Reading 37. Security market indexes
security market indexes used to measure the performance of markets and investment managers.
37a. Describe a security market indexes.
security market indexes is used to represent the performance of an asset class, security market, or segment of a market.
constituent securities of the index
-created as portfolios of individual securities
an index has a numerical value--market prices of constituent securities at a point in time.
an index return-percentage change in the index's value over a period of time.
37b.Calculate and interpret the value, price return, total return of an index.
price index/ return index指數(shù)收益率
-uses only the prices of the constituent securities in the return calculation
用價(jià)格指數(shù)或收益率指數(shù)，價(jià)格指數(shù)只考慮成分股的價(jià)格尘盼，給予價(jià)格指數(shù)計(jì)算的回報(bào)率叫價(jià)格收益率
price return
-a rate of return is calculated based on price index
total return
- a rate of return based on return index
一系列的單期收益率可以計(jì)算一段時(shí)間的復(fù)合收益率
37c.Describe the choices and issues in index construction and management.
目標(biāo)市場(chǎng)可以定義很廣泛（例如美國(guó)的股票）维雇，或狹窄（例如美國(guó)的小市值股票）鞍恢，也可以基于地域或經(jīng)濟(jì)領(lǐng)域（例如周期性股票）。
成分股可以是市場(chǎng)中的全部股票巡语，也可以是有代表性的樣。選取的過(guò)程由客觀的規(guī)則或委員會(huì)主觀決定
37d. Compare the different weighting methods used in index construction.
price-weight index價(jià)格加權(quán)指數(shù)
-成分證券價(jià)格的算術(shù)平均。
優(yōu)點(diǎn)：計(jì)算簡(jiǎn)單
缺點(diǎn)：1） 當(dāng)價(jià)格變動(dòng)幅度一致時(shí)墓臭，價(jià)格高的證券比價(jià)格低的證券對(duì)指數(shù)造成更大影響。2）公司拆股矿筝、回購(gòu)股票起便、發(fā)放股利時(shí)，會(huì)影響股價(jià)窖维。
eg. Dow Jones Industrial Average (DJIA )基于30支美國(guó)股票and Nikkei Dow Jones Stock average日經(jīng)指數(shù)是由225支在東京交易所的股票組成
equal-weight index等權(quán)重指數(shù)
index stocks算術(shù)平均數(shù)
優(yōu)點(diǎn)：計(jì)算簡(jiǎn)單
缺點(diǎn)： 要保證每只股票權(quán)重相等榆综，組合需要經(jīng)常調(diào)整和再平衡，交易成本高铸史，組合收益下降鼻疮。小市值股票收益的權(quán)重大于它們市值在指數(shù)的權(quán)重。
eg. value line composite average/ financial times ordinary share index.
market capitalization-weighted index
value-weighted index
market float
free float
float-adjusted market capitalization-weighted index
fundamental weighting
37e. Calculate and analyze the value and return of an index given its weighting method.
price-weighted index=(sum of stock prices)/(number of stocks in index adjusted for splits)
market capitalization weighting
equal weighting
37f. Describe rebalancing and reconstitution of an index.
rebalancing-adjusting the weights of securities in a portfolio to target weights after price changes have affected the weights.
reconstitution
37g. Describe uses of security market indexes.
security market indexes have several uses:
1)reflection of market sentiment
2)benchmark of manager performance
3)measure of market return and risk
- measure of beta and risk-adjusted return
37h. Describe types of equity indexes.
equity indexes分類：
broad market index
multi-market index
multi-market index with fundamental weighting
sector index
style index
37i. Describe types of fixed-income indexes.
Large universe of securities
Dealer markets and infrequent trading
37j. Describe indexes representing alternative investments
commodity indexes
weighting method
futures vs actual
real estate indexes
hedge fund indexes
37k.Compare types of security market indexes.
