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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Deriving the approximation for leveraged ETF returns?
From this article (and I've seen the same approximation in multiple places):
The formula for the long term compound annual growth rate of a
leveraged ETF cannot be written in terms of just the ...
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calculating net exposure to an index
I would like to invest in a portfolio of two inversely correlated ETFs, with funds allocated at a ratio. The two funds track the performance of the same underlying index: the share price of NVDA (...
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TRS and leveraged etf
To get the leveraged return of an index daily, leveraged ETF uses TRS to get that leveraged.
Yet I don't really understand how it is used and who is the counterparty of that TRS.
So, first you have ...
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Future vol is bigger than realized vol
One strategy that I've seen on Leveraged ETF is shorting both the BULL and BEAR leveraged ETF to exploit the decay when volatility is high.
Though I am wondering how an entry signal is triggered for ...
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Market Making in ETF, how the hedging is typically done
I was wondering how Market Makers in ETF hedge themselves. I believe that they don't buy the underlying basket because some of the stocks could be extremely illiquid. So my guess is that they buy CALL/...
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Leveraged ETF construction
It says that leveraged ETF are constructed using options/swaps, but I didn't see any example of how you can replicated a leveraged index using options and swaps.
For example taking the S&P500 ...
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How do I calculate the implied dividend yield and/or the forward rate for an equity ETF?
I am interested in building an implied volatility surface for a given ETF given a set of option prices for several combinations of (call/put,strike,expiry). I am interested in different ways to arrive ...
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Why do unleveraged VIX ETPs have large beta relative to VX futures, with much faster decay?
I hope the title explains it fairly adequately.
To add a little more detail, it's my understanding that VIX ETPs such as VXX and VIXY hold VX Futures as their underlying assets. I believe that this is ...
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How do currency hedged ETFs work?
I am trying to understand how currency hedged ETF returns work with a simple example, namely, that where a Swiss investor can choose between buying a S&P-500 index fund which either a) hedges the ...
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Portfolio Optimization with ETFs and Futures
I am looking to perform portfolio optimization with a single ETF (or two) and a VIX futures (with the possibility of adding an additional hedging instrument). Here are some features of my portfolio ...
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Getting ETF components (underlying stocks)
Using EDGAR's API interface, what is the best way to get the list of an ETFs underlying stock positions (in this case, just the CIKs)? I can pull all of the CIKs from EDGAR with no issue. Given that ...
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LQD and IG cash spreads
Can someone please tell me the relationship between LQD and IG cash spreads. what's the movement (widen/tighten) of the spreads can tell me about the market, supply and demand
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How to understand Short Gamma and Long Volatility for Leveraged ETFs?
In the book Leveraged Exchange-Traded Funds: Price Dynamics and Options Valuation, it describes a static delta-hedged long volatility position by simultaneously shorting regular/inverse leveraged ETFs ...
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ETF Market Making Hedging
Suppose I am a market maker making a market on an S&P ETF. Suppose that I have calculated a fair ETF price of $395. My market therefore is 394.90 (bid) and 395.1 (ask). After my bid is posted I ...
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How do you define the NAV of a leveraged ETF?
I understand the NAV to be the sum of all assets minus the liabilities divided by the total number of shares.
Would the assets include the financial derivatives held by the ETF? And if so, how is this ...
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What ETFs and mutual funds track the Carhart 4 factors best? I.e. how to replicate these factors cheaply?
I am looking for a portfolio of ETFs and mutual funds that tracks market, size, value and momentum factors.
One ETF/mutual fund per factor. So say that I want an ETF that tracks the value factor (let'...
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Why do better-performing index funds not get a higher weight? [closed]
Most financial advisors recommend to inexperienced investors to put a large part of their investment in broad index funds (e.g. SPY). They will usually reiterate that most actively managed funds ...
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How SPY ETF really works? [closed]
So this is very confusing. If you read online they say that:
"SPY is an exchange-traded fund (ETF) that tracks the Standard &
Poor's 500"
Now the word "track" is super ...
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How VIX ETF Rolls to follow the SP 500 VIX Index
I was reading the Methodology that S&P uses in order to construct VIX index VIX S&P Methodology If I understood it right, the VIX Short-Term Futures Index works as follows:
Notice that both ...
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ETF structure's effect on premium to NAV
The GBTC (Grayscale Bitcoin) ETF is known for historically having a premium to net asset value (NAV). This led crypto funds to buy bitcoin, deposit their bitcoin into the trust to obtain GBTC, then ...
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What is the regulation mandated minimum reporting of calculations and holdings for ETFs?
I see various levels of detail on different ETF sites. Pouring through the regs is not trivial. If we keep to US ETFs, is there somewhere to find the mandated reporting requirements? Is there any ...
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Estimating Intraday Volatility with OHLC Data [duplicate]
I'm trying to estimate intraday volatility for some ETFs, but don't have the intraday data to actually calculate it. I do, however, have historical daily OHLC data for the ETFs. I thought I saw ...
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Why is the long-term return (3+ years) of German index funds lower than that of many developed countries?
As in the topic. Would for example lower volatility justify lower return, (if the German funds are less volatile in the first place?).
Perhaps it's due to the German https://en.wikipedia.org/wiki/...
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Calculate the duration of group of Bond ETFs
Is it correct to get the weighted average of a bunch of bond ETFs to get the duration? Is it theoretical correct to say that.
I have 6M AGG (duration 8.39), 30M BND (duration 8.7), 60M SHY (duration 1....
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Why is the forward price of an ETF that holds futures equal to the current price of the ETF?
I've seen some ETFs that only hold futures (and some cash) whose options are being priced with a forward price equal to the current ETF price, even for 1 year out options (at least according to ...
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Different methodologies of building indices
Say have a basket of coupon bonds $B_i$ with $i \in \{1, ..., n\}$. Those bonds have different characteristics one from another. For example they differ in maturity, face value and coupon outstanding. ...
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What causes the gap between ETF prices and intraday NAVs?
I am doing a little study on the relationship between ETF prices and NAVs. Using intraday tick data, I take the mid prices of an ETF and compare them to the NAVs that I compute from the mid prices of ...
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Black-Litterman Weights for Intersecting Asset Classes
I'm trying to implement Black-Litterman for an arbitrary selection of assets some of which might be subsets or intersect with others.
For example, one portfolio might be
US Equities (VTI)
A global ...
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ETF NAV Premium vs. market ETF premium interpretation regression output
this is my first post in this forum, so if I'm doing any kind of mistake please let me know.
My situation is as follows:
I'm currently writing my Thesis and I'm looking into the discrepancies of ETF ...
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Overlap between a list of stocks and ETF
I have a list of 50 stock symbols. I am wondering if there is any tool to find out the best overlap between those stock symbols with 1500+ ETFs available in the US. The idea is to buy a fund instead ...
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Daily NAV and daily number of transactions of ETFs
Does anyone know how can I get the historical, daily NAV of a specific ETF, for example SPD or IWM?
and how can I get the number of daily transaction of a specific ETF? Yahoo finance has daily opening,...
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Do passive ETF fund managers care about profolio metric such sharpe ratios and sortino ratio?
Do passive ETF fund managers care about portfolio metrics such as Sharpe ratio and Sortino ratio?
I understand hedge fund managers care about these risk metrics for their investors. What about the ...
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How do ETFs like SPY/VOO handle Rebalance events?
When TSLA got added to the SP 500 Index, SPY, VOO, and others must-have gone ahead and bought the stock.
My question is, about the process they use? Do they outsource to Banks? Do they buy it slowly ...
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ETF with international constituents
I was just wondering how the fair price of ETF with international holdings are accurately priced. Say we have an ETF that trades on domestic exchange but the holdings are international and the market ...
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ETF bid/ask spread [duplicate]
I was just wondering if someone could explain to me how an ETF market maker earns profit through the spread they collect while hedging the positions to be non-directional.
For example I read somewhere ...
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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 ...
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Does inflows to ETF affect equity prices?
I’m wondering if significant asset inflows to an ETF affect its underlying stocks.
For instance, ARK disruptive innovation ETF have seen significant inflows in the past 3 months, around $7 billion.
...
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Fixed Income Index, ETF Replication
Can anyone please explain how fixed income index are actually replicated (in an ETF) by asset managers ? I looked online, everyone says they do sampling (stratified sampling) which makes sense but I ...
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What does the fee of leveraged ETF include?
I am really confused by how were fees of leveraged etf like SPUU calculated.
0.64% is quite costly for a index based ETF. I wonder is the cost a pure cost or does it include the cost of interest?
The ...
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ETF Arbitrage and Tracking: Impacts of a debt crisis
I am interested in the impacts of a debt crisis on the tracking ability of an ETF.
In particular I have read that the market makers for ETFs often take on large short-term loans in order to create or ...
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Why are Index/ETF put option volumes generally higher than the call option volumes?
It seems like put options on Index/ETFs generally have 50% more volume than call options, in terms of notionals. We don't see the same put/call volume ratios in single stocks.
Why is that the case?
I ...
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How do leveraged ETFs achieve their investment objectives?
I am interested in the ways how those leveraged ETFs, e.g. TQQQ, achieve their leveraged investment objective.
Questions are around,
Do they use stock options of the underlying asset primarily to ...
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Where bonds are marked v.s.where bonds are traded
We can get bond live prices from various venues, for example, BBG's CBBT prices. Usually you would get bid/ask prices.
Are these prices prices that people called bonds' marked prices ?
are they ...
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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 ...
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Is there any evidence that passive investing has real implications for asset prices?
There is this huge growth in passive investing. If investors are passive, this shouldn't have any implications for the cross-section/time-series of asset prices, i.e. no real economic effects.
Any ...
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Why would this price data have lots of spikes above the trend line?
I am completely new to quant finance, so I apologise if this is a ridiculous question. Here is a picture of a snippet of some price data from the security 'NYSEARCA: SPY' (which is SPDR S&P 500 ...
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Market Capitalisation Weights for Black-Litterman portfolio
I am implementing the Black Litterman model for a few assets, in particular I am using five ETF:
EFA (EAFE stock index: developed markets outside US and Canada)
EEM (stocks from Emerging Markets) ...
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Where can one get data concerning ETF holdings and changes in their holdings?
I am trying to write my masters thesis in finance and my topic will be ETF related. I wanted to ask whether it is possible to find data for an empirical analysis for my thesis. I have been searching ...
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Overnight and intraday returns of stock index and ETF seem inconsistent
Figure 2 of the 2019 paper "Celebrating Three Decades of Worldwide Stock Market Manipulation" shows that 29 Jan 1993 to 31 Oct 2019, overnight returns (from close to open) of SPY were 1232% while ...
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How to check if a symbol is a Common Stock (Equity)?
I had read this Where to download list of all common stocks traded on NYSE, NASDAQ and AMEX?.
I know the ETF field of ...
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