NYSE Composite Index Methodology Guide

NYSE Composite Index Methodology Guide



1

Table of Contents 1. Index Overview and Description . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .2

2. Key Features . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .3 2.1 Membership Criteria . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .3 2.2 Base Date and Base Value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .3 2.3 Calculation and Dissemination . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .3 2.4 Index Divisor Adjustments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .4 2.5 Weighting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .5 2.6 Dividend Treatment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .5

3. Index Maintenance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .5 3.1 Constituent Changes: Additions and Deletions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .5 3.2 Changes in Shares Outstanding . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .6

4. Index Divisor Adjustments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .6 4.1 Formulae for Divisor Adjustment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .6 4.2 Adjustment for Corporate Actions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .7

5. Index Calculation Methodology . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .8 5.1 Input Data. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .8 5.2 Index Formula . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .9 5.3 Computational Precision . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .10 5.4 Data Correction Policy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .10

6. Float Adjustment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .11 6.1 Qualifications . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .11 6.2 Threshold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .11 6.3 Foreign Restriction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .11

2

1. Index Overview and Description

The New York Stock Exchange (NYSE) Composite Index (Symbol: NYA), established in 1966, is designed to measure the performance of all common stocks listed on the NYSE, including ADRs, REITs and tracking stocks. It is a measure of the changes in aggregate market value of approximately 2,000 NYSE-listed U.S. and non-U.S. stocks, adjusted to eliminate the effects of capitalization changes, new listings and delistings. The index is weighted using free-float market capitalization, and calculated on both price and total return basis.

In an effort to modernize and align its index methodology with those of other popular broad-based U.S. indexes, the Exchange reintroduced the NYSE Composite Index in January 2003 under a new methodology that is fully transparent and rule-based. The NYSE Composite is calculated and maintained by Dow Jones Indexes. A comparison of the index's old versus new methodology is summarized in the following table.

Security class for eligible inclusion

Old Methodology

New Methodology

Common stocks

Yes

Yes

ADRs

Yes

Yes

Tracking Stocks

Yes

Yes

REITs

Yes

Yes

Closed-end funds

Yes

No

ETFs

Yes

No

Preferred stocks

No

No

Derivatives

Yes

No

Shares of beneficial interest

Yes

No

Trust units

Yes

No

Limited partnerships

Yes

No

Weighting Base Date Base Value Maintained/Calculated by Reconstitution/Rebalancing Share Updates ( ................
................

In order to avoid copyright disputes, this page is only a partial summary.

Google Online Preview   Download