Indexes will measure stock vs. ETF performance

From a press release issued by Nasdaq OMX...

NEW YORK, Nov 1, 2010 (GlobeNewswire via COMTEX News Network) -- The NASDAQ OMX Group, Inc. (Nasdaq:NDAQ) today announced the launch of five NASDAQ OMX Alpha Indexes(TM)designed to help market participants measure performance between stock and exchange traded funds (ETFs). The new indices, which began real-time calculation and dissemination on October 11, 2010, will highlight a suite of new derivatives products that will allow investors and traders the opportunity to generate returns even when the market is down.

NASDAQ OMX Alpha Indexes are an innovative way for market participants to track the return of a single stock or Exchange Traded Fund (ETF) against a leading ETF or another single stock of the same type, allowing investors and traders to capitalize on opportunities to generate returns. For example, if the price of a stock declines less than a specific ETF, the NASDAQ OMX Alpha Index tracking the specific relationship between the two will increase. This ability to track correlation gives market players the opportunity to adjust their portfolios in accordance with the particular market relationship being tracked.

"NASDAQ OMX Alpha Indexes have the potential for being as widely used as other indexes that are industry standards for market volatility and price," said Robert E. Whaley of Vanderbilt University's Owen Graduate School of Management. "With NASDAQ OMX Alpha Indexes, you're trading correlation--moreover, correlation between some important asset classes like bonds versus stocks, gold versus stocks or emerging market equities versus US equities. The recent financial crisis tells us how important that can be."

"NASDAQ OMX has a long history of new product and market innovation from the creation of the NASDAQ-100 Index(R) to PHLX sector indexes," said Eric Noll, Executive Vice President of US Transaction Services at NASDAQ OMX. "The debut of NASDAQ OMX Alpha Indexes will allow us to list proprietary options in the near future on PHLX or the NASDAQ Options Market."

The NASDAQ OMX Alpha Indexes were developed by NASDAQ OMX in conjunction with Jacob S. Sagi, Financial Markets Research Center Associate Professor of Finance, and Robert E. Whaley, Valere Blair Potter Professor of Management and Co-Director of the FMRC, both of the Owen Graduate School of Management, Vanderbilt University.

The NASDAQ OMX Alpha Indexes use a proprietary calculation, which measures the performance of a single stock or ETF, which is the target, against another single stock or leading ETF, which is the benchmark. The relative performance of the target and benchmark is calculated by comparing daily price returns plus dividends to the previous trading day. The initial Alpha Indexes have a starting point of 100.00 as of January 1, 2010.

NASDAQ OMX Alpha Indexes that are tracking highly liquid symbols are now available:

  • NASDAQ OMX Alpha AAPL vs. SPY Index (Nasdaq:AVSPY) shows how AAPL has performed compared to the SPDR(R) S&P(R) 500 ETF;
  • NASDAQ OMX Alpha GLD vs. SPY Index (Nasdaq:GVSPY) shows how SPDR(R) Gold Trust has performed compared to the SPDR(R) S&P(R) 500 ETF;
  • NASDAQ OMX Alpha TLT vs. SPY Index (Nasdaq:TVSPY) shows how treasury notes have performed compared to the SPDR(R) S&P(R) 500 ETF;
  • NASDAQ OMX Alpha C vs. XLF Index (Nasdaq:CVXLF) shows how Citigroup has performed compared to the Financial Select Sector SPDR(R) Fund;
  • and NASDAQ OMX Alpha EEM vs. SPY Index (Nasdaq:EVSPY) shows how iShares MSCI Emerging Markets ETF has performed compared to the SPDR(R) S&P(R) 500 ETF.

For more information on NASDAQ OMX Alpha Indexes please visit our website:

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