About Daiwa CB
Index (DCBI)Latest report
| Characteristics |
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-The Daiwa CB Index (DCBI) is an index for gauging the performance of the convertible bond market. It can also be used as a benchmark for operating and evaluating portfolios. -The index is designed to take into account the characteristics of the convertible bond market, and can also be compared with international bond indices since the world-standard method of calculation is employed. -The index is generated daily, thus reflecting the latest changes in the market. -Available from December 1980 so historical simulations over a long period of time are possible. -The index can be used as an indicator monitoring the general movement of the Japanese convertible bond market. -DCBI is decomposed into subindices classified by industry, parity and size of issuer, so investors can select the appropriate indices for their needs. -DCBI is decomposed into subindices, in part for the purpose of analyzing convertible bonds from the point of view of both bonds and stocks. For example, investors can select subindices based on the size of the issuer. -By utilizing DCBI, operation and evaluation of a convertible bond index fund are possible. |
| Calculation of DCBI |
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The DCBI is an index for measuring the performance of the domestic convertible bond market. The index is designed for the purpose of measuring the comprehensive performance (total return), using a market-value weighting method. Additionally, the index can be used as a benchmark for evaluating a portfolio, because it is calculated on the concept of time-weighted return. |
| Issues included, and categories of subindices |
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Issues included --- Convertible bonds listed on the Tokyo Stock Exchange Categories of subindices --- Composite, industry (28 industries based on the TSE classification), size of issuer and parity (less than Y100, and Y100 or more) |
| Calculation method |
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-Issues selected --- Convertible bonds listed on the TSE -Period of calculation of an issue --- Calculation begins from the day after listing, and continues through the day before delisting. -Prices selected --- TSE's special quotations, TSE's closing prices, TSE's recent special quotations and TSE's recent closing prices, in order of precedence. -Weighting method --- Market-value weighting method -Calculation interval --- Daily (business day) -Base date --- The base date is set at the end of December 1980. Monthly data since December 1980 through November 1983, and continues as daily data thereafter. -Contract date and settlement date --- Accrued interest is calculated, assuming that a given day's index reflects that day's price. |
| Calculation equations |
| Total return Total return = (today's price - previous day's price + today's coupon gain) / previous day's price (Note: Price = Closing price + accrued interest) After calculating the total return for each issue, the weighted average is calculated on the basis of the previous day's market value. Total return index The total return index is the accumulated number of total returns with the base date set at 100. The return between any given two dates can be obtained by calculating the ratio between these two corresponding indices. Income return Income return = (today's accrued interest - previous day's accrued interest + today's coupon gain) / previous day's price (Note: Price = Closing price + accrued interest) Income return is the income gain portfolio (coupon and accrued interest) of total return at any given date. |
Last Revised: Jun 15 1995