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8

Interesting question. Unfortunately for you, the answer is no, it cannot be done. The principal difference between a basket of options and an option on the basket (or index) is correlation risk. In fact, there is a systematic difference between the implied volatility of the basket and the (properly weighted) sum of implied volatilities on the components. ...


7

It is helpful to think of the yield $r_b$ of a risky bond (say a corporate) in your country as the yield of the risk-free government bond $r_f$ plus a "spread" $r_s$ ($r_b = r_f + r_s$). This extra spread is the extra yield that the market needs to be paid to purchase the corporate bond instead of buying an equivalent amount of risk-less bonds. In other ...


6

^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 ...


5

The delta factor you seek is the spot to futures price ratio without having to use all those parameters. Now to answer your actual question: Since you are getting futures data, you presumably have the tickers. You can infer the expiration date from the ticker. Expiration dates are always on the third Friday of the month, and the ticker contains four ...


5

The volume reported for the DJIA is the sum of the volumes (in shares) of the individual components, including trades executed on their respective primary markets only. For the 23rd of August, it looks like: Ticker Exchange Shares Traded MMM New York 496,789 AA New York 2,400,280 AXP New York 613,379 T New York ...


5

S&P finally did respond to our query with a 100 page document. The part relevant to this question follow: Select Sector Index Calculations With the exception of the weighting constraints described above, each Select Sector Index is calculated using the same methodology utilized by S&P in calculating the S&P 500. In particular: ...


4

Options on almost all Korean equities today present flat implied volatility, as well as options on some Japanese equities, especially in 60-90 days maturity. Here how the smile looks for T&D Holdings (ISIN:JP3539220008):


4

http://engineering-returns.com/2011/02/07/test-your-trading-strategies-survivorship-free/ Frank


4

The first principal component of a large covariance matrix is extremely expensive to replicate in a real portfolio. While it is true principal components provide true (ex post) orthogonal factors, this is not necessarily relevant to the business of risk management. The market index is what most investors are benchmarked by, and is furthermore often ...


4

a) because it does not matter how you weigh each constituents as long as the methodology is publicly accessible and as long as it more or less reflects the original intent. That is why there are market cap weighted indexes but also why there are indexes that apply different weighting methodologies. b) because PCA is computationally way more expensive. Why ...


3

Here couple ETFs that may satisfy what you are looking for: http://www.quant-shares.com/etf-list/ http://www.etc.db.com/GBR/ENG/Institutional/Downloads/ISIN/Factsheets/GB00B4N0QN94 http://guggenheiminvestments.com/products/etf/wmcr http://etfdb.com/type/investment-style/high-beta/ Those include ETFs with a momentum approach, mean-reversion approach, ...


3

I think the simple advice here is to keep the indexes unchanged from the previous closing day (you basically assume unchanged prices). A bad idea is to compute essentially a "new" index in that you drop out the index which does not trade and recalculate the denominator. It will greatly skew the results, bad thing to do. A better idea would be not only ...


3

Find a friend with a Bloomberg terminal. If you are student check at your university, they might have access to different sources.


3

Stoxxe would be the benchmark for European stocks in Eur Different. Data providers are using different symbols. Sx5e biggest 50 European Eur stocks Sx5p biggest 50 pan European stocks Sxxp biggest 60@ pan euro stocks - 200 large cap 200 mid cap and 200 small caps Sxxe would be all Eur stocks put of the sxxp - around 380 names


2

Is it possible to replicate the option of a custom index? Yes and you can find OTC market-makers who will make a price. They use portfolio replication to mimic the payoff of the option with a position in the underlying (Black-Scholes, '73). Even though the underlying custom index is not traded it can be perfectly constructed via its traded constituents. So ...


2

You first need to understand how the index values are computed. Is the index market cap weighted, equally weighted,...depending on that you pick a sub set that replicates the properties of the index by weighting the following properties (not an exhaustive list but I hope a starting point): large vs small market cap names high vs low beta names high vs low ...


2

CBOE has something with limited capacity. Yahoo Finance also gives the current option chain. But historical option data is not free. The most affordable I saw is here. I don't know about its validity but their structure seems good and almost clean. More importantly, data seems reliable. p.s. I am not sure if providing the paid data link is within T&C ...


2

You need to read up on how the FTSE is calculated. See this link: http://www.ftse.com/Indices/UK_Indices/Downloads/uk_calculation.pdf. It involves the market value of companies, not simply a weighted price average. There is a detailed example in the document I linked, which happens to be the very first Google result for "ftse index calculation".


2

All the Fama-French data is downloadable here: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html and in particular, daily RMRF, SMB and HML data can be downloaded here: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/ftp/F-F_Research_Data_Factors_daily.zip


2

You can't really combine the assets' log returns. You should calculate percentage returns for the three assets. Then at each time step, the portfolio's total return is: $r(i) = 0.5 \times \text{asset1_return}(i) + 0.25 \times \text{asset2_return}(i) + 0.25 \times \text{asset3_return}(i)$ Once you've calculated the time series of the portfolio's returns, ...


2

Some of the issues with this sort of request is: a) Today's S&P 500 components are not the same from 1 Jul 2013. By using today's components you are introducing pre-inclusion/survivorship bias. Are you going to be able to find data on the delisted stocks? eg. Since 1 Jul 2013, Sprint Corporation, BMC Software, NYSE Euronext, Molex, Life Technologies, ...


2

I faced the same issue some years ago and I solved by implementing the R script reported here; now, with new Yahoo disclaimer rules, it seems to be broken, but, anyway you should be able to replicate the data mining process using that script together with this. If you're pretty confident with R, you should be able to do that. Alternatively, you can visit ...


2

Both R and Python can do this very nicely. For Python you would need the pandas package and its dependencies. pandas has a lot of basic statistics, but for more advanced statistics like it looks like you want to do, you can use the statsmodels package, which can work directly with pandas data types. It can also download the csv files directly off the ...


2

I'm not sure if you are looking for the components only or if you want more data, like the weights in the index. Unfortunately, unlike most other data on the web, it's hard to get any good financial data for free. The only easy way is to pay for accessing it through a financial data provider such as Bloomberg (with MEMB function when you select an index). ...


1

@emcor I would suggest downloading the Stock's daily Prices & then downloading Shares Outstanding or average shares outstanding. Then find the product of the two to arrive at market caps. I don't know how reliable quandl's data is or if they have shares outstanding data, but if they do this can probably be done using R code since you will be downloading ...


1

I am not familiar with indexes for private equity or venture capital. For hedge funds, there are various indexes, with the best-regarded ones provided by HFR. They include an investable index. I happen to believe these indexes, even the investable one, are of very limited use at best. Many hedge funds are closed, meaning they are not taking in new money. ...


1

I don't do TRI, so I may be wide of the mark, but: Euribor is not an instrument. It originated as a fixing to reflect the cost of borrowing for a term (here 3m) in the interbank market. But it is not an instrument, so there is no return to reinvest, nor an instrument to reinvest in. Instruments that do depend on 3m Euribor are FRAs, Futures, IRS, and then ...


1

I think you're better off identifying the strategy they are using and try to find an index that matches. However the Dollar Index shows dollar performance with respect to a basket of 6 currencies - perhaps of some use USD is your base currency.


1

Usually the index provider has such historical data on its website. For FTSE see here


1

The best approximation of EUR/USD crossrate is probably Deutsche Mark - USD. However you need to be careful for the period around the creation of the Euro: due to the exchange rate mechanism European currency rates aren't really fully market-based. I assume you are aware of the Bretton woods system so won't talk about caveats in using currency data too far ...



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