NASDAQ-100 Futures Index SM Methodology

Transcription

1 NASDAQ-100 Fuures Index SM Mehodology Index Descripion The NASDAQ-100 Fuures Index (The Fuures Index ) is designed o rack he performance of a hypoheical porfolio holding he CME NASDAQ-100 E-mini Index fuure, which is rolling on a quarerly basis. The Fuures Index is designed o represen reurns of he NASDAQ-100 Index (he Underlying Index ). Index Rules for he Underlying Index See he NASDAQ-100 Index Mehodology. Index Calculaion The NASDAQ-100 Fuures Index is calculaed using he fron monh of he NASDAQ-100 E- mini Fuures Conrac (Trading Symbol: NQ) raded on he Chicago Mercanile Exchange (CME). Due o he expiring naure of fuures conracs, every quarer he Index will undergo a roll which is designed o mainain exposure o he fron monh Index fuures conrac. For he NASDAQ-100 E-mini Fuures conrac, his replacemen occurs over a hree-day rolling period every calendar quarer, saring hree business days before he expiraion of he Index fuures, and ending one business day before he expiraion of he Index fuures. Fuures Roll Calendar Exchange Index Ticker Conrac Expiraion prior o hird Friday of Each Monh CME NASDAQ-100 NQ H H M M M U U U Z Z Z H Calculaion of Index Excess Reurn The excess reurn of each Index is calculaed from he price change of he underlying fuure s conrac. On any dae,, he level of each of he Indexes is calculaed as follows: ExcessReurnIndex = ExcessReurnIndex -1 * (1 + IndexExcessReurn ) where: ExcessReurnIndex -1 = The Excess Reurn Index level on he preceding business day, IndexExcessReurn = The excess reurn from holding he underlying fuures conrac. 1. If is no a roll dae, hen 1 The leers in he Fuures Roll Calendar represen he conrac monhs: H = March, M = June, U = Sepember and Z = December. 1

2 IndexExcessReurn = CDR,-1 where CDR,-1 = he Conrac Daily Reurn beween days -1 and, defined as: CDR =, 1 DCRP DCRP 1, and 1 DCRP = he Daily Conrac Reference Price of he fuures conrac. The official closing price, as designaed by he relevan exchange, is used. 2. If falls on one of he roll daes, he Index holds boh he nearby fuures conrac and he nex-nearby conrac a he same ime. Equal weighs of he old conrac are rolled ino he new conrac, as shown in he able below: Weigh (Near Conrac) Weigh (Nex Near Conrac) Before he Roll 1 0 Roll: Day Roll: Day Roll: Day On any of he roll days, he conrac daily reurn is calculaed by applying oday s prices and he previous day s prices o he previous day s weighs. a. On he firs day of he roll, T+1 The value of he porfolio (PV) before he roll is: PV(T) = P(Near, T); The value of he porfolio on T+1 is: PV(T+1) = P(Near, T+1); where P(Near, T) is he price of he near conrac on day T, and P(Near, T+1) is he price of he near conrac on day T+1. The excess reurn of he Index from T o T+1 is: IndexExcessReurn(T,T+1) = PV(T+1) PV(T) Subsiuing he formulae above: -1 2

3 IndexExcessReurn(T,T+1)= P(Near,T+1) P(Near,T) -1 b. On he second day of he roll, T+2 The value of he porfolio on T+1 is: PV(T+1) = *P(Near, T+1) * P( Nex, T + 1) On he nex day, T+2, he prices of he conracs are P(Near, T+2) and P( Nex, T+2) for he nearby and nex-nearby conracs. By applying hese prices o he weighs on T+1, he value of he porfolio on T+2 is: PV(T+2) = *P(Near, T+2) * P(Nex,T + 2) The excess reurn of he Index from T+1 o T+2 is: IndexExcessReurn(T+1, T+2) = PV(T+2) PV(T+1) -1 Subsiuing he formulae above: IndexExcessReurn(T+1,T+2) = 2 P(Near,T+2)+P(Nex,T+2) 2 P(Near,T+1)+P(Nex,T+1) -1 c. On he hird and las day of he roll, T+3 The value of he porfolio on T+2 is: PV(T+2) = *P(Near, T+2) * P(Nex,T + 2) On he nex day, T+3, he prices of he conracs are P(Near, T+3) and P(Nex, T+3) for he nearby and nex-nearby conracs. By applying prices o he weighs on T+2, he value of he porfolio on T+3 is: PV(T+3) = *P(Near, T+3) * P(Nex, T + 3) The excess reurn of he Index from T+2 o T+3 is: IndexExcessReurn(T+2, T+3) = PV(T+3) PV(T+2) -1 Subsiuing he formulae from above: IndexExcessReurn(T+2,T+3) P(Near,T+3)+2 P(Nex,T+3) P(Near,T+2)+2 P(Nex,T+2) -1 3

4 Marke Disrupions during Roll Evens Marke disrupions are siuaions where an exchange has failed o open so ha no rading is possible due o unforeseen evens, such as compuer or elecric power failures, weaher condiions or oher evens. If any such even happens during he roll period, he porion of he roll ha would oherwise have aken place on such dae will ake place on he nex Business Day on which no marke disrupions exis. If on any day during a Roll Period he Daily Conrac Reference Price (DCRP) of any Nearby Conrac or Roll Conrac (Nex-Nearby) is a Limi Price, no DCRP is available, or rading in he relevan conrac is erminaed earlier han scheduled (and does no resume wihin he specified ime period), he porion of he roll ha would oherwise have aken place on ha day will be deferred unil he nex day on which such circumsances do no exis. This limiaion is based on he fac ha, under he circumsances described in his secion, i would be difficul or impossible o liquidae and/or esablish acual posiions in he marke and o perform he roll. Delaying he rolling, herefore, serves o replicae he seps ha would need o be aken in rolling acual marke posiions. Under his procedure, if any of he marke disrupion exiss on he firs day of he Roll Period, hen no porion of he roll will be performed and wo-hirds (66.67%) of he roll will be implemened on he nex business day. If such circumsances also exis on he second Business Day of he Roll Period, hen 100% of he roll will be performed on he hird Business Day. If such circumsances exis hroughou he hree business days iniially designaed as he Roll Period, hen he enire roll will be performed on he nex succeeding Business Day on which no marke disrupions exis. Calculaion of Index Toal Reurn For a funded invesmen, he oal reurn beween daes -1 and includes a risk-free reurn for he iniial cash oulay: IndexToalReurn = IndexExcessReurn + TBR TBR is he Treasury Bill Rae, as deermined by he following formula: TBR Dela 1 = [ ] * TBAR where: Dela = he number of calendar days beween he curren and previous business days. TBAR -1 = he mos recen weekly high discoun rae for 91-day US Treasury Bills effecive on he preceding business day. Generally he 4

5 raes are announced by he US Treasury on each Monday. On Mondays ha are bank holidays, Friday s raes will apply. The Toal Reurn index is calculaed as: ToalReur nindex = ToalReurnIndex * (1 + 1 IndexToalReurn ) The Index is calculaed and disseminaed every 15 seconds from 9:30:15 o 17:16:00 ET, while he Underlying Index is calculaed and disseminaed once per second. The closing value of he Index may change up unil 17:15:00 ET due o correcions o he closing value of he Underlying Index. The following Indexes are calculaed: Index Symbol Type Saring Dae Saring Value 2 NDXFUTER Excess Reurn May 1, NDXFUTTR Toal Reurn May 1, NASDAQ OMX may, from ime o ime, exercise reasonable discreion as i deems appropriae o ensure Index inegriy. The NASDAQ-100 Fuures Indexes ( Indexes ) is he exclusive propery of The NASDAQ OMX Group, Inc. which, wih is affiliaes, is collecively NASDAQ OMX. NASDAQ OMX has conraced wih Sandard & Poor s ( S&P ) o calculae and mainain he NASDAQ-100 Fuures Indexes. S&P shall have no liabiliy for any errors or omissions in calculaing he Indexes. May Saring Value represens he NASDAQ-100 Index value as of he close of rading on April