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Single index model |
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Definition of Single index modelSingle index modelA model of stock returns that decomposes influences on returns into a systematic factor, Single-index modelRelated: market model
Related Terms:Arbitrage-free option-pricing modelsYield curve option-pricing models. Arms indexAlso known as a trading index (TRIN)= (number of advancing issues)/ (number of declining Asset pricing modelA model for determining the required rate of return on an asset. Asset pricing modelA model, such as the Capital Asset Pricing model (CAPM), that determines the required Binomial modelA method of pricing options or other equity derivatives in Binomial option pricing modelAn option pricing model in which the underlying asset can take on only two Black-Scholes modelThe first complete mathematical model for pricing Black-Scholes option-pricing modelA model for pricing call options based on arbitrage arguments that uses Bond indexingDesigning a portfolio so that its performance will match the performance of some bond index. Buying the indexPurchasing the stocks in the S&P 500 in the same proportion as the index to achieve the Capital asset pricing model (CAPM)An economic theory that describes the relationship between risk and Capital Asset Pricing Model (CAPM)A model for estimating equilibrium rates of return and values of capital asset pricing model (CAPM)Theory of the relationship between risk and return which states that the expected risk constant-growth dividend discount modelVersion of the dividend discount model in which dividends grow at a constant rate. Constant-growth modelAlso called the Gordon-Shapiro model, an application of the dividend discount Consumer Price Index (CPI)The CPI, as it is called, measures the prices of consumer goods and services and is a Consumer Price Index (CPI)An index calculated by tracking the cost of a typical bundle of consumer goods and services over time. It is commonly used to measure inflation. Deterministic modelsLiability-matching models that assume that the liability payments and the asset cash Discounted dividend model (DDM)A formula to estimate the intrinsic value of a firm by figuring the dividend discount modelComputation of today’s stock price which states that share value equals the present value of all expected future dividends. Dividend discount model (DDM)A model for valuing the common stock of a company, based on the Dividend growth modelA model wherein dividends are assumed to be at a constant rate in perpetuity. EAFE indexThe European, Australian, and Far East stock index, computed by Morgan Stanley. economic components modelAbrams’ model for calculating DLOM based on the interaction of discounts from four economic components. Enhanced indexingAlso called indexing plus, an indexing strategy whose objective is to exceed or replicate Extrapolative statistical modelsmodels that apply a formula to historical data and project results for a Factor modelA way of decomposing the factors that influence a security's rate of return into common and Garmen-Kohlhagen option pricing modelA widely used model for pricing foreign currency options. Gordon modelpresent value of a perpetuity with growth. IndexA series of numbers measuring percentage changes over time from a base period. The index number for the base period is by convention set equal to 100. indexAn index is a statistical measure of a market based on the performance of a sample of securities in that market. For example, the S&P/TSX Composite index reflects the performance of the most actively traded stocks on The Toronto Stock Exchange. Index and Option Market (IOM)A division of the CME established in 1982 for trading stock index Index arbitrageAn investment/trading strategy that exploits divergences between actual and theoretical Index fundInvestment fund designed to match the returns on a stockmarket index. index fundsMutual funds that aim to track the performance of a specific stock or bond index. This process is also referred to as indexing and passive management. Index modelA model of stock returns using a market index such as the S&P 500 to represent common or Index optionA call or put option based on a stock market index. Index Portfolio Rebalancing Service (IPRS)index Portfolio Rebalancing Service (IPRS) is a comprehensive investment service that can help increase potential returns while reducing volatility. Several portfolios are available, each with its own strategic balance of index Funds. IPRS maintains your personal asset allocation by monitoring and rebalancing your portfolio semi-annually. Index warrantA stock index option issued by either a corporate or sovereign entity as part of a security IndexationThe adjustment of benefits to compensate for the effects of inflation. Indexed bondBond whose payments are linked to an index, e.g. the consumer price index. IndexingA passive instrument strategy consisting of the construction of a portfolio of stocks designed to Internet business modela model that involves Jensen indexAn index that uses the capital asset pricing model to determine whether a money manager log size modelAbrams’ model to calculate discount rates as a function of the logarithm of the value of the firm. market indexMeasure of the investment performance of the overall market. Market modelThis relationship is sometimes called the single-index model. The market model says that the Market value-weighted indexAn index of a group of securities computed by calculating a weighted average Markowitz modelA model for selecting an optimum investment portfolio, ModelingThe process of creating a depiction of reality, such as a graph, picture, or mathematical Optimization approach to indexingAn approach to indexing which seeks to Optimize some objective, such percentage of sales modelsPlanning model in which sales forecasts are the driving variables and most other variables are Pie model of capital structureA model of the debt/equity ratio of the firms, graphically depicted in slices of present value indexsee profitability index Price IndexA measure of the price level calculated by comparing the cost of a bundle of goods and services in a given year with its cost in a base year. See also index. Profitability indexThe present value of the future cash flows divided by the initial investment. Also called Profitability indexSee cash value added. Profitability IndexA method for determining the profitability of an investment. It is profitability indexRatio of net present value to initial investment. profitability index (Pl)a ratio that compares the present value of net cash flows to the present value of the net investment Pure index fundA portfolio that is managed so as to perfectly replicate the performance of the market portfolio. QMDM (quantitative marketability discount model)model for calculating DLOM for minority interests r the discount rate Risk indexesCategories of risk used to calculate fundamental beta, including (1) market variability, (2) Simple linear trend modelAn extrapolative statistical model that asserts that earnings have a base level and Single country fundA mutual fund that invests in individual countries outside the United States. Single factor modelA model of security returns that acknowledges only one common factor. Single-level bill of materialA list of all components used in a parent item. Single-payment bondA bond that will make only one payment of principal and interest. Single-premium deferred annuityAn insurance policy bought by the sponsor of a pension plan for a single Single sourcingUsing a single supplier as the only source of a part. Standard & Poor’s Composite Indexindex of the investment performance of a portfolio of 500 large stocks. Also called the Stochastic modelsLiability-matching models that assume that the liability payments and the asset cash flows Stock index optionAn option in which the underlying is a common stock index. Stratified equity indexingA method of constructing a replicating portfolio in which the stocks in the index Stratified sampling approach to indexingAn approach in which the index is divided into cells, each Stratified sampling bond indexingA method of bond indexing that divides the index into cells, each cell Strike indexFor a stock index option, the index value at which the buyer of the option can buy or sell the Treynor IndexA measure of the excess return per unit of risk, where excess return is defined as the Two-factor modelBlack's zero-beta version of the capital asset pricing model. Two-state option pricing modelAn option pricing model in which the underlying asset can take on only two Value-at-Risk model (VAR)Procedure for estimating the probability of portfolio losses exceeding some Yield curve option-pricing modelsmodels that can incorporate different volatility assumptions along the
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