevaluatetheperformanceofprofessionalmoneymanagers•Tocreateandmonitoranindexfund•Tomeasuremarketratesofreturnineconomicstudies•Forpredictingfuturemarketmovementsbytechnicians•AsasubstituteforthemarketportfolioofriskyassetswhencalculatingthesystematicriskofanassetDifferentiatingFactorsinConstructingMarketIndexesThesample•size•breadth•sourceDifferentiatingFactorsinConstructingMarketIndexesWeightingofsamplemembers•price-weightedseries•value-weightedseries•unweighted(equallyweighted)seriesDifferentiatingFactorsinConstructingMarketIndexesComputationalprocedure•arithmeticaverage•computeanindexandhaveallchanges,whetherinpriceorvalue,reportedintermsofthebasicindex•geometricaverageStock-MarketIndicatorSeriesPriceWeightedSeries•DowJonesIndustrialAverage(DJIA)•Nikkei-DowJonesAverageValue-WeightedSeries•NYSEComposite•S&P500Indexandmore…UnweightedPriceIndicatorSeries•ValueLineAverages•FinancialTimesOrdinaryShareIndexDowJonesIndustrialAverage(DJIA)•Best-known,oldest,mostpopularseries•Price-weightedaverageofthirtylargewell-knownindustrialstocks,leadersintheirindustry,andlistedonNYSE•Totalthecurrentpriceofthe30stocksanddividebyadivisor(adjustedforstocksplitsandchangesinthesample)ExampleofChangeinDJIADivisorWhenaSampleStockSplitsAfterThree-forOneBeforeSplitSplitbyStockAPricesPricesA3010B2020C1010603=2040X=20X=2(NewDivisor)Exhibit5.1DemonstrationoftheImpactofDifferentlyPricedSharesonaPrice-WeightedIndicatorSeriesPERIODT+1.PeriodTCaseACaseBA100110100B505050C303033Sum180190183Divisor333Average6063.361PercentageChange5.5%1.7%Exhibit5.2CriticismoftheDJIA•Limitedto30non-randomlyselectedblue-chipstocks•Doesnotrepresentavastmajorityofstocks•Thedivisorneedstobeadjustedeverytimeoneofthecompaniesintheindexhasastocksplit•IntroducesadownwardbiasbyreducingweightingoffastestgrowingcompanieswhosestocksplitsNikkei-DowJonesAverage•Arithmeticaverageofpricesfor225stocksontheFirstSectionoftheTokyoStockExchange(TSE)•Best-knownseriesinJapan•Price-weightedseriesformulatedbyDowJonesandCompany•The225stocksrepresent15percentofallstocksontheFirstSectionValue-WeightedSeries•DerivetheinitialtotalmarketvalueofallstocksusedintheseriesMarketValue=NumberofSharesOutstandingXCurrentMarketPrice•Assignanbeginningindexvalue(100)andnewmarketvaluesarecomparedtothebaseindex•Automaticadjustmentforsplits•WeightingdependsonmarketvalueValue-WeightedSerieswhere:Indext=indexvalueondaytPt=endingpricesforstocksondaytQt=numberofoutstandingsharesondaytPb=endingpriceforstocksonbasedayQb=numberofoutstandingsharesonbasedayValueIndexBeginningIndextbbttQPQPUnweightedPriceIndicatorSeries•Allstockscarryequalweightregardlessofpriceormarketvalue•Maybeusedbyindividualswhorandomlyselectstocksandinvestthesamedollaramountineachstock•SomeusearithmeticaverageofthepercentpricechangesforthestocksintheindexUnweightedPriceIndicatorSeries•ValueLineandtheFinancialTimesOrdinaryShareIndexcomputeageometricmeanoftheholdingperiodreturnsandderivetheholdingperiodyieldfromthiscalculationGlobalEquityIndexes•Therearestock-marketindexesavailableformostindividualforeignmarkets•Thesearecloselyfollowedwithineachcountry•Thesearedifficulttocompareduetodifferencesinsampleselection,weighting,orcomputationalprocedure•GroupshavecomputedcountryindexesFT/S&P-ActuariesWorldIndexes•JointlycompiledbyTheFinancialTimesLimited,GoldmanSachs&Company,andStandard&Poor’sinconjunctionwiththeInstituteofActuariesandtheFacultyofActuaries•Measures2,271securitiesin30countries•Covers70%ofthetotalvalueofalllistedcompaniesineachcountryFT/S&P-ActuariesWorldIndexes•Includesactivelytradedmediumandsmallcorporationsalongwithmajorinternationalequities•Securitiesincludedmustallowdirectholdingsofsharesbyforeignnationals•Indexismarket-valueweightedwithabasedateofDecember31,1986=100FT/S&P-ActuariesWorldIndexes•IndexresultsarereportedinU.S.dollars,U.K.poundsterling,Japaneseyen,Germanmark,andthelocalcurrencyofthecountryincluded•ResultsarecalculateddailyaftertheNewYorkmarketscloseandpublishedthefollowingdayintheFinancialTimes•GeographicsubgroupsarealsopublishedMorganStanleyCapitalInternational(MSCI)Indexes•Threeinternational,nineteennational,andthirty-eightinternationalindustryindexes•Include1,375companieslistedonstockexchangesin19countrieswithacombinedcapitalizationrepresentingapproximately60percentoftheaggregatemar