Nasdaq 100 Castoffs May Offer Investors New Opportunities
When the Nasdaq Stock Market announced its annual changes to the Nasdaq-100 Index last week, investors responded predictably: Stocks that were added to the index generally rose, while those that were tossed out fell.
But if history is any judge, investors made the wrong bet.
A quick study of the stocks added and dropped in the past few years shows that investors would have been far better off buying the companies dumped from the widely watched index and selling those given the honor of joining the Nasdaq 100.
As a group, the stocks that Nasdaq dumped at the end of last year, including PMC-Sierra Inc., Protein Design Labs Inc. and Integrated Device Technology Inc., are up 140% this year. The stocks that were added to the index, including American Power Conversion Corp., Pixar Animation Studios and First Health Group Corp., returned an average of 24% so far this year. The Nasdaq-100 itself is up 45% for the year, meaning the new stocks were a drag on the index.
The shifts are significant because the Nasdaq-100, which was launched in 1985 and contains the 100 largest nonfinancial stocks traded on the Nasdaq, is one of the most important indexes in the market. It is tracked by about 400 financial products, according to Nasdaq, including the Nasdaq-100 Index Tracking Stock, known by its ticker symbol as the QQQ, which has total assets of $21 billion and is the most heavily traded stock in the U.S.
The Nasdaq changes the index every December. The latest changes were announced Thursday after the market closed and will take effect before the market opens on Dec. 22.
Not surprisingly, the stocks removed from the index tend to fall immediately after the announcement because the funds that track the Nasdaq 100 must sell them and buy the index's new names. Ultimately, these stocks tend to bounce back, making the initial selloff a potential buying opportunity.
In 2001, both the adds and drops from the index fell over the next year, a rough one for the market. The shares added fell 48% in 2002, while the stocks that were dumped fell a slightly less painful 42%.
The results were more stark for the stocks added and dropped in 2000. The next year, the stocks that were added fell 60% while those that were dropped rose 55%.
In trying to explain the phenomenon, investors say that new stocks in the index tend to be among the market's hottest. That often means the investors who track the index are buying stocks that have peaked and are heading for a fall.
Clifford Asness, managing principal at AQR Capital Management LLC, a New York hedge fund, says that momentum strategies like this one can be extremely volatile. "Momentum is a pretty dangerous strategy when used alone, and this is also a very coarse way to use momentum," he said.
John Jacobs, the executive vice president at Nasdaq who oversees the index, says the companies in the Nasdaq 100 are chosen using objective, transparent rules based largely on the size of the companies, with restrictions designed to keep out young, hot stocks. He says investors essentially choose the stocks in the index by pushing up their market caps. "I'm very happy that the companies that have been removed have performed well," Mr. Jacobs said.
This year's new stocks are: Marvell Technology Group Ltd., Garmin Ltd., Career Education Corp., Lam Research Corp., Level 3 Communications Inc., Intersil Corp., ATI Technologies Inc. and Research in Motion Limited. As a group, they have returned more than twofold in 2003, so far.
This year's drops returned a not-too-shabby 62%, with the best performer, Telefon AB L.M. Ericsson, rising 141%. The rest of the dropped companies are: ADC Telecommunications Inc., Brocade Communications Systems Inc., Ciena Corp., Human Genome Sciences Inc., Icos Corp., Monster Worldwide Inc. and RF Micro Devices Inc.
One reason for the performance oddities is that the Nasdaq tends to add and drop stocks in the same industries. Of the 14 stocks dropped last December, for instance, 11 of them were from only two industries -- six were semiconductor stocks and five were biotechnology companies. Both industries soared this year, with semiconductors up 72% and biotechs up 40%.
The Nasdaq-100 is filled with mega-size tech names such as Microsoft Corp. and Intel Corp., that are likely to be in the index permanently. But some smaller and more volatile names move in and out, even though Nasdaq's system for picking stocks is designed to prevent that. At least eight stocks have made round trips into and out of the index in the past three years, and in many cases they registered their best performance out of the index.
For example, Integrated Device Technology was added to the index in December 2001 and promptly lost 69% in the subsequent year. The stock was then dumped, and the next year returned twofold. Protein Design Labs was added in 2001, after which it fell 74%. It was dropped at the end of 2002, and, of course, rebounded 94% the next year.
留意那斯达克100指数的“弃儿”
当那斯达克股票市场(NASDAQ Stock Market)上周宣布对那斯达克100指数的成份股作年度调整时，投资者的反应在预料之内：被新列为成份股的股票普遍上扬，被剔除出成份股的股票出现下跌。
但如果以史为鉴的话，可以看出投资者们是打错了算盘。
粗率统计一下过去几年中被增补和剔除出那斯达克100指数成份股行列的股票可以发现，如果投资者买进那些被剔除出成份股的股票而卖出那些被增补进去的股票，它们的投资收益会好得多。
包括PMC-Sierra Inc.、Protein Design Labs Inc.和Integrated Device Technology Inc.在内去年底时被剔除出那斯达克100指数成份股之列的股票，今年总体上涨了140%。而包括American Power Conversion Corp.、 Pixar Animation Studios和First Health Group Corp.在内去年被增补为该指数成份股的股票，今年迄今为止则平均上涨了24%。那斯达克100指数今年上涨了45%，这意味著那些新增补的成份股对该指数起了拖累作用。
这一转变意义重大，因为1985年推出的那斯达克100指数是那斯达克市场最重要的指数之一，它反映了那斯达克市场上最大的100只非金融类股的表现。据那斯达克称，该指数受到约400个金融产品的跟踪，其中包括那斯达克100指数跟踪股(Nasdaq-100 Index Tracking Stock, QQQ)，该股的总市值达210亿美元，是美国交投最活跃的股票。
那斯达克每年12月对那斯达克100指数的成份股进行调整。今年的调整结果于上周四股市收盘后宣布，这一结果将于12月22日股市开盘前生效。
那些被剔除出成份股的股票在这一消息宣布伊始往往会急剧下跌，这并不出人意料，因为跟踪那斯达克100指数的基金必须卖出这些股票，买进那些新增补的成份股。然而，被从成份股名单中除名的这些股票最终往往会出现反弹，从而使消息宣布伊始的下跌成为逢低买进这些股票的潜在机会。
2002年对股市而言是艰难的一年，2001年底时被增补进和剔除出那斯达克100成份股的股票都出现了下跌，新增补的股票总体下跌了48%，被剔除的股票也平均下跌了42%，跌幅较小。
而那些2000年底时被增补和剔除的股票反差更为明显。在2001年，新增补股票平均下跌了60%，而被剔除的股票则平均上涨了55%。
投资者对这一现象的解释时，那些新增补的成份股往往是市场上最热门的股票，这意味著当它们被增补为成份股时，其价格已达到最高点，就要走下坡路了。
那斯达克负责那斯达克100指数事务的执行副总裁约翰?贾克布斯(John Jacobs)说，那斯达克是按照客观、透明的规则来挑选那斯达克100指数成份股的，这些规则以公司规模为主要著眼点，那斯达克还专门设计了一些规则以防上市时间不长的热门股入选。他说，实际上是投资者选择了该指数的成份股，因为他们的买盘推动这些股票的市值节节攀升。但他也说，很高兴看到那些被剔除出成份股之列的股票有良好的表现。
今年新增补的成份股有：Marvell Technology Group Ltd.、Garmin Ltd.、Career Education Corp.、Lam Research Corp.、国际宽频网络基建及通讯公司(Level 3 Communications Inc.)、Intersil Corp.、ATI Technologies Inc.和Research in Motion Limited。今年迄今为止，这些股票平均上涨了1倍以上。
今年被剔除的成份股总体表现也不错，平均上涨了62%，表现最优的是爱立信(Telefon AB L.M. Ericsson，又名:易立信)，上涨了141%。 其他被剔除的成份股是ADC Telecommunications Inc.、Brocade Communications Systems Inc.、Ciena Corp.、Human Genome Sciences Inc.、Icos Corp.、Monster Worldwide Inc.和RF Micro Devices Inc。
被剔除股表现并不差的原因之一是，那斯达克增补和剔除的股票往往属于同一行业。例如，去年12月剔除的14只股票中，有11只集中在两个产业，其中6只是半导体类股，5只是生物科技类股。这两类股票今年都大幅上扬，半导体类股上涨了72%，而生物科技类股则上涨了40%。
那斯达克100指数的成份股中既包括微软(Microsoft Corp.)和英特尔(Intel Corp.)等预计将永坐成份股之位的大型股，也包括一些经常出出进进的较小型股票，这些股票更具波动性，虽然那斯达克设计其成份股挑选体系时就刻意防止这种反复进出的情况发生，但仍无法避免。过去3年中，至少有8只股票在成为那斯达克100指数的成份股后又被剔除，而许多情况下这些股票表现最好的时候是在丧失成份股地位以后。
例如，Integrated Device Technology于2001年12月被增补为该指数的成份股，但在随后的1年却暴跌了69%。该股随后被剔除出成份股之列，此后的1年它又上涨了1倍。Protein Design Labs在2001年被增补为成份股，此后1年该股下跌了74%。它在2002年底被剔除出成份股，不过，在随后的1年它又反弹了94%。
