DJIA New calculation

DJIA New Calculation

2005-06-25T10:22:00.000+02:00

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Introduction

Value or capitalization weighted

As you surely know it, there are many way to calculate an index. Around the world, me mostly use the “capitalization-weighted” method which mean that bigger company have a bigger impact on index evolution (Nasdaq 100, S&P 500, CAC 40, DAX 30, FTES 100, SMI…).

Formula: Σcapitalization/divisor

Advantage: reflect economic activity
Disadvantage: biggest cap. could be overweighting the others (on SMI, Nestlé, Novartis, UBS, Roche and Crédit Suisse are weighting 75%. The other 22 companies share the remaining quarter).

Price weighted

The major benchmark index of the world, the Dow Jones Industrial Average (DJIA) is still computed with its original method: it is a price weighted index. It means that big company do not weight more than smaller because of a higher capitalization. The most expensive share has the biggest influence on the indice.

Formula: Σstock prices/divisor

Originally, biggest cap also were the most expensive share but it is nor more so. General Electrics, world biggest cap (2005.03.30, 383 bil.) weight 3.5 times less that United Technology, Dow most expensive share (cap: 52.5 bil.)
Advantage: easier to compute
Disadvantage: smaller cap are leading the index (there are fex big cap). It doesn’t capture total economic activity.

What will be done?

On this blog, I will use both method to compute Dow Jones Industrial Average and see if it changes much. Using the two methods and comparing their evolution can give better analysis (official method measure most expensive shares activity, cap. method observe biggest companies evolution). I started my two calculation on Monday, March 28, 2005.

.	Price Weighted	Cap. Weighted	Pri. Perf	Cap. Perf	Pri. Change	Cap. Change	Pri. Stard to date	Cap. Start to date
START	10485.65	10485.65					0	0
28.03.05	10485.65	10485.65	0.00%	0.00%	0.00	0.00	0.00%	0.00%
29.03.05	10405.70	10420.64	-0.76%	-0.62%	-79.95	-65.01	-0.76%	-0.62%
30.03.05	10540.93	10552.01	1.30%	1.26%	135.23	131.37	0.53%	0.63%
31.03.05	10503.76	10514.62	-0.35%	-0.35%	-37.17	-37.39	0.17%	0.28%
01.04.05	10404.30	10421.70	-0.95%	-0.88%	-99.46	-92.92	-0.78%	-0.61%
04.04.05	10421.14	10452.07	0.16%	0.29%	16.84	30.37	-0.62%	-0.32%
05.04.05	10458.46	10514.73	0.36%	0.60%	37.32	62.66	-0.26%	0.28%
06.04.05	10486.02	10533.86	0.26%	0.18%	27.56	19.13	0.00%	0.46%
07.04.05	10546.32	10585.09	0.58%	0.49%	60.30	51.23	0.58%	0.95%
08.04.05	10461.34	10508.51	-0.81%	-0.72%	-84.98	-76.58	-0.23%	0.22%
11.04.05	10448.56	10506.42	-0.12%	-0.02%	-12.78	-2.09	-0.35%	0.20%
12.04.05	10507.97	10584.40	0.57%	0.74%	59.41	77.98	0.21%	0.94%
13.04.05	10403.93	10492.25	-0.99%	-0.87%	-104.04	-92.15	-0.78%	0.06%
14.04.05	10278.75	10419.04	-1.20%	-0.70%	-125.18	-73.21	-1.97%	-0.64%
15.04.05	10087.51	10272.79	-1.86%	-1.40%	-191.24	-146.25	-3.80%	-2.03%
18.04.05	10071.25	10298.14	-0.16%	0.25%	-16.26	25.35	-3.95%	-1.79%
19.04.05	10127.41	10346.49	0.56%	0.47%	56.16	48.35	-3.42%	-1.33%
20.04.05	10012.36	10197.84	-1.14%	-1.44%	-115.05	-148.65	-4.51%	-2.74%
21.04.05	10218.60	10407.17	2.06%	2.05%	206.24	209.33	-2.55%	-0.75%
22.04.05	10157.71	10349.80	-0.60%	-0.55%	-60.89	-57.37	-3.13%	-1.30%
25.04.05	10242.47	10424.23	0.83%	0.72%	84.76	74.43	-2.32%	-0.59%
26.04.05	10151.13	10343.89	-0.89%	-0.77%	-91.34	-80.34	-3.19%	-1.35%
27.04.05	10198.80	10388.39	0.47%	0.43%	47.67	44.50	-2.74%	-0.93%
28.04.05	10070.37	10241.12	-1.26%	-1.42%	-128.43	-147.27	-3.96%	-2.33%
29.04.05	10192.51	10380.64	1.21%	1.36%	122.14	139.52	-2.80%	-1.00%
02.05.05	10251.70	10438.99	0.58%	0.56%	59.19	58.35	-2.23%	-0.44%
03.05.05	10256.95	10439.68	0.05%	0.01%	5.25	0.69	-2.18%	-0.44%
04.05.05	10384.64	10518.63	1.24%	0.76%	127.69	78.95	-0.96%	0.31%
05.05.05	10340.38	10492.33	-0.43%	-0.25%	-44.26	-26.30	-1.39%	0.06%
06.05.05	10345.40	10486.43	0.05%	-0.06%	5.02	-5.90	-1.34%	0.01%
09.05.05	10384.34	10553.82	0.38%	0.64%	38.94	67.39	-0.97%	0.65%
10.05.05	10281.11	10423.87	-0.99%	-1.23%	-103.23	-129.95	-1.95%	-0.59%
11.05.05	10300.25	10443.06	0.19%	0.18%	19.14	19.19	-1.77%	-0.41%
12.05.05	10189.48	10339.00	-1.08%	-1.00%	-110.77	-104.06	-2.82%	-1.40%
13.05.05	10140.12	10296.44	-0.48%	-0.41%	-49.36	-42.56	-3.30%	-1.80%
16.05.05	10252.29	10395.65	1.11%	0.96%	112.17	99.21	-2.23%	-0.86%
17.05.05	10331.88	10459.96	0.78%	0.62%	79.59	64.31	-1.47%	-0.25%
18.05.05	10464.45	10566.11	1.28%	1.01%	132.57	106.15	-0.20%	0.77%
19.05.05	10493.19	10615.97	0.27%	0.47%	28.74	49.86	0.07%	1.24%
20.05.05	10471.91	10589.52	-0.20%	-0.25%	-21.28	-26.45	-0.13%	0.99%
23.05.05	10523.56	10634.45	0.49%	0.42%	51.65	44.93	0.36%	1.42%
24.05.05	10503.68	10634.31	-0.19%	0.00%	-19.88	-0.14	0.17%	1.42%
25.05.05	10457.80	10612.66	-0.44%	-0.20%	-45.88	-21.65	-0.27%	1.21%
26.05.05	10537.60	10675.91	0.76%	0.60%	79.80	63.25	0.50%	1.81%
27.05.05	10542.55	10680.59	0.05%	0.04%	4.95	4.68	0.54%	1.86%
30.05.05	10542.55	10680.59	0.00%	0.00%	0.00	0.00	0.54%	1.86%
31.05.05	10467.48	10587.07	-0.71%	-0.88%	-75.07	-93.52	-0.17%	0.97%
01.06.05	10549.87	10681.02	0.79%	0.89%	82.39	93.95	0.61%	1.86%
02.06.05	10553.49	10692.28	0.03%	0.11%	3.62	11.26	0.65%	1.97%
03.06.05	10460.97	10628.68	-0.88%	-0.59%	-92.52	-63.60	-0.24%	1.36%
06.06.05	10467.03	10673.73	0.06%	0.42%	6.06	45.05	-0.18%	1.79%
07.06.05	10483.07	10618.20	0.15%	-0.52%	16.04	-55.53	-0.02%	1.26%
08.06.05	10476.86	10617.20	-0.06%	-0.01%	-6.21	-1.00	-0.08%	1.25%
09.06.05	10503.02	10640.09	0.25%	0.22%	26.16	22.89	0.17%	1.47%
10.06.05	10612.63	10692.52	1.04%	0.49%	109.61	52.43	1.21%	1.97%
13.06.05	10522.56	10636.90	-0.85%	-0.52%	-90.07	-55.62	0.35%	1.44%
14.06.05	10547.57	10657.66	0.24%	0.20%	25.01	20.76	0.59%	1.64%
15.06.05	10566.37	10673.60	0.18%	0.15%	18.80	15.94	0.77%	1.79%
16.06.05	10578.65	10683.12	0.12%	0.09%	12.28	9.52	0.89%	1.88%
17.06.05	10623.07	10724.62	0.42%	0.39%	44.42	41.50	1.31%	2.28%
20.06.05	10609.11	10706.17	-0.13%	-0.17%	-13.96	-18.45	1.18%	2.10%
21.06.05	10599.67	10678.23	-0.09%	-0.26%	-9.44	-27.94	1.09%	1.84%
22.06.05	10587.93	10669.44	-0.11%	-0.08%	-11.74	-8.79	0.98%	1.75%
23.06.05	10421.44	10533.20	-1.57%	-1.28%	-166.49	-136.24	-0.61%	0.45%
24.06.05	10297.84	10422.80	-1.19%	-1.05%	-123.60	-110.40	-1.79%	-0.60%
27.06.05	10290.78	10421.26	-0.07%	-0.01%	-7.06	-1.54	-1.86%	-0.61%
28.06.05	10405.63	10509.39	1.12%	0.85%	114.85	88.13	-0.76%	0.23%
29.06.05	10374.48	10495.39	-0.30%	-0.13%	-31.15	-14.00	-1.06%	0.09%
30.06.05	10274.97	10399.41	-0.96%	-0.91%	-99.51	-95.98	-2.01%	-0.82%
01.07.05	10303.44	10411.19	0.28%	0.11%	28.47	11.78	-1.74%	-0.71%
04.07.05	10303.44	10411.19	0.00%	0.00%	0.00	0.00	-1.74%	-0.71%
05.07.05	10371.80	10505.40	0.66%	0.90%	68.36	94.21	-1.09%	0.19%
06.07.05	10270.68	10402.09	-0.97%	-0.98%	-101.12	-103.31	-2.05%	-0.80%
07.07.05	10302.29	10406.74	0.31%	0.04%	31.61	4.65	-1.75%	-0.75%
08.07.05	10449.14	10545.52	1.43%	1.33%	146.85	138.78	-0.35%	0.57%

_______________________________________________

Graphs

Chart:

Movers (since start):

Week 7 (May 9 to May 13, 2005)

2005-05-14T11:20:00.000+02:00

Week 6 (May 2 to May 6, 2005)

2005-05-07T14:03:00.000+02:00

WEEK 6

A triple digit gain for that 6th week! Cap. weighted dow was underperforming that week. It seems that big cap. are not make for big moves. GM helped official index to go up much, gaining 15.29% for the week and making price weighted dow move up 30.15 points (6.65 for cap. wighted). That's all for the big movers this week. Lets check weekly mover graph:

This is the evolution of percentage difference between official and cap. weighted methods. You can see that it becomes greater as market goes down but is reducing when the market become more stable. Big cap. have always been the surest places!

Week 5 (April 25 to April 29, 2005)

2005-04-30T17:28:00.000+02:00

WEEK 5

This week was not better thant the last one, market doesn't seem to want to go up much! In fact, it is going up one day and down the following one for 2 weeks! It is an strange situation.
Exxon was not in fire due to heavy losses in Crude oil. It didn't help the cap. weighted index at all, making it loose 44.01 points. IBM was up again after tough days, as well as Boeing, AXP and verizon. Microsoft was among the winner too but mainly helped the cap. weighted index.

Week 5 movers:

Impact of:	Price Weighted	Cap. Weighted
UTX	1.18	0.24
CAT	-13.01	-1.74
MMM	-4.36	-1.31
IBM	16.04	10.30
JNJ	1.03	1.20
MO	1.40	1.13
BA	12.12	3.94
XOM	-17.66	-44.01
PG	1.92	1.89
AXP	21.36	10.40
AIG	3.69	3.76
WMT	2.44	4.03
DD	-7.32	-2.84
C	4.73	9.59
KO	9.68	9.10
GE	0.74	3.05
VZ	12.86	13.90
HON	-2.14	-0.71
JPM	4.58	4.57
HD	-4.80	-4.12
MRK	-2.22	-1.91
MCD	-5.54	-2.75
AA	-1.33	-0.45
PFE	-0.37	-1.08
GM	-0.67	-0.15
DIS	-6.65	-5.31
MSFT	2.73	11.61
SBC	4.43	5.72
INTC	2.22	5.39
HPQ	-2.29	-2.59
Total	34.80	30.84

Week 4 (April 18 to April 22, 2005)

2005-04-23T19:35:00.000+02:00

WEEK 4

It was a good week, certainly better than the last one. Many dow company posted their results which were really good. But inflation worry and crude oil price didn't allow a really good performance (except on thursday, dow gained 206.24 points (209.33 cap. weighted)). Capitally weighted dow continued to perform better than the official method. We will see if that last long!!
For a detailed analysis (not mine!), check Pro-at

Week 4 mover:

Impact of:	Price Weighted	Cap. Weighted
UTX	29.63	5.92
CAT	46.92	6.28
IBM	-28.08	-8.46
MMM	-18.40	-11.82
JNJ	-6.72	-7.80
MO	-1.33	-1.07
XOM	23.87	59.48
BA	6.50	2.11
AIG	-6.72	-6.62
PG	-5.62	-5.71
DD	-6.72	-3.28
AXP	11.45	4.44
WMT	-6.58	-10.87
C	4.21	8.54
KO	6.21	5.84
HD	2.59	10.69
HON	2.88	0.96
GE	-0.67	-0.57
JPM	6.95	6.93
VZ	-4.43	-3.82
MRK	-0.67	-0.72
MCD	-1.77	-0.88
AA	-0.74	-0.25
GM	-0.52	-0.41
DIS	-3.62	-10.54
PFE	8.65	1.91
MSFT	3.55	15.06
SBC	8.35	20.29
INTC	1.48	1.91
HPQ	-0.44	-0.50
Total	70.20	77.01

Week 3 (April 11 to April 15, 2005)

2005-04-16T10:18:00.000+02:00

WEEK 3

The Dow Jones Industrial Average lost 373.83 points this week, 420 during the last three days and posted 3 consecutive triple digit loss to close to a 5 and a half month nadir (November 2, 2004). 24 stocks edged south and IBM alone make the DJIA lose 80.55 points (51.74 cap. weighted).
Week 3 movers:

Impact of:	Price Weighted	Cap. Weighted
UTX	-24.09	-4.81
CAT	-53.43	-7.15
IBM	-80.55	-51.74
MMM	-27.27	-8.22
JNJ	5.62	6.52
MO	-4.06	-3.28
XOM	-28.23	-70.34
BA	-11.82	-3.84
AIG	-5.91	-6.01
PG	2.22	2.18
DD	-30.67	-11.90
AXP	-6.06	-2.95
WMT	-6.43	-10.63
C	2.59	5.24
KO	-5.99	-5.63
HD	-10.12	-8.68
HON	-14.19	-4.71
GE	0.07	0.31
JPM	-4.21	-4.20
VZ	-6.80	-7.35
MRK	10.86	9.36
MCD	-6.21	-3.08
AA	-17.07	-5.81
GM	-28.82	-6.36
DIS	-7.61	-6.08
PFE	8.20	23.88
MSFT	-3.55	-15.06
SBC	-5.54	-7.14
INTC	-8.87	-21.55
HPQ	-5.91	-6.70
	-373.83	-235.73

___________________________________________________________

Daily Movers: Thursday, April 14, 2005

2005-04-15T10:59:00.000+02:00

The DJIA had a particularly tough week! US main benchmark closed at five month nadir! That's Thurday's session Mover (April 14) table and graph (ex. UTX make the DJIA moves down 10.35 points (official calc.) and 2.07 (cap. weighted calculation).

Impact of:	Price Weighted	Cap. Weighted
UTX	-10.35	-2.07
CAT	-23.65	-3.16
IBM	-6.87	-4.41
MMM	-13.60	-4.10
JNJ	4.88	5.66
MO	-2.81	-2.27
XOM	-2.96	-7.37
BA	-3.77	-1.22
AIG	-1.63	-1.65
PG	-1.55	-1.53
DD	-9.83	-3.81
AXP	0.00	0.00
WMT	-4.51	-7.45
C	-3.03	-6.14
KO	-0.22	-0.21
HD	-5.54	-4.75
HON	-5.17	-1.72
GE	-1.03	-4.28
JPM	-2.81	-2.80
VZ	-0.07	-0.08
MRK	1.92	1.66
MCD	-3.40	-1.69
AA	-3.69	-1.26
GM	-12.34	-2.72
DIS	-0.52	-0.41
PFE	1.26	3.66
MSFT	-1.48	-6.28
SBC	-1.33	-1.71
INTC	-2.44	-5.93
HPQ	-1.48	-1.67

Daily Movers: Friday, April 8, 2005

2005-04-08T18:24:00.000+02:00

To begin, a daily mover graph (point(s) influence of dow components).
XXX make the dow move up or down X points

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