PORTFOLIO PERFORMANCE INDICES

 

In addition to price and performance indices that are calculated on a daily basis, GDS portfolio performance indices have been created to monitor price movements within the day.

Portfolio performance indices with a base value of 100 on 30 January 2003 are calculated and published in real time. Indicative of the return on investment in securities included in the index, portfolio performance indices show the return at the moment of calculation relative to the closing of the previous day. Bonds and bills which have not been traded the previous day or the day on which the calculation is made are not included in the calculation.
 
7 GDS portfolio indices are calculated on the ISE markets:
 
Equally weighted indices
EQ short-term index (EQ 180-): Contains bills and bonds with less than 180 days to maturity as equally weighted.  
EQ long-term index (EQ 180+): Contains bills and bonds with more than 180 days to maturity as equally weighted.  
EQ composite index (EQ COMPOSITE): Contains discounted bills and bonds traded on the market as equally weighted.  

Market value weighted indices
MV short-term index (MV 180-): Contains bills and bonds with less than 180 days to maturity as weighted according to market value.  
MV long-term index (MV 180+): Contains bills and bonds with more than 180 days to maturity as weighted according to market value.  
MV composite index (MV COMPOSITE): Contains discounted bills and bonds traded on the market as weighted according to market value.   
* The market value of GDS’s is found by multiplying the closing price of the previous day by the nominal issue amount and dividing the product by 100,000.

Repo Index: This index is calculated using the weighted average net daily return on repo transactions to be resolved the very same day on the repo-reverse repo normal orders market. It shows the total net return (net of withholding) which an investor continually conducting 1-day repo will earn in a certain period of time.

Comparison

Performance Indices	Portfolio Performance Indices
Calculated and published on a daily basis.	Calculated and published real time.
The returns on traded bonds and bills and the number of days to maturity are integrated on a single maturity-return curve and calculated with the selection of 91, 182, 273, 365 and 456-day yields.	The average return on bonds and bills with days to maturity less or more than 180 days is calculated (as equally weighted or weighted per market value).
Shows a fictional securities return which has been obtained with regression analysis.	Shows the return on a portfolio which consists of traded securities.
The price of the security is determined with regression analysis.	The last trading prices formed on the market are taken into account.