Questions tagged [etf]
The etf tag has no usage guidance.
101
questions
1
vote
0answers
35 views
Mean-reverting backtest between index and components
I am a beginner with ETF replication: I have to make a code to make the value of my assets go back to the average of the index Eurostoxx 50 with a subset of components. I am not sure how to implement ...
0
votes
0answers
26 views
Where to find the components of an index and how to replicate it by subset selection?
I am interested in replicating the performance of the eurostoxx 50 index using different statistical methods. That's what ETFs do, right? How to replicate an index using subset selection?
I think I ...
0
votes
0answers
25 views
What MIPS (Municipal Inflation Protected Securities) are out there besides the two DFA ones?
DFA has DMREX AND DCARX. Are there others? I'm specially looking for high quality, medium or long duration MIPS but a list of anything would help.
0
votes
0answers
41 views
Can a bond be denominated in another security?
Could a bond be issued that's denominated in securities like ETF shares or stock shares? Of course most people would not want to buy it, but is it possible? I know it's possible to short a security, ...
1
vote
2answers
84 views
How are returns on Bond Funds (or ETFs) calculated?
For example, if we consider the fund "iShares Core U.S. Aggregate Bond ETF (AGG)", I am trying to figure out how the yearly/Monthly returns are being calculated.
I extracted the historical NAV values ...
2
votes
2answers
60 views
Interaction of SPY etf with futures?
In the discussion to this question JoshK mentioned that the SPY etf has special interactions with futures contracts. I am curious what this interaction might be in particular?
2
votes
1answer
34 views
Does Adjusted Closing Price take account the Expense Ratio?
first time posting at Quantitative Finance.
I am trying to use the yfinance python library to load various ETF's data and compared the return.
I understand the adjusted closing price handles the ...
1
vote
2answers
117 views
Why does the coffee price tracking index Dow Jones-UBS Coffee differ so much from the actual coffee price?
I am looking at ETFs that track coffee price indices and I have noticed that there is quite big discrepancy between the ETFs underlying coffee indices (Dow Jones-UBS Coffee is an example) and the ...
3
votes
2answers
79 views
Expense ratio in ETF price
I am examining the relationship between the price of an ETF and the index it is tracking (in this particular example, the Vanguard S&P 500 ETF (VOO) and the S&P 500 index). I can see the ...
0
votes
1answer
118 views
Market Maker ETF Hedging Strategy
Some thoughts about ETF hedging; feel free to leave comments!
Scenario 1:
An investor sells 1M ETF shares to a Market Maker(MM) at bid price. MM has a long position and will need to offload the ...
2
votes
1answer
193 views
ETF Market Making
I understand market makers of ETFs earn a bid-ask spread (buying low from investors and selling high in the market). But how exactly do they determine when's the right time to buy, and at what price?
...
1
vote
2answers
150 views
Market maker's Operating Model
I got a question about the liquidity provider's operating model. Really hope if someone can take a look and share some thoughts!
Scenario:
Say an ETF investor wants to offload a million ETF shares; ...
8
votes
1answer
293 views
Why not just be long VIX and wait for the next volatile period?
Over the past 3 months, VIX has been relatively low. Therefore, there seems to be a "free-lunch" here by just being long VIX, and wait for the next market turmoil (which is happening at the moment ...
1
vote
0answers
41 views
Determinant of index implied vol
I find that unlike individual stocks, whose option trading and implied vol can be traced to the underlying liquidity and short-ability, the determinant of implied vol on index ETFs is quite confusing.
...
2
votes
1answer
50 views
ETF performance/returns
I was going over some ETF return data on yahoo finance and encountered some numbers that did not make sense to me.
The image below shows a ytd return of 17.94% and 13.52%. I checked ETF.com and ETFdb ...
1
vote
0answers
79 views
How to calculate leveraged ETF rebalancing?
So let's say that we have a market-cap weighted ETF (free-floating shares) that tracks an index comprised of stocks A and B. Stock A has a share price of $$10 and there are 100 outstanding shares and ...
1
vote
0answers
55 views
Quantitative model for investing in ETFs [closed]
I want to build a model for asset allocation of my own personal pension in ETFs across four main asset classes: equity, bonds, commodity and property. I am familiar with Python and the basics of risk ...
2
votes
2answers
1k views
Implementing leveraged Risk Parity Portfolio using Direxion 3X ETF
The "common man" version of a leveraged Risk Parity portolio (40% stocks and 60% long term bond, Quarterly Rebalanced) can now be easily implemented using the 3X leveraged ETF's (UPRO=stocks, TMF=...
1
vote
2answers
153 views
ETF Replication
I have a question regarding the ETF replication methods. I know there are two main methods, namely physical and synthetic replications, but I would like to understand how an ETF trader can :
...
1
vote
2answers
210 views
Justification of Levered ETFs?
I have done some basic research on levered ETFs and cant understand them completely
How do you justify the existence of Levered ETFs when margin accounts are available? E.g. If I want 3X SPY returns, ...
2
votes
1answer
3k views
Delta One Trading business [closed]
I don't really know what exactly Delta One desks are doing.
So I was wondering if anyone was kind enough to share any papers, articles, blogs that kind of explains Delta One trading Desks activities ...
1
vote
1answer
239 views
What's the most accurate benchmark index for US corporate and treasury bonds
I'm looking for an index for US corporate bonds and US treasury bonds to benchmark my strategy. I could easily use some ETFs as the benchmark for the recent years but I need data for the time range <...
1
vote
1answer
59 views
QQQ fillings history
I'm trying to find Invesco QQQ Trust fillings for 2001-2018 time period, at least top 10 by year, do you know where I should search?
2
votes
1answer
1k views
Automatically get iShares ETF holdings
I heard that ETF's must publicly report their holdings all the time. I have seen that for example on the iShares website I can download the list of holdings as a csv file:
https://www.ishares.com/us/...
2
votes
0answers
95 views
Forward spot calculation for a dividend paying no-short sell ETF
I am trying to fit an implied volatility curve for options on the SSE 50 etf that has no borrow (no short selling allowed) and pays a single annual dividend. I originally thought I could use the ...
2
votes
0answers
75 views
What does leverage lower than 1 means for ETFs
I've recently noticed in my IB terminal that many ETFs have leverage lower than 1. I understand that some ETFs have leverage higher than 1 for example TQQQ because ...
1
vote
0answers
47 views
Why hasn't SVXY recouped more of its lost value as vol has crashed in the past 2 weeks?
SVXY fell from around \$140 to \$9. It has since bounced back 25% to around \$12.
Vix futures went from the 11-14 range to 35 and now back to 17-18.
SVXY holds a short position in Vix futures with ...
1
vote
0answers
45 views
ETF ranking/rating?
Is it possible to rank/rate ETFs from the standpoint of their riskiness?
I am aware of Morningstar's star-based ratings, but based on my limited research they seem to take into account only returns ...
7
votes
3answers
478 views
How did the SVXY ETF (-1x VIX) survive a 115% jump in VIX?
The SVXY ETF is a "-1x" short exposure to the VIX, rebalanced daily. Very importantly, it is an ETF, and not an ETN. As an ETF, its holdings are fully transparent and posted on the fund sponsor's ...
1
vote
1answer
132 views
Can Black-Litterman-type expected return estimation be used for regional ETFs?
The Black-Litterman approach to return estimation overcomes the problems associated with estimating expected returns via historical averages by determining the equilibrium returns implied by the ...
1
vote
0answers
59 views
pricing relationship between SPY and IVV
SPY and IVV are both non-levered ETFs of the S&P 500 Index. However there are some subtle differences between them. SPY pays cash dividends while IVV reinvests their dividends. IVV allows ...
3
votes
2answers
151 views
Are leveraged ETFs cheaper than using leverage?
Is using leveraged ETF cheaper than borrowing money and buying regular 1x ETF? Let's assume that we're rebalancing daily and interest rate for borrowing is something like 2.66% (taken from Interactive ...
2
votes
1answer
381 views
Sharpe Ratio of ETFs in R
Suppose I want to calculate the Sharpe ratio given a risk free rate of 0.05 for a portfolio consisting of assets from 500 ETFs. How can I do so in R given the data I've collected thus far in my R code?...
1
vote
0answers
200 views
List of US Industry sector ETFs that map to ICB classification
I am in the prcess of carrying out intra-and intra sector analysis of US stocks, and am proxing sectors with sector ETFs. I therefore, need to catalog the list of US sector ETFs - but have been unable ...
1
vote
0answers
77 views
Long Term investment in leveraged ETFs not necessarily bad?
I have conducted very much research about leveraged ETFs lately. Most sources specifically say that these instruments are not meant for long-term investments and that they are very risky due to the ...
3
votes
1answer
837 views
Slight confusion regarding arbitrage opportunities in ETFs as mentioned by investopedia
On the "how ETF arbitrage works" page, investopedia says
The arbitrage opportunity happens when demand for the ETF increases or decreases the market price, or when liquidity concerns cause ...
1
vote
1answer
65 views
Bond ETF Implied Dividends
What (if one exists) is the standard way for estimating future dividends on bond etfs?
The major challenge in my mind is that the monthly dividend distributions of a bond etf (like HYG) don't ...
0
votes
1answer
85 views
Bond ETF Dividends
Bond ETFs usually make monthly dividend payments. The ETF manager receives quarterly or semiannual coupons on the underlying bonds in the ETF. What is the time delay between the coupons received and ...
2
votes
2answers
208 views
Where can I find the European equivalents ETFs from a USD superdiversified 10 ETFs portfolio
I have been using this superdiversified 10 ETFs portfolio.
To lower the risk it's composed from stocks and bonds across the globe and includes some commodities.
Being in USD currency and the Euro ...
2
votes
2answers
652 views
Database of ETF and underlying index from Thomson Reuters or Bloomberg
I want to generate a table of ETFs listed in the US and declared benchmarks. The idea is that I want to have the possibility to use the benchmark as a proxy of the ETF to run longer backtests when ...
3
votes
0answers
347 views
Is there really a negative roll yield for futures in contango?
I am trying to wrap my head around how ETFs that track futures work (whether its USO tracking WTI futures or VXX tracking VIX futures).
I have read online about how for normal contango environments, ...
16
votes
2answers
504 views
Does the rise in passive investing make the markets less efficient?
The general idea of efficiency in financial markets is that information is being processed almost instantaneously because active investors arbitrage away any arising price discrepancies.
On the other ...
3
votes
0answers
110 views
Pricing Options on Fixed Income ETFs
The market for trading options on fixed income ETFs like HYG has become increasingly prominent in the past couple years, but I've been unable to find any discussion related to the pricing methodology ...
0
votes
0answers
99 views
Where can I get alerts for future delisting of stocks/ETFs?
I scan / trade a universe of 1500 different European and US stocks and ETFs trading on many different exchanges.
I would like to get notified before any of the tickers are delisted, so I can sell ...
-4
votes
1answer
808 views
Interview question on etf
If the ETF in the European market is tracking an oil company in the US, and now the oil price in the Middle East is likely to rise, how should I hedge this position?
P.S- I am preparing for Flow ...
1
vote
2answers
256 views
How do I get a list of all ETFs / REITs?
I am currently doing a research which will need ETF and REITs' historical data back in early 2000s.
The problem is I do not know what symbols existed back in then, unlike indices like S&P and DOW,...
1
vote
1answer
117 views
ETFs - Do they impede the free float statistics?
Do ETFs impede the free float statistics?
A considerable share of ETFs does the physical replication, so that large number of shares seem to be frozen/parked in those funds.
Is this the case? Do ...
1
vote
1answer
69 views
ETFs mimicking world economy?
We can find ETF that usually mimick some stock index, for e.g. SP500 has SPDR, Dow Jones Industrial Average has DIA, etc.
Does an ETF that tracks all these indexes exist?
3
votes
3answers
210 views
Large trend-followers: why use futures rather than ETFs?
There are a number of large trend-following CTAs that have been successfully running for 10+ years. Their main instrument is diversified futures. Why not ETFs (is it due to liquidity / scaling, costs, ...
3
votes
2answers
573 views
How can I calculate the fair value of an ETF using the current price of each of its holdings?
Say, for example, I'm looking at the Vanguard Information Technology ETF (VGT)
If I have the current market price for each of its holdings, and related information
...
