Part 1: Introduction (21)

Theory: CAPM and al

Indexing

What’s an index, how is it calculated, maintained, …

Before the Dow, the Dow and after

Index Classification

• Benchmark, Blue Chips, Size, Sector
• Strategy, Thematic
• Total Return, Price index
• Equal, Capitalization, Adjusted Capitalization, Factor Weighting
• Measures: contribution, tracking errors, …

 Part 2: Products Types, Specification, and Trading (21h)

World Market Capitalization: 100,000 Bn$ (US = 30%)

Index Funds

• Traditional vs Innovative
• Index vs. Actively Managed Investing
• Optimization and Fees, Management costs, Liquidity cost
• Legal issues, Directives and Constraints

Index Derivatives

• Option and Futures
• Structured products

New Generations

• Leveraged
• Based on futures
• Strategy index, Smart
• Non financial : Weather

 Part 3: Index Futures, Everything you need to know before trading index futures (21h)

It is so hard to succeed but so easy to fail

Principles

• Know-Understand-Do (KUD)
• Experience
• Anticipation
• Planning
• Control

Market organization

• Exchange,
• Clearing House
• and Regulator
• and their respective role

Define target

• Retailer vs Professional
• Local vs Foreign trader

Infrastructure

software, interface and add-ins; technology and feeds

Rules and supervision, transparency : “Fair” game

Products

underlying, liquidity and cost, fit to users?

Participants and users

diversified and different interests; market makers role and hedging

Education

theory and practice; avoid misuse, and abuse

Multi factors to succeed, one or very few to fail