投资管理 lec3(PPT).ppt

Market Indices
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Market Indices, P. Peterson
What are market indices?
Summary measure of movements or levels of a market of securities.
Barometer of changes in market valuation.
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Market Indices, P. Peterson
Uses of market indices
As benchmarks
To create and monitor index funds
Measure market rates of return
To forecast future market movements
As a proxy for the market portfolio
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Market Indices, P. Peterson
Factors to consider
Sample of securities
narrow v. broad
Weights applied
price, value, putation procedures
type of averaging
Method of adjusting for splits, etc.
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Market Indices, P. Peterson
Price-weighted series
Example: Dow Jones Industrial Average (DJIA)
High panies tend to lose their importance in averages because of stock splits
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Market Indices, P. Peterson
Example
Stock
Price at t
Price at t+1
Number of shares at t
Number of shares at t+1
X
$10
$15
100
100
Y
$20
$15
150
150
Z
$30
$18
200
400
Stock Z split 2:1 between t and t+1
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Market Indices, P. Peterson
Calculation of price-weighted average
Averaget = (10 + 20 + 30) / 3 = 20
Divisor for t+1:
The value X that would make: [10+20+(30/2)] / X = 20
X =
Averaget+1 = (15 + 15 + 18) /
=
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Market Indices, P. Peterson
Calculation, continued
For t+1:
10
Market Indices, P. Peterson