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6
votes
2answers
90 views

How to find funds with long history to use in backtest?

Is there a way (website/code) to find funds/etfs for a given asset class and how much data history is available (yahoo finance or other) ? It could be as simple as a list of funds by asset class and ...
1
vote
1answer
25 views

Difference between CRSP equal weighted and composite index

I am a bit confused about the overall CRSP total market return index and the equal weighted index. I know that the value weighted index places a weight on each firm by their respective market values ...
3
votes
2answers
74 views

How can I calculate the fair value of an ETF using the current price of each of its holdings?

Say, for example, I'm looking at the Vanguard Information Technology ETF (VGT) If I have the current market price for each of its holdings, and related information ...
1
vote
0answers
18 views

How can factor certificates achieve constant leverage?

How does a bank which offers a factor certificate with unlimited maturity, e.g. a certificate which promises the holder to change in value in a constant proportion with respect to a change in the ...
0
votes
0answers
18 views

Reading Recommendations on ETF's / “Factor certificates”

I'm looking for some good papers on exchange traded funds, especially on so called factor certificates (e.g. 2x underlying long, so when the underlying moves 1% the certificate moves by 2%). My ...
1
vote
0answers
27 views

Fama-French Factors for ETFs and MFs

Is there a public source or a paid service that provides FF3 (or FF4 = "Carhart") factor loadings for US traded ETFs and Mutual Funds? Something that is regularly updated and that provides comparable ...
3
votes
3answers
81 views

Are smart beta and risk parity the same?

So from what I have been reading online, smart beta ETFs aim to use a different type of weighting (instead of by market cap as traditional ETFs like SPY do to track an index) to achieve positive ...
1
vote
0answers
41 views

How are ETF fees deducted? What happens if you short an ETF?

When I buy an ETF, the ETF issuer wants a certain management fee (expense ratio). How is this usually paid? I've read that this might be deducted from dividends - is this the case? How does it work ...
7
votes
3answers
367 views

Which ETFs should I use to test my portfolio selection algorithm?

I have a portfolio selection algorithm I want to backtest, but I don't want to limit the inputs at any point in time. For example, I don't want to exclude the Japanese stock market, just because it ...
3
votes
1answer
32 views

Subscribe to iNav changes via ETF_INAV_VALUE key

I'm using the Bloomberg API to subscribe to market data changes. While I manage to retrieve fields such as OPT_GAMMA_MID_RT or ...
0
votes
1answer
78 views

Leveraged ETF calculation - dropping below zero?

I'm running some simulations with a leveraged ETF to investigate that notorious leveraged-ETF decay effect I keep hearing about. When I put in a typical Black-Scholes lognormal model of returns on the ...
0
votes
2answers
134 views

Stock Symbols: ETFs vs Real Companies

I built a trading strategy that is based on a pool of all the symbols available on NYSE, Nasdaq, and AMEX. I don't like the idea of trading symbols that are ETFs. For example, the symbol TVIX, which ...
0
votes
0answers
17 views

Single better parameter to explain ETF's comparison graph: Sharpe or IR?

For single comparison graph depicting price over time: SPY VS US some Sector ETF VS Momentum ETF on that sector, What would be the best single param to put? Sharpe ratio of each Information ratio ...
1
vote
2answers
452 views

Optimizing Principal Component factor weightings over time

I was given the returns of a cross-asset class portfolio of ETFs and I conducted PCA to obtain factors on dates from T-n, T-3, T-2,..., T. What I would like to do is decompose the market moves from T+...
6
votes
2answers
6k views

Difference between S&P 500 index and S&P 500 Total Return index?

There's the standard S&P 500 index (SPX) and the rarer used S&P 500 Total Return index (SPTR). If you compare graphs, you'll find that the latter grows faster. Supposedly, SPTR assumes ...
2
votes
1answer
58 views

Sharpe ratio with leveraged ETFs

There has been a discussion about how leverage affects Sharpe Ratios, but not in the context of leveraged ETFs (such as 2x or 3x). I'm just wondering how leveraged ETFs, if at all, change the ...
5
votes
2answers
644 views

Why the difference between SPY and ^GSPC?

Look at SPY vs ^GSPC -- the difference seems bigger than can be explained by the ETF fees. Is it only because of SPY re-invests dividends quarterly or something else? Since ...
0
votes
0answers
36 views

Return, STD and CAPM based on Continuously compound return on daily prices

Mission: For some ETF, Get 1, 3, 5 years: Return STD CAPM parameters (alpha, beta) Reference if I calculated correctly: Yahoo finance performance & risk data Raw data: Daily adj. close ...
4
votes
2answers
254 views

How to trade leveraged ETFs

Leveraged ETFs (LETFs) are known to lose value over time due to the "volatility decay" effect. What're the most common strategies for trading LETFs to take advantage of this volatility effect? Also, ...
0
votes
1answer
28 views

How to calculate 5 years return & STD for ETF?

I want to calculate by-myself 5 year return & STD for SPY ETF. What I did: Downloaded to Excel from yahoo finance historical data for the ETF (daily Adj. Close) from ...
1
vote
1answer
65 views

Where can I find Value at Risk & Expected shortfall for ETF's?

I'm struggling to find VaR & ES data for ETF's on websites such yahoo finance & Morningstar. Where can I find this data? Thanks,
1
vote
0answers
43 views

Motivation for hedging volatility using VIX ETNs

i wondered what the motivation for professional investors could be to engage in VIX ETNs. Would they even think about trading this kind of product? (they normally should have access to VIX options, ...
3
votes
3answers
135 views

Why is the value of the VXX ETN always above short-term VIX futures prices?

If the VXX is simply a constant maturity weighted average of the 1st and 2nd month VIX futures prices, then why is its market price always larger than the maximum of the two? (the larger of the two is ...
1
vote
0answers
81 views

How to hedge an ETF position with a basket of its underlying components

In practice, when one takes on a large equity ETF position, I would imagine it's not necessarily "optimal" to hedge using a basket of all the constituents even though that should be a perfect hedge. ...
2
votes
1answer
131 views

Online database of ETF & Mutual Fund Fees?

Is there any online data source of ETF and/or mutual fund fees? Free or paid is fine, although hopefully there's something out there cheaper than Bloomberg
0
votes
1answer
33 views

Modeling EOD ETFs price returns together or individually?

Let's say you want to model the next day price returns for a set of US equities large cap ETFs (a relatively homogenous group). Would you model all the ETFs as a single, 15 years data set, or each ETF ...
2
votes
2answers
51 views

Leverage on ETF the same effect as on portfolio?

While we know that leveraged ETFs do decline in value to zero given infinity, can we also say the same with our portfolio value if we use leverage in our trading activity and seeing our portfolio ...
5
votes
1answer
335 views

Getting ETF data from google finance

I hope this is on-topic. I want to set-up a set of investment rules and back-test it on a mix of asset-classes. Thus I thought that using ETFs for the back-test would be a good idea (time series could ...
6
votes
2answers
86 views

How to properly assess the costs of replicating an index via futures contracts?

I would like to validate this sentence, coming from a WSJ article: The cost of holding a Eurostoxx 50 future, for example, has climbed from an average of 0.07% of the contract value since 1998, ...
0
votes
2answers
51 views

Underlying mechanics of paired class shares ETFs

I came across an interesting pair of VIX ETPs, VXUP and VXDN. This new product referred to as "paired class shares" ETFs are quite different from traditional ETPs. Some interesting highlights from the ...
3
votes
1answer
82 views

ETNs as bank funding

I've just read the article in the link below and would like to know if someone can elaborate on a statement. I have added the whole paragraph, but highlighted the part about the use of ETNs as cheap ...
2
votes
0answers
73 views

Why do leveraged and inverse leveraged WTI ETNs have this price relationship?

UWTI: 3x leveraged exposure to WTI DWTI: 3x leveraged inverse exposure to WTI The inverse relationship between these two symbols seems to trend toward the origin on a log-log plot (using log base 2)....
2
votes
2answers
160 views

What is the legal difference between ETFs, ETNs and ETCs

I would like to understand how exchange traded funds (ETFs) can be classified in legal terms. According to Vanguard, there are five ETF structures Open-End Funds Unit Investments Trusts Grantor ...
0
votes
0answers
31 views

Source for Normalized File of ETF Holdings [duplicate]

Does anyone know of a source for a data feed containing ETF Holdings for most ETF firms such as Ishares, Proshares, State Street? I know Bloomberg has this info, but I'm looking for a vendor that can ...
3
votes
1answer
146 views

Free source of historical ETF units outstanding data?

I am looking for a free source of historical daily data of the number of outstanding units of ETFs and ETNs. On a Bloomberg, this would be "VXX.SO Index HP" or something like that. Does anyone know ...
1
vote
1answer
74 views

Why is the volume of a product like SHV so high?

The ETF SHV has not moved much in the last five years. How is it that its volume is as high as 583609?
0
votes
1answer
263 views

News on ETF sector performance

I am interested to find historical news (if any) associated with intraday volatility burst in a particular ETFs like ishares IYF (Financials). So say that between 12:00 - 12:10pm, the ETF IYF's stock ...
1
vote
0answers
144 views

How to hedge a long stock with the corresponding volatility ETF

Let us say I want to establish a market neutral position. So if I buy 50 shares of stock (SPY) and I want to delta hedge, I sell an ATM covered call. So that brings the position delta to 0. Now, I ...
2
votes
1answer
133 views

Do people hedge with leveraged ETFs intraday? How?

Seems that the answer to the first part should be yes, but haven't seen any references or examples. E.g. suppose I want to hedge XLF position with FAZ. Do people use close to current returns, or just ...
2
votes
1answer
319 views

ETFs have lower tracking error than Futures?

I used the daily returns of SPX Index, SPY US Equity, and SPA Index. I then calculate their standard deviation as hedging instruments with respect to SPX Index, i.e., (spx_ret - spy_ret) or (spx_ret - ...
2
votes
1answer
134 views

Replicating the short part of a long-short trade using inverse ETFs

I devised a pair trading strategy going long XXX and short B*YYY. B is the quantity of shares of YYY I need to short. The problem is I can’t go short on YYY, but there is an inverse ETF for YYY ...
6
votes
4answers
962 views

How to cluster ETFs to reduce cardinality for portfolio selection

I'm looking to run portfolio optimizations using various optimization goals - e.g. minimum variance, max diversification etc. My challenge is if I want to do this on ETF's which ones do I pick to run ...
-1
votes
1answer
89 views

Market Discrepancy in ETFs [closed]

Today Yahoo, Google, CNBC, etc. are all reporting an open for DDM of \$106.95, a close of \$107.69 and a delta on the day of \$2.69. But the arithmetic difference between the open and the close is ...
2
votes
0answers
253 views

What is the market impact of OTC trading ETFs?

I read an interesting statement here: "If an ETF’s market price tracks its NAV well, it is likely to have a small market impact. On the other hand, if the market price is more volatile than ...
2
votes
2answers
767 views

ETF Negative Roll Yield

I have a quick question about the ETF Roll Yield. As we all know commodity ETF’s have struggled with contango (spot price is below futures prices on the term structure). Look at an ETF like USO which ...
5
votes
1answer
334 views

Examples of investable factors via factor funds/ETFs

In the draft chapter about hedge funds of his forthcoming book Andrew Ang postulates the dawn of new factor funds (p. 35 ff.), i.e. funds that directly target factors like volatility, value-growth, ...
2
votes
3answers
287 views

Leveraged and inverse leveraged ETFs - what is the exact defintion?

I just had a quick look at the daily returns for a few pairs of leveraged ETFs - it appears that the percent daily returns do not match perfectly. For instance, looking at FAS/FAZ, the returns for the ...
6
votes
3answers
2k views

How to calculate compound returns of leveraged ETFs?

Forewarning: this is a complete newbie question :-) I am starting to learn about ETFs by trying to do the numbers. When learning about the compounding effect in leveraged ETFs, I wanted to simulate ...
15
votes
3answers
3k views

How to cluster stocks and construct an affinity matrix?

My goal is to find clusters of stocks. The "affinity" matrix will define the "closeness" of points. This article gives a bit more background. The ultimate purpose is to investigate the "cohesion" ...
3
votes
1answer
239 views

When does an ETF take out expenses?

When does an Exchange Traded Fund (ETF) take out expenses (for example 0,3% on a yearly basis)? Does it happen daily, or once yearly or according to some other scheme? Where does it take them from?