[精选]5Security-MarketIndicatorSeries(投资分析与投csb.pptx

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1、Lecture Presentation Software to accompanyInvestment Analysis and Portfolio ManagementSeventh Editionby Frank K.Reilly&Keith C.BrownChapter 5Chapter 5Security-Market Indicator SeriesQuestions to be answered:What are some major uses of security-market indicator series(indexes)?What are the major char

2、acteristics that cause alternative indexes to differ?What are the major stock-market indexes in the United States and globally and what are their characteristics?Chapter 5Security-Market Indicator SeriesWhat are the major bond-market indexes for the United States and the world?What are some of the c

3、omposite stock-bond market indexes?Where can you get historical and current data for all these indexes?What is the short-run relationship among many of these indexes in the short run(monthly)?Uses of Security-Market IndexesAs benchmarks to evaluate the performance of professional money managersTo cr

4、eate and monitor an index fundTo measure market rates of return in economic studiesFor predicting future market movements by technicians As a substitute for the market portfolio of risky assets when calculating the systematic risk of an asset Differentiating Factors in Constructing Market IndexesThe

5、 samplesizebreadthsourceDifferentiating Factors in Constructing Market IndexesWeighting of sample membersprice-weighted seriesvalue-weighted seriesunweighted(equally weighted)seriesDifferentiating Factors in Constructing Market IndexesComputational procedurearithmetic averagecompute an index and hav

6、e all changes,whether in price or value,reported in terms of the basic indexgeometric averageStock-Market Indicator Series Price Weighted SeriesDow Jones Industrial Average(DJIA)Nikkei-Dow Jones AverageValue-Weighted SeriesNYSE CompositeS&P 500 Index and moreUnweighted Price Indicator SeriesValue Li

7、ne AveragesFinancial Times Ordinary Share IndexDow Jones Industrial Average(DJIA)Best-known,oldest,most popular seriesPrice-weighted average of thirty large well-known industrial stocks,leaders in their industry,and listed on NYSETotal the current price of the 30 stocks and divide by a divisor(adjus

8、ted for stock splits and changes in the sample)Example of Change in DJIA Divisor When a Sample Stock Splits After Three-for One Before Split Split by Stock A Prices PricesA 30 10B 20 20C 10 10 60 3=20 40 X=20X=2(New Divisor)Exhibit 5.1Demonstration of the Impact of Differently Priced Shares on a Pri

9、ce-Weighted Indicator Series PERIOD T+1 .Period T Case A Case B A 100 110 100B 50 50 50C 30 30 33Sum 180 190 183Divisor 3 3 3Average 60 63.3 61Percentage Change 5.5%1.7%Exhibit 5.2Criticism of the DJIALimited to 30 non-randomly selected blue-chip stocksDoes not represent a vast majority of stocks Th

10、e divisor needs to be adjusted every time one of the companies in the index has a stock splitIntroduces a downward bias by reducing weighting of fastest growing companies whose stock splitsNikkei-Dow Jones AverageArithmetic average of prices for 225 stocks on the First Section of the Tokyo Stock Exc

11、hange(TSE)Best-known series in JapanPrice-weighted series formulated by Dow Jones and CompanyThe 225 stocks represent 15 percent of all stocks on the First SectionValue-Weighted SeriesDerive the initial total market value of all stocks used in the seriesMarket Value=Number of Shares Outstanding X Cu

12、rrent Market PriceAssign an beginning index value(100)and new market values are compared to the base indexAutomatic adjustment for splitsWeighting depends on market valueValue-Weighted Series where:Indext=index value on day t Pt=ending prices for stocks on day t Qt=number of outstanding shares on da

13、y t Pb=ending price for stocks on base day Qb=number of outstanding shares on base dayUnweighted Price Indicator SeriesAll stocks carry equal weight regardless of price or market valueMay be used by individuals who randomly select stocks and invest the same dollar amount in each stockSome use arithm

14、etic average of the percent price changes for the stocks in the indexUnweighted Price Indicator SeriesValue Line and the Financial Times Ordinary Share Index compute a geometric mean of the holding period returns and derive the holding period yield from this calculationGlobal Equity IndexesThere are

15、 stock-market indexes available for most individual foreign marketsThese are closely followed within each countryThese are difficult to compare due to differences in sample selection,weighting,or computational procedureGroups have computed country indexesFT/S&P-Actuaries World IndexesJointly compile

16、d by The Financial Times Limited,Goldman Sachs&Company,and Standard&Poors in conjunction with the Institute of Actuaries and the Faculty of ActuariesMeasures 2,271 securities in 30 countriesCovers 70%of the total value of all listed companies in each countryFT/S&P-Actuaries World IndexesIncludes act

17、ively traded medium and small corporations along with major international equitiesSecurities included must allow direct holdings of shares by foreign nationalsIndex is market-value weighted with a base date of December 31,1986=100FT/S&P-Actuaries World IndexesIndex results are reported in U.S.dollar

18、s,U.K.pound sterling,Japanese yen,German mark,and the local currency of the country includedResults are calculated daily after the New York markets close and published the following day in the Financial TimesGeographic subgroups are also publishedMorgan Stanley Capital International(MSCI)IndexesThre

19、e international,nineteen national,and thirty-eight international industry indexesInclude 1,375 companies listed on stock exchanges in 19 countries with a combined capitalization representing approximately 60 percent of the aggregate market value of the stock exchanges of these countriesMorgan Stanle

20、y Capital International(MSCI)IndexesAll the indexes are market-value weightedReporting is in U.S.dollars and the countrys local currencyAlso providesprice to book value(P/BV)ratioprice to cash earnings(earnings plus depreciation)(P/CE)ratioprice to earnings(P/E)ratiodividend yield(YLD)Morgan Stanley

21、 Capital International(MSCI)IndexesThe Morgan Stanley group index for Europe,Australia,and the Far East(EAFE)is used as the basis for futures and options contracts on the Chicago Mercantile Exchange and the Chicago Board Options Exchange Dow Jones World Stock IndexIntroduced in January 19932,200 com

22、panies worldwideOrganized into 120 industry groupsIncludes 33 countries representing more than 80 percent of the combined capitalization of these countriesCountries are grouped into three major regions:Asia/Pacific,Europe/Africa,and the AmericasEach countrys index is calculated in its own currency a

23、s well as in the U.S.dollarComparison of World Stock IndexesCorrelations between the three series since December 31,1991 to December 31,2000,indicates an average correlation coefficient among them in excess of 0.99Bond-Market Indicator SeriesRelatively new and not widely publishedGrowth in fixed-inc

24、ome mutual funds increase need for reliable benchmarks for evaluating performanceMany managers have not matched aggregate bond market returnincreasing interest in bond index fundsrequires an index to emulateDifficulties in Creating and Computing Bond-Market Indicator SeriesUniverse of bonds is much

25、broader than that of stocksRange of bond quality varies from U.S.Treasury securities to bonds in defaultBond market changes constantly with new issues,maturities,calls,and sinking fundsBond prices are affected by duration,which is dependent on maturity,coupon,and market yieldCorrectly pricing indivi

26、dual bond issues without current and continuous transaction prices available poses significant problemsInvestment-Grade Bond IndexesFour investment firms maintain indexes for Treasury bonds and other investment grade(rated BBB or higher)bondsRelationship among these bonds is strong(correlations aver

27、age 0.95)Returns for all these bonds are driven by aggregate interest rates-shifts in the government yield curveHigh-Yield Bond IndexesNon investment-grade bondsrated BB,B,CCC,CC,CFour investment firms and two academicians created indexesRelationship among alternative high-yield bond indexes is weak

28、er than among investment grade indexesMerrill Lynch Convertible Securities IndexesGlobal Government Bond Market IndexesGlobal bond market dominated by government issuesSeveral indexes created by major investment firmsMeasure total rates of returnUse market-value weightingUse trader pricingBut sample

29、 sizes differ as do numbers of countries includedGlobal Government Bond Market IndexesDifferences affect long-term risk-return performanceLow correlation among several countries is similar to stocksSignificant exchange rate effect on volatility and correlationsComposite Stock-Bond IndexesBeyond sepa

30、rate stock indexes and bond indexes for individual countries,a natural step is a composite series that measures the performance of all securities in a given countryThis allows examination of benefits of diversification with a combination of asset classes such as stocks and bonds in addition to diver

31、sifying within the asset classes of stocks or bondsMerrill Lynch-Wilshire U.S.Capital Markets Index(ML-WCMI)Market-value weighted index measures total return performance of the combined U.S.taxable fixed income and equity marketsCombination of Merrill-Lynch fixed-income indexes and the Wilshire 5000

32、 common-stock indexTracks over 10,000 stocks and bondsBrinson Partners Global Security Market Index(GSMI)Includes:U.S.stocks and bondsNon-U.S.equitiesNon-dollar bondsAllocation to cashMatches a typical U.S.pension fund allocation policyClose to the theoretical“market portfolio of risky assets”referr

33、ed to in the CAPM literature Comparison of Indexes Over TimeCorrelations among monthly equity price changesMost differences are attributable to sample differencesDifferent segments of U.S.stock market or from different countriesLower correlations between NYSE series and AMEX series or NASDAQ index t

34、han between NYSE alternative series(S&P 500 and NYSE composite)Comparison of Indexes Over TimeCorrelations among monthly bond indexesAmong investment-grade bonds correlations range from 0.90 to 0.99Interest rates differ by risk premiumsRates of return are determined by systematic interest rate varia

35、blesLow correlation in global returns to U.S.returns support global diversificationMean Annual Security Risk-Returns and CorrelationsThere are clear differences among the series due to different asset classes(e.g.,stocks versus bonds)and when there are different samples within asset classesThere is

36、a positive relationship between the average rate of return on an asset and its measure of riskMean Annual Security Risk-Returns and CorrelationsThe security market indexes can be used1.to measure the historical performance of an asset class2.as benchmarks to evaluate the performance of a money manag

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