About Daiwa Warrant
Index (DWI)Latest report
| Characteristics |
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The Daiwa Warrant Index (DWI) is an index for measuring the performance of the foreign currency-denominated warrant market. It can also be used as a benchmark for operating and evaluating portfolios. This index is generated daily, thus reflecting the latest changes in the market. Available from September 25, 1990 so that historical simulations during a period from the start of trading via Japan Bond Trading until the present are possible. The index can be used as an indicator monitoring the general movement of the Japanese foreign currency-denominated warrant market. The DWI is decomposed into subindices classified by industry, parity, size of issuer, maturity and exercise ratio. Thus, investors can select the appropriate indices for their needs. By utilizing DWI, operation and evaluation of a foreign currency-denominated warrant index fund is possible. |
| Calculation of DWI |
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DWI is an index for measuring the performance of the foreign currency-denominated warrant market. This index is designed for the purpose of measuring the comprehensive performance (total return) on both yen and dollar terms, using the market-value weighting method. Thus, this index can be used as an indicator representing the daily market performance and as a benchmark for evaluating a portfolio. |
| Issues included, and categories of subindices |
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Issues included --- Foreign currency warrants traded via Japan Bond Trading Categories of subindices --- Composite, industry (33 industries based on TSE's classification), size of issuer, parity (less than 0, and 0 more or), maturity and exercise ratio |
| Calculation method |
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-Prices selected --- Prices (middle prices) announced by Japan Bond Trading -Weighting method --- Market-value weighting method -Data frequency --- Daily (Business day) -Base date --- September 25, 1990 |
| Calculation equations |
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Total returns Yen terms = (today's price * today's foreign exchange rate - previous day's price * previous day's foreign exchange rate) / (previous day's price * previous day's foreign exchange rate) Dollar terms = (today's price - previous day's price) / previous day's price After calculating the investment 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. |
Last Revised: Jun 15 1995