ABSTRACT
The Merill Lynch Capital Market Index (CMI) is a market-value weighted index that tracks the monthly price only, income and total return performance of the combined results achieved by the Merrill Lynch Domestic Master Bond Index, the Merrill Lynch High Yield Master Bond Index and the Wilshire 5000 Stock Index. Constituent bonds and stocks include all investment grade corporate, government and mortgage bonds, for a total of 6,886 bonds, 849 high-yield bonds and 6,927 US-headquartered, actively traded common stocks listed on the New York Stock Exchange (NYSE), American Stock Exchange (AMEX) and Nasdaq that make up the Merrill Lynch Master Bond and Master High Yield indices along with the Wilshire 5000 Equity Index. Actual month-end price only returns, income and total returns, including reinvestment of income and dividends, produced by each of the three indices are combined by weighting the results of each index by its market value at each month-end.
