投资管理 lec3.ppt

投资管理 lec3
We have many PowerPoint templates that has been specifically designed to help anyone that is stepping intis 100.
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Market Indices, P. Peterson
Problem
Consider the following:
Stock Pt Pt+1 Sharest Sharest+1
M $10 $12 1,000 1,000
N $20 $22 2,000 2,000
O $60 $20 1,000 3,000
O had a 3:1 split between t and t+1
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Market Indices, P. Peterson
Problem, continued
Calculate, for t+1:
the price-weighted average,
the value-weighted index value (assuming a base of the index of 1000 and a base value of $80,000), and
the unweighted index value using a geometric average (assuming index value at time t is 1000).
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Market Indices, P. Peterson
Problem, continued
Which of the following indicates the price-weighted average, value-weighted index, and unweighted (geometric) index, respectively for t+1?
A. ; 1450; 1097
B. ; ; 1010
C. ; 1450; 1010
D. ; 145; 1097
Correct answer = A See *
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Market Indices, P. Peterson
Global equity indices
Examples:
FT/S&P Actuaries World Indexes
Morgan Stanley capital International Indexes
Dow Jones World Stock Index
Comparisons
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Market Indices, P. Peterson
Bond market indicators
More difficult than stock indices:
Larger number of bonds
More variety in features
Universe constantly changing
Values change over time as duration and interest rates change
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Market Indices, P. Peterson
Investment-grade bond indexes
Investment grade bonds: rated BBB (Baa) or higher
Major indexes created by Merrill Lynch, Lehman Brothers, Salomon brothers, Ryan Treasury
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Market Indices, P. Peterson
High-yield bond indexes
High-yield bonds are speculative grade
Less correlation among these indexes (than within investment grade bond indexes)
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Market Indices, P. Peterson
Composite stock-bond indexes
Performance of a diversified portfolio of stocks and bonds
Example: Merrill Lynch-Wilshire Capital Market Index
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Market Indices, P. Peterson
Comparison of indexes
Broad indices are