| 翻訳と辞書 |
| Alpha Indexes ： ウィキペディア英語版 |
Alpha Indexes
Nasdaq OMX Alpha IndexesTM measure the relative performance of an underlying stock or exchange-traded fund (ETF) against another benchmark〔(【引用サイトリンク】url=http://www.investopedia.com/terms/b/benchmark.asp#axzz2Bz212Knq )〕 ETF using a proprietary calculation. The first component in the index is the “Target Component”, such as Apple (AAPL), and the second component is identified as a “Benchmark Component”, such as the S&P 500 ETF (SPY).
The Nasdaq OMX Alpha IndexesTM were developed by Jacob S. Sagi and Robert E. Whaley, both professors at the Owen Graduate School of Management, Vanderbilt University. They published a research paper “Trading Relative Performance with Alpha Indexes” in the November/ December 2011 issue of Financial Analysts Journal detailing the concept behind Alpha Indexes.
Nasdaq OMX launched the live calculation and dissemination of Alpha Indexes on October 11, 2010. The Alpha Indexes were set at 100.00 as of January 1, 2010.〔(【引用サイトリンク】url=http://www.nasdaqtrader.com/content/phlx/AlphaFAQs.pdf )〕 Thus each disseminated index depicts a target component’s return performance versus its benchmark since January 1, 2010. For example, the Alpha Index for AAPL with SPY as the benchmark, which trades under the symbol AVSPY, had a level of 199.91 on 11/09/12.〔(【引用サイトリンク】url=https://www.google.com/finance/historical?q=INDEXNASDAQ%3AAVSPY&ei=S9ujUNj_O52UlwOCrwE )〕 This means that over the period between 1/1/2010 until 11/09/2012 an investment in AAPL outperformed an investment in SPY by +99.91%
== Relative Performance Indexes ==
A general prescription for investors without a strong knowledge about the performance of individual stocks is to invest in a well-diversified portfolio, reallocate wealth occasionally to reflect risk tolerance, and avoid market timing. But many stock portfolio managers are "stock-pickers" and/or "asset allocators" as they attempt to find underpriced and overpriced stocks and/or asset classes that will beat a well-diversified benchmark. Thus investment management requires comparing the performance of individual securities and security portfolio relative to each other. The indirect method to trade relative performance is "pairs trading" which requires having a long/ short position in a stock and short/ long position in the market, or buying call and put options in the stock and the market. For example, if an investor believes that AAPL will outperform the market, he/ she will buy the stock and sell the market. But this position could result in unlimited downside with the investor losing money on both the stock and the market. To limit this downside, the investor could instead buy a call on the stock and a put on the market, but this would require unnecessary payment for the market volatility embedded in the stock option premium. A better and cost-effective way is to trade relative performance directly using an index which measures the total return performance of a target security relative to that of a benchmark like the S&P 500.
抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』
■ウィキペディアで「Alpha Indexes」の詳細全文を読む
スポンサード リンク
| 翻訳と辞書 : 翻訳のためのインターネットリソース |
Copyright(C) kotoba.ne.jp 1997-2016. All Rights Reserved.
|
|