Calculating Index Value

S

Scribe

I was wondering if someone could point me to some information on how to calculate the value of the NAS-100 Index. I have been unable to find anything on the net other than a general outline of how the Index is calculated but not enough specifics. Can anyone shed any light on this?

I am trying to build an excel spreadsheet so I can calculate the index value myself. So I need to know exactly what data I need to collect and what computations to run on it. I have already downloaded the component list and percent weighting from the NASDAQ site.

Thanks for any assistance,
Scribe
 
From www.nasdaq.com 's site:

The Nasdaq-100 Index is calculated under a modified capitalization-weighted methodology. The methodology is expected to retain in general the economic attributes of capitalization-weighting while providing enhanced diversification. To accomplish this, Nasdaq will review the composition of the Nasdaq-100 Index on a quarterly basis and adjust the weightings of Index components using a proprietary algorithm, if certain pre-established weight distribution requirements are not met.
More...
 
On the Nasdaqtrader site they have some more detailed information. I still have not found a detailed explanation of the entire calculation but at least I have enough information to model it. Now my only problem is unreliable quotes foul up my spreadsheet.

In the spirit of sharing knowledge (or boring you)...

Basically the index is computed as follows:

Component Price * Component Depository Receipt Multiplier = Market Capitalization for one component

(Component Depository Receipt Number is apparently a calculated number that is a derived total number of shares outstanding for an issue. Any change to this number is posted on the Nasdaqtrader site a week before it takes place.)

Adjusted Base Period Market Value (ABPMV) = 169,694,196
(I believe this is a calculated value that may be changed at any time but usually is only altered each quarter. I am not sure how NASDAQ arrives at this figure - I am still researching this item. )

Base Value = 125
(This was apparently adjusted from 250 back in 1998 timeframe and is apparently just used to scale the index)

Total Market Value = sum of component market capitalizations

and finally .... drum roll ...

Index Value = (Total Market Value / ABPMV) * Base Value

Enjoy,
Scribe

PS. If anyone sees anything wrong with this please correct me.
 
Exchange-Traded Fund

QQQ - Nasdaq 100 Trust Series I

Closing NAV as of 5/16/2002: $32.74
Closing Share Price as of 5/16/2002: $32.86
Premium/(Discount): 0.36%

:cool:
 
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