Questions tagged [etf]
The etf tag has no usage guidance.
127
questions
0
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0answers
34 views
How to calculate price and volume samples of a multi-product series?
I am reading Marcos de Prado's Advances in Financial Machine Learning. In a section titled "the ETF Trick", he explains how to calculate periodic price and volume samples for a basket of ...
0
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0answers
46 views
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. ...
3
votes
1answer
126 views
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 ...
2
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0answers
28 views
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 ...
0
votes
1answer
66 views
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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0answers
37 views
Calculate target price for ETFs
I am wondering if there is any free service where one can calculate the 1 year target price for ETFs or indexes like Russell 2000. Otherwise I guess one has to get the mean price targets from the ...
2
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0answers
58 views
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 ...
0
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0answers
24 views
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,...
2
votes
3answers
339 views
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 ...
1
vote
1answer
101 views
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 ...
1
vote
1answer
58 views
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 ...
0
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1answer
38 views
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 ...
8
votes
2answers
602 views
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 ...
1
vote
1answer
247 views
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.
...
3
votes
1answer
133 views
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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0answers
41 views
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 ...
3
votes
2answers
107 views
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 ...
3
votes
3answers
191 views
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 ...
3
votes
2answers
147 views
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 ...
0
votes
1answer
64 views
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 ...
1
vote
1answer
156 views
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 ...
2
votes
1answer
71 views
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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0answers
25 views
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 ...
1
vote
1answer
241 views
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) ...
2
votes
1answer
386 views
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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0answers
43 views
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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0answers
55 views
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 ...
1
vote
1answer
890 views
The ETF trick - E-mini S&P 500 Futures
In Advances in Financial Machine Learning, Marcos Lopez de Prado talk about what he call the ETF Trick. I understand it is about building a time series from another time serie, with the aim to reflect ...
1
vote
1answer
133 views
Mean-reverting backtest between index and components [closed]
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
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0answers
51 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
119 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
173 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
151 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
159 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
120 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
549 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
402 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?
...
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2answers
316 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; ...
9
votes
1answer
547 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 ...
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0answers
47 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
59 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 ...
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0answers
183 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 ...
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vote
0answers
76 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
2k 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=...
2
votes
2answers
275 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 :
...
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2answers
217 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
6k 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
481 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
82 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?
5
votes
2answers
4k 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/...
