Information and indices Flashcards
FTSE 100 index
weighted by market cap
DJIA index
weighted towards price
EU Benchmark regulation
> used to determine the amount payable under a financial instrument or financial contract or the value of a financial instrument
used to measure the performance of an investment fund for the purpose of:
tracking the return
defining the asset allocation or a portfolio
computing the performance fees
recent amendments to this regulation provide for standardised provisions to deal with a replacement benchamrk
free float shares
shares available to be bought by the public
directors shares
not free-fold
held long term and not short term
firms with low levels of free float shares
more volatile share price that may distort index
free float index
weighting reflect the nmber of free float shares available
simple arithmetic index (price weighted)
B*(Sum(Pnew)/Sum(Pbase))
> equally weighted
> Nikkei 225 and Dow Jones
geometric index
measures the rate of change in the prices of the constituents
GI = sqrt^n(P1P2…Pn)
> only base price changed
> less sensitive
> always less than or equal to arithmetic index
> FT 30 ordinary share index
market value weighted index (arithmetic)
B((SumNnewPnew)/(SumNold*Pold))
FTSE 100
FTSE 250
FTSE All share
FTSE actuaries 350
S&P 500
market cap weighted arithmetic index
DAX 30
market cap weighted arithmetic index
CAC 40 (french)
market cap weighted arithmetic index
SBF 250
250 FRENCH BLUE CHIP FIRMS
Eurofirst indices
market cap weighted arithmetic index
derivative index by tracking liquid assets
eurotop 100
market cap arithmetic mean
FTSE Eurotop 100
traded on Euronext Amsterdam and ICE Futures Europe
STOXX inidices
market cap weighted arithmetic
Nikkei stock avg
unweighted arithmetic index
S&P CNX Nifty
market cap weighted arithmetic index
FTSE actuaries UK giilts
based on a range of 12 indices
> 7 conventional gilt indices
> 5 index linked gilt
> price reflects an equally weighted portoflio
> less than 5
> 5-15 yrs
> 15
> 25 yrs redemption
> real yields 0% - 5%
index-tracking portfolio
has a smaller number of securities than the index
lower maintenance costs
poor returns in a bear market
need to change the portfolio if the characteristics of the market change
Peer group comparisons
compares performance to the
performance of a set of other managers chosen from a broad range of
managers
The median manager:
Where the performance is compared to the median
manager of a number of similar managers
Two-horse race
Where the performance of a fund is compared to just one
other manager – usually the closest competitor
