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It depends on your ETF. Some have synthetic exposure to the index sold by a sponsor (ie someone give them exactly the performance of the index) but this has a cost (a constant / deterministic drag on the NAV of your ETF which doesn't appear in your tracking error). Futures on the other hand have basis, are sensitive to changes in implied dividends and ...


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The SPX's price is a composite of all of its constituents' prices based upon the S&P 500's weightings. Dividends are accounted for by the index but not in the price, and nothing about their subsequent investment is assumed, nor does anyone who publishes the price portion report the dividend portion as far as I've seen, but there is an S&P 500 ...


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Have you considered using 'incremental' singular value decomposition to calculate your component scores? Each future market move (or increment) forces a recalculation of component scores given the new data. This paper outlines an algorithm to do this Fast Low-Rank Modifications of the Think Singular Value Decomposition This paper develops an identity ...


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The futures price goes to the spot price as time to maturity declines, not vice-versa. The difference is referred to as basis. That's not really what roll yield is about though. The roll yield aspect is that as the contracts the ETF holds are expiring, they are close to the spot price. However, the next futures contract's price is higher than the price of ...


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Hedginge/Adjusting would be with the Beta of the inverse ETF. Usually, Long/Short strategy would involve an ETF and a stock in which you would Beta adjust the ETF position. You can use an ETF, I don't see anything wrong with this as long as their is some level of correlation between the Short and the Long. You want them to mean revert in a determined time ...


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Your approach is a good one. But before you venture too far, you should be aware of issues related to zero eigenvalues (positive semi-definiteness) of your correlation matrix $\mathbf{R}$ or covariance matrix $\mathbf{C}$. Let $p$ be the number of assets, and $t$ the number of, for example, day or bars. You probably have many more times in the time ...


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The day's net change is typically displayed as the $Close$ to $Close$ difference. So today's close of $\$107.69$, yesterday's close is $\$105.00$. So the net change, $\$107.69 - \$105.00 = \$2.69$. If you were to calculate $Open$ to $Close$, you'd get what you expect, $\$0.74$.



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