UEH - Bài giảng Môn quản lý danh mục đầu tư Chương 04 Các chỉ số thị trường chứng khoán và quỹ chỉ số - Sách ReillyBrown

UEH - Bài giảng Môn quản lý danh mục đầu tư Chương 04 Các chỉ số thị trường chứng khoán và quỹ chỉ số - Sách ReillyBrown. Bài giảng tham khảo của đại học kinh tế TPHCM

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CHAPTER 4

Security Market Indexes

and Index Funds

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4.1 Uses of Security-Market Indexes

professional money managers

technicians

assets when calculating the systematic risk of an asset

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4.2 Differentiating Factors in Constructing Market Indexes

constructing an index intended to represent a total population:

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4.2.2 Weighting Sample Members

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4.2.3 Computational Procedure

whether in price or value, reported in terms of the basic index

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4.3 Stock Market Indexes

percentage changes

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4.3.1 Price-Weighted Index (slide 1 of 6)

mean of current stock prices, which means that index movements are influenced by

the differential prices of the components

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•Dow Jones Industrial Average

well-known industrial stocks, leaders in their industry, and listed on NYSE

divide it by a divisor (adjusted for stock splits and changes in the sample)

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one of the companies in the index has a stock split

weighting of fastest growing companies whose stock splits

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the First Section of the Tokyo Stock Exchange (TSE)

15 percent of all stocks on the First Section

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4.3.2 Value-Weighted Index (slide 1 of 4)

used in the series

Market Value = Number of Shares Outstanding ×Current Market Price

market values are compared to the base index

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IndextttBeginning Index Value

PQP Q

Index t= index value on day t

Pt= ending prices for stocks on day t

Qt= number of outstanding shares on day t

Ph= ending price for stocks on base day

Qh= number of outstanding shares on base day

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4.3.3 Unweighted Index (slide 1 of 3)

or market value

stocks and invest the same dollar amount in each stock

price changes for the stocks in the index

Share Index compute a geometric mean of the holding period returns

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4.3.4 Fundamental Weighted Index

• Rationale

• Market-value weighting scheme results in

overweighting overvalued stocks and underweighting undervalued stocks over time

• The tech boom in 1998–2000 was a good example

• Fundamental measures of firm size

• Sales

• Profits (cash flow)

• Net asset (book value)

• Distributions to shareholders (dividends)

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4.3.5 Style Indexes (slide 1 of 2)

• Small-cap growth• Mid-cap growth• Large-cap growth• Small-cap value• Mid-cap value• Large-cap value

• Socially responsible investment (SRI) indexes

•By country

•Global ethical stock index

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4.3.5 Style Indexes (slide 2 of 2)

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4.3.6 Global Equity Indexes (slide 1 of 10)

most individual foreign markets

in sample selection, weighting, or computational procedure

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•Jointly compiled by The Financial Times Limited,

Goldman Sachs & Company, and Standard & Poor’s in conjunction with the Institute of Actuaries and the Faculty of Actuaries

•Measures 2,500 securities in 30 countries

•Covers 70 percent of the total value of all listed companies in each country

•Includes actively traded medium and small

corporations along with major international equities

•Securities included must allow direct holdings of shares by foreign nationals

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•Index is market-value weighted with a base date of December 31, 1986 = 100

•Index results are reported in U.S dollars, U.K pound sterling, Japanese yen, German mark, and the local currency of the country included

•Results are calculated daily after the New York

markets close and published the following day in the

Financial Times

•Geographic subgroups are also published

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representing approximately 60 percent of the

aggregate market value of the stock exchanges of these countries

•All the indexes are market-value weighted

•Reporting is in U.S dollars and the country’s local currency

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•Also provides

• price to book value (P/BV) ratio

• price to cash earnings (earnings plus depreciation) (P/CE) ratio• price to earnings (P/E) ratio

• dividend yield (YLD)

•The 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

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•2,200 companies worldwide

•Organized into 120 industry groups

•Includes 33 countries representing more than 80 percent of the combined capitalization of these countries

•Countries are grouped into three major regions: Asia/Pacific, Europe/Africa, and the Americas

•Each country’s index is calculated in its own currency as well as in the U.S dollar

•Exhibit 4.9

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•Comparison of World Stock Indexes

Morgan Stanley (MS), and Dow Jones (DJ) are closely correlated

December 31, 1991 to December 31, 2007, indicates an average correlation coefficient in excess of 0.99

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4.4 Bond-Market Indexes (slide 1 of 3)

need for reliable benchmarks for evaluating performance

bond market return

• Increasing interest in bond index funds• Requires an index to emulate

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•Universe of bonds is much broader than that of stocks

•Range of bond quality varies from U.S Treasury securities to bonds in default

•Bond market changes constantly with new issues, maturities, calls, and sinking funds

•Bond prices are affected by duration, which is dependent on maturity, coupon, and market yield

•Correctly pricing individual bond issues without

current and continuous transaction prices available poses significant problems

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4.4.1 U.S Investment-Grade Bond Indexes

for Treasury bonds and other investment grade (rated BBB or Baa or higher) bonds

(correlations average 0.95)

aggregate interest rates—shifts in the government yield curve

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4.4.2 High-Yield Bond Indexes

academicians created indexes

bond indexes is weaker than among investment grade indexes

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4.4.3 Global Government Bond Indexes (slide 1 of 2)

government (sovereign) issues

investment firms

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4.4.3 Global Government Bond Indexes (slide 2 of 2)

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4.5 Composite Stock-Bond Indexes(slide 1 of 4)

indexes for individual countries, a natural step is a composite series that measures the

performance of all securities in a given country

diversification with a combination of asset

classes such as stocks and bonds in addition to diversifying within the asset classes of stocks or bonds

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Index (ML-WCMI)

return performance of the combined U.S taxable fixed income and equity markets

indexes and the Wilshire 5000 common-stock index

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•Matches a typical U.S pension fund allocation policy

•Close to the theoretical “market portfolio of risky assets” referred to in the CAPM literature

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Brinson Partners Global Security Market Index (GSMI) as of July 2017:

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4.6 Comparison of Indexes Over Time (slide 1 of 2)

for monthly intervals

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4.6 Comparison of Indexes Over Time (slide 2 of 2)

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4.6.2 Correlations between Monthly Bond Index Returns

•High-yield bonds indicate a significantly weaker

relationship (correlations about 0.51) caused by the strong equity characteristics of high-yield bonds

•Among U.S investment-grade bonds and all world government bonds (0.58) and world government

bonds without the United States (about 0.36) reflect different interest rate movements and exchange rate

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4.7 Investing in Security Market Indexes (slide 1 of 5)

•As a benchmark to measure the performance by portfolio managers

•To create index funds and/or exchange traded funds (ETFs)

measured performance using these market series they

discovered that the vast majority of money managers could not match the risk-adjusted performance of the benchmarks

(recommendation) that many investors should not attempt to beat the market (the market series) by engaging in active

portfolio management that attempts to “beat the market” over time by selecting undervalued stocks

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•Because changes to most equity indexes occur sporadically, index funds tend to generate low trading and management expense ratios

•Advantage of index mutual funds

• They provide an inexpensive way for investors to acquire a diversified

portfolio that emphasizes the desired market or industry within the context of a traditional money management product

•Disadvantages of mutual funds

• Investors can only liquidate their positions at the end of the trading day usually cannot short sell and may have unwanted tax repercussions if the fund sells a portion of its holdings, thereby realizing capital gains

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•ETFs are depository receipts that give investors a pro rata claim on the capital gains and cash flows of the securities that are held in deposit by the financial institution that issued the certificates

•A portfolio of securities is placed on deposit at a financial institution, which then issues a single type of certificate representing ownership of the underlying portfolio

•Notable example of ETFs:

• Standard & Poor’s 500 Depository Receipts (SPDRs)

• iShares, which recreate indexed positions in several global developed and emerging equity markets

• Sector ETFs, which invest in baskets of stocks from specific industry sectors

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Appendix Chapter 4 (slide 1 of 4)

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