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8

^GSPC is a price index, not a total return index, so it does not include dividends. SPY is an ETF that holds the underlying stocks. When it receives a dividend it keeps it in a cash account (which of course affects the NAV and market value of SPY shares) until the end of the quarter. At that time (on the 3d friday of Mar Jun Sep or Dec) it will pay out the ...


4

Probably missing something here but if $X$ has $E(X) = \mu$ and $variance(X) = \sigma^2$ then $2X$ has $E(2X) = 2 \mu, variance(2X) = 4\sigma^2$. Thus the sharp ratio defined as $\frac{\mu}{\sigma}$ stays the same for the 2x leveraged and the regular index.


4

This is a very good question. It can be argued that risk parity is one example of a smart beta strategy. Yet it is important to understand that both are coming from two different directions: risk parity is basically a form of risk management (in the sense of risk-adjustment) because its basic approach lies in diversification - like the alternative methods ...


3

There are plenty of sites you can get this information from. etfdb.com and etf.com are two of the bigger ones. See this for an example: http://etfdb.com/etfdb-category/europe-equities/ http://etfdb.com/tool/etf-stock-exposure-tool/


3

Quite a good article can be found here: http://seekingalpha.com/article/3140956-investing-in-leveraged-etfs-theory-and-practice Just selling a pair of leveraged ETFs to harvest the "volatility decay" is comparable to a short straddle... highly skewed and therefore quite dangerous (from the article): There are no free lunches in the market. The apparent ...


3

I don't have much experience in the matter, but I've been doing some related literature research recently and I think these links can be helpful: A rather recent study from CME A (possible a bit biased) report by BlackRock A report by Lyxor (asset manager affialiated to Societe Generale)


2

Basically the Total Return Index assumes reinvestments compared to "regular" indices. "A total return index is an index that measures the performance of a group of components by assuming that all cash distributions are reinvested, in addition to tracking the components' price movements.1 While it is common to refer to equity based indices, there ...


2

The price of VXX ETF should not be the price of the mentioned basket of VIX futures. It is the change in price of VXX (the return) what should be equivalent to the change of price of the futures basket with 1 month average maturity. That is because the VXX ETF works as an open end fund, so its price is just the price of a share of that fund, which has an ...


2

Better to compute it by yourself either using Historical simmulation, Monte Carlo, or simple parametric method such as variance-covariance. Alternatively subscribe toBloomberg Risk Analytics, populate the ISIN(s) for your ETF(s) and get the relevant metrics.


2

I found what I was looking for at Nasdaq.com. This information wasn't available months ago when I initially built my trading strategy. Basically Nasdaq.com provides a CSV file of all symbols that are ETFs. And its free. http://www.nasdaq.com/investing/etfs/etf-finder-results.aspx?download=Yes


1

Smart Beta refers a trend in making well known quantitative strategies more accessible to investors. Simple examples for equities include Value, Momentum, Quality, and Low Volatility. Fixed income might include Carry and Credit. Risk parity is a strategy that incorporates several sources of return that may include some of the smart beta strategies mentioned ...


1

They are not the same as in they are equal, but risk parity can be considered a smart beta strategy. Smart beta is this opaque term that covers anything that can be put into a factor, regressed against returns and adjusted for, but also a host of other non-factor strategies that aim to create a mechanical, non-stock index weighting scheme that is ...


1

ETF_INAV_VALUE is not a real time field so it won't work (HELP HELP may have a workaround on this). Alternatively, you can query the EXCHANGE_TRADED_FUNDS_NAV_TKR_RT field which will give you a ticker for the NAV. Then subscribing to the last price on that ticker should give you what you want (note that I haven't tried).


1

A 3x leveraged fund that experiences a drop of more than 33% will lose all its money and close down when the value hits 0. Most funds, however, set a lower loss limit, usually around 5%, 10% or 20%, and will try to exit the market if those values are triggered. Of course, it is not that easy to exit efficiently in a day where the market drops that much. ...


1

I believe a few things need to be said here. First, returns are usually calculated (END_VALUE-BEGIN_VALUE)/BEGIN_VALE. There are other ways, but this is what is usually used, and much arguments can be had on what "value" actual is. Second, data frequency should be aligned so daily standard deviation should be aligned to daily expected returns. Third, the ...


1

Model them individualy and as a group. When you model them as a group you are essentially building a stock index that you can compare the performance of individual stocks to and can then calculate a subgroup beta for each stock. You can also calculate a beta coefficient for the group as a whole to the wider market. Since I assume that you are modeling them ...


1

MorningStar or Lipper will be your best bets if you want everything in a nice machine readable format. factset/etf.com or etfdb are great sources for etf data. If you want to go through the web, you can try etf.com or etfdb.com for the ETFs and morningstar.com for the mutual funds.


1

The current contract value is roughly 30k euros. The bidask spread is 1 tick, which equals 10 euros. Lets say you buy the contract and roll 3 times a year and then liquidate your position at expiry. You will hence pay 1 full bidask spread + 3 rolls, which if done via spreads with market orders, are equal to 1 tick each, hence you will pay 40 euros on bidasks ...



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