Calculating Index Value

Discussion in 'Trading' started by Scribe, May 17, 2002.

  1. 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,
  2. BruceF


    From 's site:

  3. trdrmac



    WWW.ETFCONNECT.COM lists the closing information of most of the ETFs like QQQ SPY etc. They will usually trade about 1/2 % over or below net asset value of the index.

    Also WWW.ISHARES.COM does a daily NAV calculation of the value of their portfolios.
  4. Scribe


    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


    PS. If anyone sees anything wrong with this please correct me.
  5. trdrmac


    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%

  6. Scribe


    Keep in mind that I posted the method for determining the true INDEX value not the QQQ ETF.