5security-marketindicatorseries(投資分析與投-全文預(yù)覽
【正文】 Indexes ? The Man 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 Index ? Introduced in January 1993 ? 2,200 panies worldwide ? Organized into 120 industry groups ? Includes 33 countries representing more than 80 percent of the bined 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 . dollar Comparison of World Stock Indexes Correlations between the three series since December 31, 1991 to December 31, 2023, indicates an average correlation coefficient among them in excess of BondMarket Indicator Series ? Relatively new and not widely published ? Growth in fixedine mutual funds increase need for reliable benchmarks for evaluating performance ? Many managers have not matched aggregate bond market return – increasing interest in bond index funds – requires an index to emulate Difficulties in Creating and Computing BondMarket Indicator Series ? Universe of bonds is much broader than that of stocks ? Range of bond quality varies from . 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 InvestmentGrade Bond Indexes ? Four investment firms maintain indexes for Treasury bonds and other investment grade (rated BBB or higher) bonds ? Relationship among these bonds is strong (correlations average ) ? Returns for all these bonds are driven by aggregate interest rates shifts in the government yield curve HighYield Bond Indexes ? Non investmentgrade bonds – rated BB, B, CCC, CC, C ? Four investment firms and two academicians created indexes ? Relationship among alternative highyield bond indexes is weaker than among investment grade indexes ? Merrill Lynch Convertible Securities Indexes Global Government Bond Market Indexes ? Global bond market dominated by government issues ? Several indexes created by major investment firms – Measure total rates of return – Use marketvalue weighting – Use trader pricing – But sample sizes differ as do numbers of countries included Global Government Bond Market Indexes ? Differences affect longterm riskreturn performance ? Low correlation among several countries is similar to stocks ? Significant exchange rate effect on volatility and correlations Composite StockBond Indexes
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