My colleague George Patterson of NYSE Euronext’s Global Index Group offers up this monthly performance report for August 2010:

The summer holiday month of August turned out to be a positive month only for Portugal, where the PSI 20 Index rose 0.30%, helped by the performance of Portugal Telecom. All other blue-chip indices showed decreases, with the NYSE U.S. 100 Index shedding 4.22%. The CAC 40 Index and AEX Index lost 4.29% and 4.18% respectively. The BEL 20 Index showed a 2.38% decrease for August.

The downward movement in August was almost compensated fully on the first trading day of September. There is still a lot of volatility in the market, which can be observed for instance in the CAC volatility, which is currently at a level of 29.43%, up 3% in comparison to the end of July.

Contrary to the blue-chip indices, the European small-cap indices had a positive month. The BEL Small and Amsterdam’s AScX gained 2.49%.

Almost all sectors were down this month, except for the Portuguese and Dutch telecom indices; these were up 7.12% and 8.62% respectively. Furthermore, the gold indices wrote positive figures, which is typical for bearish months as investors seem to seek a safe haven. The Junior Gold Bugs, for instance, rose 14% in August.

The full report is here.

Index News

On August 11, four new NYSE indices were launched to track the performance of the US Treasury Futures Market:

* NYSE US 2 Year Treasury Futures Index - USTTWO
* NYSE US 5 Year Treasury Futures Index - USTFIV
* NYSE US 10 Year Treasury Futures Index - USTTEN
* NYSE US Long Bond Treasury Futures Index - USTLBD

As previously announced, our European blue-chip indices rules are adjusting as of September 20 to further harmonize the methodology and rules sets. For more information please see the press release.

George Patterson of NYSE Euronext’s Global Index Group offers up this monthly performance report for July 2010:

Better-than-expected corporate earning allowed gains in all of our blue-chip indices with the NYSE U.S. 100 Index (NY.ID) leading the rebound at 6.80%. The CAC 40 Index (CAC) and AEX Index (AEX) gained 5.82% and 4.37% respectively. The BEL 20 Index (BEL) year-to-date (YTD) returns moved into positive territory of 0.23% with a 5.48% return for July.

The NYSE Euronext Iberian Index (NEIBI) erased nearly half of its YTD losses in July by posting an 11.66% return, while YTD returns stand at -11.29%.

Most Financial and Real Estate sector indices preformed well this month. The CAC Financials Index (FRFIN) gained 16.72%, the NYSE Financials Index (NYK.ID) rose 10.37% and the AEX Real Estate Index (NLRE) added 10.63%.

In a reversal from previous months, the US Gold Indices returns were negative for July; the NYSE Arca Gold Miners (GDM) fell by 7.07%, NYSE Arca Gold BUGS Index (HUI) lost 6.86% and NYSE Junior Gold Miners (JHUI) returned -5.25%.

Volatility for the CAC (VCAC) and AEX (VAEX) indices has returned to the 25% to 26% range from earlier the highs of the low to mid 30s in June.

The full report can be retrieved using this link.

Additionally, we have created a mailing list to push this to index clients each month. Please contact myself or Harrold Prins should you wish to add your clients to this list.

George Patterson of NYSE Euronext’s Global Index Group offers up this monthly performance report for July 2010:

Better-than-expected corporate earning allowed gains in all of our blue-chip indices with the NYSE U.S. 100 Index (NY.ID) leading the rebound at 6.80%. The CAC 40 Index (CAC) and AEX Index (AEX) gained 5.82% and 4.37% respectively. The BEL 20 Index (BEL) year-to-date (YTD) returns moved into positive territory of 0.23% with a 5.48% return for July.

The NYSE Euronext Iberian Index (NEIBI) erased nearly half of its YTD losses in July by posting an 11.66% return, while YTD returns stand at -11.29%.

Most Financial and Real Estate sector indices preformed well this month. The CAC Financials Index (FRFIN) gained 16.72%, the NYSE Financials Index (NYK.ID) rose 10.37% and the AEX Real Estate Index (NLRE) added 10.63%.

In a reversal from previous months, the US Gold Indices returns were negative for July; the NYSE Arca Gold Miners (GDM) fell by 7.07%, NYSE Arca Gold BUGS Index (HUI) lost 6.86% and NYSE Junior Gold Miners (JHUI) returned -5.25%.

Volatility for the CAC (VCAC) and AEX (VAEX) indices has returned to the 25% to 26% range from earlier the highs of the low to mid 30s in June.

The full report can be retrieved using this link.

Additionally, we have created a mailing list to push this to index clients each month. Please contact myself or Harrold Prins should you wish to add your clients to this list.

From George Patterson NYSE Euronext’s Global Index Group sends you the monthly performance report for the June 2010.

What looked like a positive month turned around completely in the last few days of June. The general trends show losses in all of our blue-chip indices with the NYSE U.S. 100 Index (NY.ID) leading the fall for the second month in a row at -4.83%. The CAC 40 Index (CAC) lost 1.84% for a year-to-date return of -12.54%, while the year-to-date return of the AEX-Index (AEX) has arrived at 5.53%.

Most sector indices fell as well, except the US Gold Indices and European Real Estate that seem to be able to escape from the bear market this month. The NYSE Arca Gold Miners (GDM) gained 4.63% and the CAC Real Estate (FRRE) rose 3.84%. Another positive exception is the CAC Consumer Goods (FRCG), which shows a year-to-date return of 5.84%.

Given the general negative trends, short strategies yielded positive performances. For instance the CAC Double Short (CAC2S) gaining 1.23%. Moreover, the High Dividend indices also provide a way to mitigate the downside risk of the Blue Chip indices: the PSI High Dividend Index (PSIHD) has a plus of 1.51% while its underlying main index, the PSI 20 (PSI) is almost unchanged at -0.09%.

The full report can be retrieved using this link.

From George Patterson:

The Global Index Group sends you the Monthly Performance Report for the month of May 2010.

The general trends show losses in all of our blue-chip indices with the NYSE U.S. 100 Index (NY.ID) leading the fall at -8.57%, while the BEL 20 index (BEL20) fell the least at -4.20%. The CAC 40 Index (CAC) lost 8.11%. The PSI 20 Index (PSI) fell 4.54% for a year to date return of -16.44%.

Most sector indices fell, except BEL Consumer Goods (BECG) and PSI Telecommunications (PTTEL) with 6.84% and 16.05% respectively. The Basic Material and Oil & Gas Sectors have led the downturn across all regions.

The NYSE US Treasuries Indices have returned positive numbers for May, with the NYSE Current 30 Year US Treasury Index (AXTHR) posting a 5.49% uptick.

Continuing the trend, the VCAC and VAEX volatility indices rose to low 30s levels from the mid 20s in April; the VCAC rose 20.54% to 30.98 and the VAEX rose 33.87% to 31.70 while the VBEL arrived at 26.94 on 31 May.

The full report can be retrieved using this link.

From George Patterson:

The Global Index Group sends you the Monthly Performance Report for the month of May 2010.

The general trends show losses in all of our blue-chip indices with the NYSE U.S. 100 Index (NY.ID) leading the fall at -8.57%, while the BEL 20 index (BEL20) fell the least at -4.20%. The CAC 40 Index (CAC) lost 8.11%. The PSI 20 Index (PSI) fell 4.54% for a year to date return of -16.44%.

Most sector indices fell, except BEL Consumer Goods (BECG) and PSI Telecommunications (PTTEL) with 6.84% and 16.05% respectively. The Basic Material and Oil & Gas Sectors have led the downturn across all regions.

The NYSE US Treasuries Indices have returned positive numbers for May, with the NYSE Current 30 Year US Treasury Index (AXTHR) posting a 5.49% uptick.

Continuing the trend, the VCAC and VAEX volatility indices rose to low 30s levels from the mid 20s in April; the VCAC rose 20.54% to 30.98 and the VAEX rose 33.87% to 31.70 while the VBEL arrived at 26.94 on 31 May.

The full report can be retrieved using this link.

After I’ve been nagging you for a week, today it’s finally here: the annual reconstitution of the Russell indices, when hundreds of NYSE- and NYSE Amex-listed issues go in and out of the indices. If you’ve been in a cave the last few days, here is our post with links to the relevant procedures and policies. We’re not anticipating a problem, but better to be over-prepared, yes?

That also means today is the final installment in our little Great Russells in World History series. I’ve saved my personal favorite for last. Today’s Great Russell is…..

Bucky Dent.

Bucky Dent? Yes, Bucky Dent, born Russell Earl O’Dey. Yankee shortstop of the 1970s who in 1978 hit the decisive home run to lead the Yanks to a comeback win over the Red Sox in a one-game playoff for the pennant. The game capped a miraculous comeback pennant drive and opened the path to another World Series championship for the Yanks. In short, the kind of performance Yankee fans haven’t seen in October since, um, far longer than I care to remember. Here’s a recent piece in the New York Times with Bucky reflecting back on that time.

How did I remember that his given name was Russell? Your humble blogger has an amazing capacity for retaining absolutely useless, trivial nonsense, as Mrs. Humble Blogger reminds him with some regularity.

Forgive my bringing all that up, Sox fans. It’s been kinda tough for us Yankee faithful recently. Anyway, hope you’ve enjoyed our little runup to Russell. Have a good Friday and weekend.

I’ve been a little too busy to post today but the Closing Bell has clanged, tomorrow’s Russell Indices recomposition draws nigh (draws nigh? Where did that come from?), and I did promise you a daily installment of Great Russells in World History. Here’s one you probably didn’t expect, unless you were really paying attention in school:

Bertrand Russell.

Who, you say?

Bertrand Arthur William Russell (b.1872 - d.1970) was a British philosopher, logician, essayist, and social critic, best known for his work in mathematical logic and analytic philosophy. His most influential contributions include his defense of logicism (the view that mathematics is in some important sense reducible to logic), and his theories of definite descriptions and logical atomism. Along with G.E. Moore, Russell is generally recognized as one of the founders of analytic philosophy. Along with Kurt Gödel, he is also regularly credited with being one of the two most important logicians of the twentieth century. …

Over the course of his long career, Russell made significant contributions, not just to logic and philosophy, but to a broad range of other subjects including education, history, political theory and religious studies. In addition, many of his writings on a wide variety of topics in both the sciences and the humanities have influenced generations of general readers. After a life marked by controversy (including dismissals from both Trinity College, Cambridge, and City College, New York), Russell was awarded the Order of Merit in 1949 and the Nobel Prize for Literature in 1950. Also noted for his many spirited anti-war and anti-nuclear protests, Russell remained a prominent public figure until his death at the age of 97. …

Russell’s contributions to logic and the foundations of mathematics include his discovery of Russell’s paradox, his defense of logicism (the view that mathematics is, in some significant sense, reducible to formal logic), his development of the theory of types, and his refining of the first-order predicate calculus.

Russell discovered the paradox that bears his name in 1901, while working on his Principles of Mathematics (1903). The paradox arises in connection with the set of all sets that are not members of themselves. Such a set, if it exists, will be a member of itself if and only if it is not a member of itself. The paradox is significant since, using classical logic, all sentences are entailed by a contradiction. Russell’s discovery thus prompted a large amount of work in logic, set theory, and the philosophy and foundations of mathematics.
– (Stanford Encyclopedia of Philosophy)

“The paradox arises in connection with the set of all sets that are not members of themselves. Such a set, if it exists, will be a member of itself if and only if it is not a member of itself.”

And you didn’t think you were going to learn anything today!

Tune in tomorrow for the final episode of Great Russells. Can you stand the suspense?

Your humble blogger was vaguely aware that NYSE Euronext was cobbling together a pretty big roster of indices, oh. probably, say, 20 or 30 of them, and then this press release came out last week announcing the 2008 performance of some of our 300 indices. Three double-oh, three hundred indices.

Please forgive my appalling lack of knowledge on this subject. Which is not a surprise given my appalling lack of knowledge on most subjects, but please forgive me anyway.

So now we have a Global Index Group, comprising index specialists from NYSE Arca, NYSE Euronext and the newly acquired American Stock Exchange. They provide design, real-time calculation and dissemination services for NYSE Euronext, third-party customized indices and Exchange Traded Products intra-day indicative values, the press release says. And we have these 300 indices.

To which you might respond: so what? Or more specifically, what do all these indices tell us?

The answer is: pretty much anything you want to know about the markets in which NYSE Euronext operates, including the main indices of continental Europe: AEX, BEL, CAC 40 and PSI-20. We have indices of stocks of various sizes and industries, denominated in dollars or euros; plus indices focusing on various strategies including leverage and short selling.

And obviously there’s more to tell, because the list is growing. Recently we announced a new global airline index and an index of European companies with low carbon footprints.

You can learn more at the home page for our Global Index Group. And certainly, I myself can learn more. Should learn more. Will learn more — new year’s resolution. OK, enough beating up on myself for one day.