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An Index
is a single measure of market performance
Price return indexes
measure price change only
total return indexes
also reflect reinvested income
Index construction requires
target market
security selection
weighting method
rebalancing
reconstitution decisions
The main weighting methods
price-weighted
equal weighted
market capitalization weighted
fundamental weighted
Fundamental weighting
uses measures such as book value, cash flow, revenue, earnings, and dividends rather than price
A tested variation of market-cap weighting
is float-adjusted market-cap weighting, which adjusts market capitalization for market float
Rebalancing
reset weights
reconstitution
changes the constituent securities
Indexes
are used as market-sentiment gauges, benchmarks, risk and return proxies, asset-allocation proxies, and passive portfolio templates
Equity indexes
are commonly broad market, multi-market, sector, or style indexes