Questions tagged [etf]

An Exchange Traded Fund (ETF) is a fund that is listed and can thus be traded on an exchange like a stock.

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2 answers
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ETF Market Making - Locking profits via hedging

I am interested in deeply understanding the way ETF market makers operate to profit. I already know that market makers profit from buying at the bid price and selling at the ask price, and I am also ...
Jose Maria Gutierrez's user avatar
19 votes
5 answers
8k 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" ...
Navi's user avatar
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17 votes
2 answers
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Does the rise in passive investing make the markets less efficient?

The general idea of efficiency in financial markets is that information is being processed almost instantaneously because active investors arbitrage away any arising price discrepancies. On the other ...
vonjd's user avatar
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8 votes
3 answers
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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 ...
Zach's user avatar
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6 votes
2 answers
1k 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, ...
T. Reuter's user avatar
5 votes
1 answer
457 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?
Make Mark's user avatar
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4 votes
1 answer
378 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 ...
Ed S.'s user avatar
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3 votes
2 answers
1k 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 ...
jessica's user avatar
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2 votes
1 answer
182 views

How to calculate the net return of each "partner" at different times?

Let's suppose I am starting to manage some money. The money is invested in ETFs, particular de VOO. Let's suppose I have partner one with 1,000 USD, and with this, I can buy 10 shares of VOO at 100 ...
marz's user avatar
  • 131
2 votes
2 answers
270 views

Interaction of SPY etf with futures?

In the discussion to this question JoshK mentioned that the SPY etf has special interactions with futures contracts. I am curious what this interaction might be in particular?
Kagaratsch's user avatar