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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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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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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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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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