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Indices<br />What is an index?<br />The primary purpose of an index is to reflectmovementsin theunderlying market accurate...
Indices<br />Price on the first day set as 100 = basis index<br />Prices over next 4 days expressed as relative indices to...
Indices<br />Single stock index<br />Price index value = Share Price / Divisor<br />
Indices<br />What was the % movement in the share price from the 1st of Jan to the 4th?<br />Composite indices<br />consis...
Indices<br />Market-value (Capitalization) weighted index<br />Weights shares according to their total market capitalizati...
Indices<br />Market-value weighted index<br />Market capitalization<br />Share price x Total Shares Issued<br />Companies ...
Indices<br />Market-value weighted index<br />Formula for calculating<br />∑ (pi x si x fi)<br />Divisor<br /> Where <br /...
Indices<br />Market-value weighted index<br />Free float factor is the amount of shares which is tradable in the market. F...
Indices<br />Market-value weighted index<br />Portfolio strategy<br />Investor holding a portfolio of all firms in the ind...
Indices<br />Market-value weighted index<br />Example<br />Index consists of the following shares:<br />ABSA<br />issued 1...
Indices<br />
Indices<br />In the above example the index had a percentage change of<br />((103.06 – 100 / 100)) x 100<br />3.06%<br />
Indices<br />Market-value weighted index<br />Example of a company deletion and addition<br />Now assume at the end of 2 J...
Indices<br />
Indices<br />Market-value weighted index<br />On 2 Jan the index values stays the same to calculate the new divisor.<br />...
Indices<br />Price-weighted index (e.g. DJIA)<br />Add up the value of stocks (share prices) and divide by number of stock...
Example<br />Indices<br />
Indices<br />Compare changes in the value of portfolio holding one share of each firm and the price-weighted Index<br />Pe...
Indices<br />Divisor adjusted when:<br />Stock split occurs<br />Firm is replaced<br />Stock dividend &gt; 10% pays out<br...
How representative is this index of the broad market?</li></li></ul><li>Indices<br />Equally-Weighted Indices<br />Placing...
Indices<br />A company must measure its performance relative to an index representing the sector the company resides in<br...
Indices<br />FTSE/JSE Africa Index Series: Market-value weighted:<br />ALSI <br />Top 99% of shares<br />Top40 <br />The 4...
Indices<br />International indices:<br />Dow Jones Industrial Average/ DJIA <br />30 largest blue chip stocks on NYSE <br ...
Indices<br />Nikkei 225 <br />Share index of the 225 largest shares on the Tokyo Stock Exchange in Japan <br />Market cap<...
Indices<br />Index funds <br />Investors today can purchase shares in unit trust funds that hold shares in proportion to t...
Indices<br />Bekendstelling van ETF’s/ beursverhandeldefondse op die JSE deurSatrix Managers Bpk (gereg  by die RFD)<br />...
Indices<br />Alternative Indices<br />Dividend indices <br />Represents dividend movements<br />Fundamental Index<br />Is ...
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Indices(Aangepas) Slide 1 Indices(Aangepas) Slide 2 Indices(Aangepas) Slide 3 Indices(Aangepas) Slide 4 Indices(Aangepas) Slide 5 Indices(Aangepas) Slide 6 Indices(Aangepas) Slide 7 Indices(Aangepas) Slide 8 Indices(Aangepas) Slide 9 Indices(Aangepas) Slide 10 Indices(Aangepas) Slide 11 Indices(Aangepas) Slide 12 Indices(Aangepas) Slide 13 Indices(Aangepas) Slide 14 Indices(Aangepas) Slide 15 Indices(Aangepas) Slide 16 Indices(Aangepas) Slide 17 Indices(Aangepas) Slide 18 Indices(Aangepas) Slide 19 Indices(Aangepas) Slide 20 Indices(Aangepas) Slide 21 Indices(Aangepas) Slide 22 Indices(Aangepas) Slide 23 Indices(Aangepas) Slide 24 Indices(Aangepas) Slide 25 Indices(Aangepas) Slide 26 Indices(Aangepas) Slide 27
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Indices(Aangepas)

  1. 1. Indices<br />What is an index?<br />The primary purpose of an index is to reflectmovementsin theunderlying market accurately<br />A price index expresses how much the prices concerned have changedduring the day, week, month, year etc<br />Indices are produced primarily for the use of analyzing investment strategies and as a measure of portfolio performance for professional investors such as pension funds, insurance companies and other institutional investors<br />
  2. 2. Indices<br />Price on the first day set as 100 = basis index<br />Prices over next 4 days expressed as relative indices to the basis price<br />
  3. 3. Indices<br />Single stock index<br />Price index value = Share Price / Divisor<br />
  4. 4. Indices<br />What was the % movement in the share price from the 1st of Jan to the 4th?<br />Composite indices<br />consist of share prices of more than 1 share<br />
  5. 5. Indices<br />Market-value (Capitalization) weighted index<br />Weights shares according to their total market capitalization<br /> Is the most important type<br />All major indices are Ex. S&P 500<br />Price-weighted index<br />Weights shares only according to share prices<br />Equally-weighted index<br />Weights each share in the index equally<br />
  6. 6. Indices<br />Market-value weighted index<br />Market capitalization<br />Share price x Total Shares Issued<br />Companies are weighted according to their market cap with respect to the total market<br />Example: <br />Company A has a total market cap of R1,000,000<br />The market as a whole has a market cap of R20,000,000. <br />Then company has a weight of (1,000,000/20,000,000) X100 = 5% in the index.<br />
  7. 7. Indices<br />Market-value weighted index<br />Formula for calculating<br />∑ (pi x si x fi)<br />Divisor<br /> Where <br />pi = Stock Price<br />si= Amount of shares issued<br />fi= Free Float Factor<br />
  8. 8. Indices<br />Market-value weighted index<br />Free float factor is the amount of shares which is tradable in the market. Free Float factors are published by the JSE<br />A Free Float factor of 0.8 means 80% of the companies shares is tradable in the market<br />The Divisor is created to allow a constant index value when companies additions, deletions take place<br />It also allows for stock splits not to influence an index value<br />
  9. 9. Indices<br />Market-value weighted index<br />Portfolio strategy<br />Investor holding a portfolio of all firms in the index in proportion to their market value (ETF)<br />Rate of return of the index equals the rate of returns that would be earned by an investor holding a portfolio of all firms in proportion to their market value.<br />Index does not reflect cash dividends paid.<br />Unaffected by stock splits<br />
  10. 10. Indices<br />Market-value weighted index<br />Example<br />Index consists of the following shares:<br />ABSA<br />issued 1m shares and a free float factor of 1<br />Sasol<br />issued 3m shares and a free float factor of 1<br />BOE<br />issued 5m shares and a free float factor of 0.8<br />
  11. 11. Indices<br />
  12. 12. Indices<br />In the above example the index had a percentage change of<br />((103.06 – 100 / 100)) x 100<br />3.06%<br />
  13. 13. Indices<br />Market-value weighted index<br />Example of a company deletion and addition<br />Now assume at the end of 2 Jan BOE is deleted and CellCwith 5m issued shares is added<br />
  14. 14. Indices<br />
  15. 15. Indices<br />Market-value weighted index<br />On 2 Jan the index values stays the same to calculate the new divisor.<br />New Divisor = Market Value / Index value<br />= 97.8m / 103.06<br /> = 0.95<br />Thus on 3 Jan <br />Index value = Total Market Value / Divisor<br />=103.45m / 0.9<br /> =108.89<br />
  16. 16. Indices<br />Price-weighted index (e.g. DJIA)<br />Add up the value of stocks (share prices) and divide by number of stocks in index<br />High priced stock dominate a price-weighted average <br />Portfolio strategy <br />hold 1 share of each stock in the index<br />DJIA measures the return (excluding dividends) on a portfolio that holds one share of each stock.<br />Value of such a portfolio<br />Sum of the prices<br />
  17. 17. Example<br />Indices<br />
  18. 18. Indices<br />Compare changes in the value of portfolio holding one share of each firm and the price-weighted Index<br />Percentage change in index<br /> Start <br />(25 + 100) / 2 = 62.5<br />End <br />(30 + 90) / 2 = 60<br />Change <br />(62.5 – 60) / 60 x 100 = -4%<br />
  19. 19. Indices<br />Divisor adjusted when:<br />Stock split occurs<br />Firm is replaced<br />Stock dividend &gt; 10% pays out<br /><ul><li>The DJIA is therefore unaffected by these events.
  20. 20. How representative is this index of the broad market?</li></li></ul><li>Indices<br />Equally-Weighted Indices<br />Placing equal weight on each return<br />Portfolio strategy<br />Placing equalRands / Dollars in each stock<br />Rebalancing required<br />
  21. 21. Indices<br />A company must measure its performance relative to an index representing the sector the company resides in<br />Example<br />ABSA will look at the Banking Index <br />Anglo will look at the Gold and Resources Index <br />Managers performance will also be stated regarding their performance relative to an index<br />Manager B outperformed the ALSI by 4%<br />
  22. 22. Indices<br />FTSE/JSE Africa Index Series: Market-value weighted:<br />ALSI <br />Top 99% of shares<br />Top40 <br />The 40 largest shares<br />MID-CAP <br />Next 60 largest shares, after 40 largest shares<br />SMALL-CAP <br />Excluding100 largest shares<br />MINI15 <br />15 largest mining shares<br />FINDI30 <br />30 largest financial & industrial shares<br />FINI15 <br />15 largest financial shares<br />INDI25 <br />25 largest industrial shares<br />RESI20 <br />20 largest resource shares<br />
  23. 23. Indices<br />International indices:<br />Dow Jones Industrial Average/ DJIA <br />30 largest blue chip stocks on NYSE <br />Price Weighted<br />Computed since 1896<br />Best-known measure of the performance of the stock market<br />Standard & Poor’s Composite 500/ S&P 500 <br />500 largest firms on NYSE <br />Market cap<br />NASDAQ Composite (<br />All electronically traded shares in USA<br />Market cap<br />NYSE Composite <br />All NYSE listed stocks<br />Market cap<br />Wilshire 5000 (<br />All NYSE & Amex stocks plus actively traded NASDAQ stocks<br /> Market cap<br />
  24. 24. Indices<br />Nikkei 225 <br />Share index of the 225 largest shares on the Tokyo Stock Exchange in Japan <br />Market cap<br />Hang Seng<br />All share index of the Hong Kong Stock Exchange <br />Republic of China <br />Market cap<br />FTSE (Financial Times of London) <br />Share index of 100 largest shares on the London Stock Exchange <br />United Kingdom<br />Market cap<br />Dax<br />All share index on the Frankfurt Stock Exchange in Germany <br />Market cap<br />Cac<br />All share index on the Paris Stock Exchange in France<br />Market cap<br />
  25. 25. Indices<br />Index funds <br />Investors today can purchase shares in unit trust funds that hold shares in proportion to their representation in the ALSI as well as other stock indices. <br />These index funds yield a return equal to that of the particular index and so provide a low cost passive investment strategy for equity investors.<br />
  26. 26. Indices<br />Bekendstelling van ETF’s/ beursverhandeldefondse op die JSE deurSatrix Managers Bpk (gereg by die RFD)<br />Agtergrond<br />Produkinligting/beskrywing<br />SATRIX 40<br />SATRIX Indi<br />SATRIX Fini<br />SATRIX Resi<br />SATRIX Swix 40<br />Voordele<br />Kostes<br />
  27. 27. Indices<br />Alternative Indices<br />Dividend indices <br />Represents dividend movements<br />Fundamental Index<br />Is based on accounting values<br />

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