...EQUITY FORECASTING (S&P 500) I.Introduction: Dividends have interested investors and theorists since the origins of modern financial theory. Voluminous research and debates about which is better capital gain or dividend. Despite inconclusive evidence, one fact remains undisputable. Dividend yield is an important component of total return. II.Analysis of S&P 500 Dividend Yield: Technical Analysis forecasting (Historical data/statistics) Price action is king as common words for chartist and for those using quantitative techniques in predicting the market direction. By finding the trend, will help on what investment strategy to be used which may also dependent on time horizon. Current S&P 500 dividend yield of 1.96% is just sitting near the all time low of 1.11% (2002). For the past 13 years there is no significant trend strength in its direction. The market is still in range trading strategy with little biased on bearish side. Mark Masuoka does not want to be out of the market entirely. Trend trading strategy is always in the market regardless if it is downtrend (shorting) or uptrend (long). How about for range trading which no signal of breakout for the new trend? Part of trading strategy for this situation is identifying the small movements which common call as swing trading. For technician point of view based on the current chart, Mark Masuoka can use a combination of shorting the S&P 500 with a little swing trades to benefit on current movements. When...
Words: 578 - Pages: 3
...11/14 Financial planning project VSPGX: 343 stocks, mostly invested in tech. incorporation such as MS, Apple, Google, etc. Reason we pick Vanguard S&P 500 GR Index for large: we want be active fund when market is passive and opposite way. Since market is doing good, we would use passive fund. When market is bad we would not stay on passive fund and go out for active which has good sense in stock picking and beat the market. Currently US market S&P 500 is in good shape(Figure X), S&P value fund portfolio since economy is in good shape. -> since this fund is ETF there is no restriction in minimal payment(just like stock) and use expense ratio on website because that 0.08% is for listed minimal payment($5M) Standard deviation 1Y Weekly = 11.23 Standard deviation 1Y monthly = 8.92 VSPVX: 337 stocks, mostly invested in Exon mobile/GE/AT&T = utility companies, resource(gas) companies and banks -> they don’t ear/lose too much so they are less volatile Standard deviation 1Y Weekly = 10.18 Standard deviation 1Y monthly = 8.29 Mid-cap -> active fund Hartford midcap Fund-A HFMCX : sharpe ratio was 1.22 which determines the absolute sharpe ratio, manager started on last date of 1997, fund turnover is 38% which is pretty low yet still actively managed. Small-cap -> active fund Alphamark Small Cap Growth: AMSCX, has 0.25% 12b 1 *big question to answer! Why we use absolute Sharpe ratio with annual term instead of shorter term(1Y-M)...
Words: 785 - Pages: 4
...Table of Contents Introduction 3 1. Situation and Risk Profile Analysis 3 1.1 Background 3 1.2 Character 3 1.3 Life style 4 1.4 Time horizon 4 1.5 Objective 4 2. Asset Allocation rationale 5 2.1 Bonds 5 2.2 Equities 5 2.3 Cash 6 2.4 Assets allocation Chart 6 3. Choice of investment Vehicles 6 3.1 ETFs 6 4. Portfolio description 6 4.1 SPDR Dow Jones Industrial Average Trust (Core). 7 4.2 Vanguard Total World Stok ETF (Core) 9 4.3 Vanguard Industrial ETF (Satellite) 10 4.4 Vanguard Energy ETF (Satellite) 11 4.5 iShares iBoxx $ High Yield Corporate bond Fund (Core) 12 Conclusion 13 Introduction Making more money or at least preserving one’s wealth are the main reasons for investing. Investing on financial Markets is an option among others with its own set of rules, advantages and setbacks. In order to to be able to pay school expenses for their three children, Mr. and Ms Brown have decided to invest some money in the stock market. The purpose of this essay is to demonstrate how Mr. and Ms. Brown proceeded to build their investment portfolio. In the first part of the essay we will analyze their situation to understand their risk profile, time horizon and objective. In the second part, we will expand on the asset allocation rationale to finally decide in the third part which investment vehicle is appropriate. 1. Situation and Risk Profile Analysis 1.1 Background Mr. Brown is a forty year old man, happily married with three children; two...
Words: 3760 - Pages: 16
...Qwertyuiopasdfghjklzxcvbnmqwertyuiopasdfghjklzxcvbnmqwertyui opasdfghjklzxcvbnmqwertyuiopasdfghjklzxcvbnmqwertyuiopasdfgh jklzxcvbnmqwertyuiopasdfghjklzxcvbnmqwertyuiopasdfghjklzxcvb nmqwertyuiopasdfghjklzxcvbnmqwertyuiopasdfghjklzxcvbnmqwerty uiopasdfghjklzxcvbnmqwertyuiopasdfghjklzxcvbnmqwertyuiopasdf ghjklzxcvbnmqwertyuiopasdfghjklzxcvbnmqwertyuiopasdfghjklzxc vbnmqwertyuiopasdfghjklzxcvbnmqwertyuiopasdfghjklzxcvbnmqwer tyui Submitted by: DIVYA GUPTA 09BS0000711 SEC: B asdfghjklzxcvbnmqwertyuiopasdfghjklzxcvbnmrtyuiopasdfghjklzx cvbnmqwertyuiopasdfghjklzxcvbnmqwertyuiopasdfghjklzxcvbnmqwe rtyuiopasdfghjklzxcvbnmqwertyuiopasdfghjklzxcvbnmqwertyuiopa sdfghjklzxcvbnmqwertyuiopasdfghjklzxcvbnmqwertyuiopasdfghjkl zxcvbnmqwertyuiopasdfghjklzxcvbnmqwertyuiopasdfghjklzxcvbnmq wertyuiopasdfghjklzxcvbnmqwertyuiopasdfghjklzxcvbnmqwertyuio pasdfghjklzxcvbnmrtyuiopasdfghjklzxcvbnmqwertyuiopasdfghjklz xcvbnmqwertyuiopasdfghjklzxcvbnmqwertyuiopasdfghjklzxcvbnmqw ertyuiopasdfghjklzxcvbnmqwertyuiopasdfghjklzxcvbnmqwertyuiop asdfghjklzxcvbnmqwertyuiopasdfghjklzxcvbnmqwertyuiopasdfghjk lzxcvbnmqwertyuiopasdfghjklzxcvbnmqwertyuiopasdfghjklzxcvbnm ...
Words: 1878 - Pages: 8
...Rusul Meften, Dec- 2-2015 The Dow Jones Average 1. On May 26, 1896 for the first time an average consisting entirely of 12 industrial stocks is published. To see the list of these 12 companies (as well as all such lists from 1896 to the present),. On October 4, 1916 it was calculated on the stock prices of 20 companies and finally on October 1, 1928 it was increased to 30 companies, the same number as it is today. 2. A stock exchange based in New York City, which is considered the largest equities-based exchange in the world based on total market capitalization of its listed securities. A market index tracks the performance of a specific "basket" of stocks considered to represent a particular market or sector of the U.S. stock market or the economy. There are indices for almost every conceivable sector of the economy and stock market. Many investors are familiar with these indices through index funds and exchange-traded funds whose investment objectives are to track the performance of a particular index. 3. The Dow Jones Industrial Average is important to investors because it is a model for investment products. The Dow Jones Company licenses its index for the creation of mutual funds, exchange traded funds and futures investments. These products trade not only on the U.S. exchanges, but also on international exchanges in Tokyo, London and Toronto. This gives the DJIA added significance for investors worldwide. Also The Dow Jones is important to investors because it...
Words: 293 - Pages: 2
...Regarding the Tax Efficiency of ETFs by Joseph Curran Investing in the market is an activity that many people want to do regularly. Because of advances in technology and advances in access to capital markets, a relatively new type of investment called an ETF is allowing ordinary investors to participate in the stock market with greater ease than they were able to do previously. Individual investors have been able to participate in the broad market for many years. They basically had two options before the advent of the internet. They could call a stockbroker and place an order for a particular stock, (usually paying a commission of about $100.00 - $200.00 dollars per trade), or they could invest (buy shares) in a mutual fund which held many different stocks and offered diversification to the investor, many (but not all) mutual funds do not charge a commission. If the investor wanted to spread their risk among many different parts of the economy, a mutual fund was the main and most cost-effective way to accomplish that objective. ETFs have some similarities to mutual funds, but this article will highlight some of the differences between ETFs and mutual funds. ETFs and mutual funds are both investment companies, (legally classified as “open-end” companies), but ETFs and mutual funds function differently, and the difference in the way they function is what allows ETFs to be able to be more tax-efficient than a mutual fund. Mutual funds “pool together” investors’ funds and buy...
Words: 1173 - Pages: 5
...videos and receive notifications when others update their profiles. Additionally, users may join common-interest user groups, organized by workplace, school or college, or other characteristics, and categorize their friends into lists such as "People From Work" or "Close Friends". Facebook had over 1.18 billion monthly active users as of August 2015.[7] Because of the large volume of data users submit to the service, Facebook has come under scrutiny for their privacy policies. Facebook, Inc. held its initial public offering in February 2012 and began selling stock to the public three months later, reaching an original peak market capitalization of $104 billion. On July 13, 2015, Facebook became the fastest company in the Standard & Poor’s 500 Index to reach a market cap of $250...
Words: 271 - Pages: 2
...Case a) US Mutual Fund Performance Maastricht University | | | | School of Business & Economics | | | | Place & date: | Maastricht, 5th December 2013 | | | | Name, initials: | Müller-Wilmes, VEMCroughs, ZWFWang, WCGerdsen, BHARack, MD | | For assessor only | | ID number: | I6076025I6075042I6117368I6075829I6064576 | | 1. Content | | Study: | International Business Economics | | 2. Language structure | | Course code: | EBC | | 3. Language accuracy | | Group number: | 1 | | 4. Language: Format & citing/referencing | | Writing tutor name: | Mike Langen | | Overall: | | Writing assignment: | | | Advisory grade | | | | | Assessor’s initials | | Your UM email address: v.muller-wilmes@student.maastrichtuniversity.nl, m.rack@student.maastrichtuniversity.nl, wwc.wang@student.maastrichtuniversity.nl, z.croughs@student.maastrichtuniversity.nl, b.gerdsen@student.maastrichtuniversity.nl Table of Contents Everyone has to include at his part how we did it in excel and what the conclusion of his subpart implies for the problem statement Bas (introduction, and question 1) Introduction Descriptive Data, net of cost etc Are the returns percentage? What do we expect from momentum? Do we need a table of contents? Do we need to copy the excel sheets into the paper ? or just copying the numbers as we did so far? 1. Best suitable model to measure Performance and Investigation of the different investment strategies ...
Words: 707 - Pages: 3
...------------------------------------------------- Case Study-Dfa Dimensional fund Advisors Submitted By:- Azouaou Dahmoune Drishti Oza Jeffery Meeks Kesha Patel Urvi Jain Submitted By:- Azouaou Dahmoune Drishti Oza Jeffery Meeks ...
Words: 1019 - Pages: 5
...The DAX is a is a blue chip stock market index made up of 30 major German companies trading on the Frankfurt Stock Exchange, founded in July 1988. DAX stands for Deutscher Aktienindex, translated literally to German Stock Index. The DAX is equivalent to the Dow Jones Industrial Average here in the US. The 30 stocks that make up the DAX are simply the 30 largest companies on the Frankfort Stock Exchange, based on order book volume and market capitalization. DAX is a Capitalization-weighted index. The DAX is a large cap type of stock index that has to indexing versions. The two versions report different values. The first version is the performance index. This version is more commonly quoted and includes dividends in the quote. The second version is the price index. This version is most similar to other indices in other countries and markets. The price index is calcultated like any weighted average, Current index = Current total market cap of constituents × Previous Value / Previous Period. The DAX started out at 1,000 from its base date in December of 1987, before it was first calculated and published in July of 1988. The highest closing price for the DAX occurred this year in April on the 10th, when it closed at 12,374.73. Today the closing price was 10,131.74. Some of the more familiar companies on the DAX are Adidas, BMW, Bayer, BASF, SAP, Siemens, and Volkswagon. The trend of the DAX is fairly similar to that of the Dow Jones Industrial Average...
Words: 263 - Pages: 2
...DEPARTMENT OF MANAGEMENT STUDIES IIT DELHI Security Analysis & Portfolio Management – SML 873 Self Study Component – II (methodologies adopted across the globe for calculating Stock Index) By: Echo Group Russian Trading System (RTS) Stock Exchange 1. Eligibility Factors 2.1. Market Capitalization 2.2.1. A stock’s weight in an index is determined by the float-adjusted market capitalization of the stock 2.2.2. Each company’s market capitalization is capped at 15% in the RTSI and RTS2, and at 25% in the RTS Sector Indices, to restrict the weight of any one company dominating the entire index. 2.2. Liquidity: Securities that do not meet the following criteria over the three month period preceding the date of the revision are excluded from the index eligibility list 2.3.3. The average number of companies-brokers that submitted the “bid” and “ask” quotes for the security at the end of the trading session is at least two. 2.3.4. 2. The average spread between the “ask” and the “bid” prices at the end of the trading session is less than or equal to 15%, as compared to the buying price. 2.3.5. 3. The security should have two-sided quotes in the trading system at the end of the trading session for at least 90% of the trading days of a given period. 2.3.6. 4. The daily average number of transactions in this security is greater than or equal to 0.5. 2.3.7. 5...
Words: 4263 - Pages: 18
...Index”, January 2006). Second, as an answer to the critiques of capitalization-weighting, equity indices with different weighting schemes have emerged, such as "wealth"-weighted (Morris, 1996), “fundamental”-weighted (Arnott, Hsu and Moore 2005), “diversity”-weighted (Fernholz, Garvy, and Hannon 1998) or equal-weighted indices. [edit] Indices and passive investment management There has been an accelerating trend in recent decades to create passively managed mutual funds that are based on market indices, known as index funds. Advocates claim that index funds routinely beat a large majority of actively managed mutual funds; one study[citation needed] claimed that over time, the average actively managed fund has returned 1.8% less than the S&P 500 index - a result nearly equal to the average expense ratio of mutual funds (fund expenses are a drag on the funds' return by exactly that ratio). Since index funds attempt to replicate the holdings of an index, they obviate the need for — and thus many costs of — the research entailed in active management, and have a lower churn rate (the turnover of securities which lose fund managers' favor and are sold, with the attendant cost of commissions and capital gains taxes). Indices are also a common basis for a related...
Words: 605 - Pages: 3
...available to you are stock in East Coast Yachts, the Bledsoe S&P 500 index fund, the Bledsoe Small-cap fund, the Bledsoe Large-Company Stock Fund, the Bledsoe Bond Fund, and the Bledsoe Money Market Fund. You have decided that you should invest in a diversified portfolio, with 70 percent of your investment in equity, 25 percent in bonds, and 5 percent in the money market. You have decided to focus your equity investment on large-cap stocks, but you are debating whether to select the S&P 500 Index fund or the Large-Company Stock Fund. In thinking it over, you understand the basic difference in the two funds. One is a purely passive fund that replicates a widely followed large-cap index, the S&P 500, and has low fees. The other is actively managed with the intention that the skill of the portfolio manager will result in improved performance relative to an index. Fees are higher in the latter fund. You’re just not certain on which way to go, so you ask Dan Ervin, who works in the company’s finance area, for advice. After discussing your concerns, Dan gives you some information comparing the performance of equity mutual funds and the Vanguard 500 index fund. The Vanguard 500 in the world’s largest equity index mutual fund. It replicates the S&P 500, and it’s return is only negligibly different from the S&P 500. Fees are very low. As a result, the Vanguard 500 is essentially identical to the Bledsoe S&P 500 index fund offered in the 401k plan, but it has been in existence...
Words: 422 - Pages: 2
...compounding). Describe the strategy to synthetically convert the position to the risk-free asset for 2 months. N = -50MM*(1.0465)^(1/6)/(148472) = -339 contracts 2. A hedge fund holds $50 million of large-cap domestic equity with a beta of 1.5 with respect to the S&P 500 index. It would like to move from large-cap stocks to small-cap stocks for the next three months because it forecasts that small-cap stocks will have a positive alpha over the next three months. It also forecasts that the market will do well over the next month and targets a beta of 3 with respect to the S&P 500 index. Develop a strategy that can achieve both these goals (i.e capture alpha with respect to small-cap stocks and achieve a beta of 3) simultaneously You can use the following details for the above problem: The S&P 500 index is currently trading at 500. A two month futures contract on 100 units of the S&P500 index has a price of $50502. The Small Cap index is currently trading at 1000 and has a beta of 2 with respect to the S&P 500 index. A three month futures contract on 100 units of the Small Cap index has a price of $101005. Assume that neither index will pay dividends over the next three months. Futures on S&P500 to Sell =-1.5*(50*1000000/(500*100)) = -1500 futures Futures on Small Cap to Buy =(3/2)*(50*1000000/(1000*100)) = 750 futures MCQ: 6 d. 7. b 8. a....
Words: 365 - Pages: 2
...Abbey Habicht Advanced Investments 12/19/14 Vanguard LifeStrategy Moderate Growth Fund I took a few risk tolerance questionnaires and they all concluded that I have a moderate/average tolerance for risk. One of the questionnaire suggested that people with my risk tolerance should invest in convertible bonds, high-yield junk bonds, large-cap stocks and funds, S&P 500 and Wilshire 5000 stock index funds, and variable annuities invested in large-cap stock sub-accounts ("Investment Risk Tolerance Quiz."). Vanguard’s risk tolerance questionnaire suggested that I should look at funds with a 30/70 bond/stock allocation and after looking at some of the funds they offer I found the Vanguard LifeStrategy Moderate Growth Fund ("Investor Questionnaire”) . I picked this fund because it has non-US stock, making it a world portfolio, and it comes close to my suggested allocation. The fund is composed of 2.38% cash assets, 42.15% US stock, 17.06 Non US stock (59.21% total stock), 37.63% bonds, and .77% other. In order to see how my fund is doing compared to a benchmark (I chose the Category: Moderate Allocation as my benchmark) we divide the standard deviation of the category by the standard deviation of the managed portfolio and use this percentage to eventually come up with the M2 of .11% which means that the fund is doing better than the Moderate Allocation category overall. We can also look at the risk of VSMGX on Morningstar and it shows that the risk of the fund has been classified...
Words: 531 - Pages: 3
