Quantitative Finance

Questions tagged [etf]

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1answer
238 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
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0answers
39 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. ...
1
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1answer
44 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
49 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
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0answers
47 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
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2answers
516 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
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2answers
107 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
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2answers
203 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, ...
1
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1answer
770 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
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1answer
149 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
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1answer
54 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?
1
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1answer
601 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
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0answers
68 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
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0answers
72 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
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0answers
46 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
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0answers
43 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
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3answers
467 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
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1answer
112 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
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0answers
54 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
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2answers
141 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
328 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
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0answers
169 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 ...
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0answers
72 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
616 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
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1answer
57 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
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1answer
78 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 ...
1
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2answers
181 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
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2answers
513 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
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0answers
318 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
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2answers
465 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
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0answers
108 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
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0answers
80 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
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1answer
657 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
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2answers
243 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
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1answer
104 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
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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?
1
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1answer
119 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
490 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 ...
1
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0answers
298 views

How can factor certificates achieve constant leverage?

How does a bank which offers a factor certificate with unlimited maturity, e.g. a certificate which promises the holder to change in value in a constant proportion with respect to a change in the ...
1
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0answers
206 views

Fama-French Factors for ETFs and MFs

Is there a public source or a paid service that provides FF3 (or FF4 = "Carhart") factor loadings for US traded ETFs and Mutual Funds? Something that is regularly updated and that provides comparable ...
2
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4answers
611 views

Are smart beta and risk-parity the same?

From what I have been reading online, smart beta ETFs aim to use a different type of weighting (instead of by market cap as traditional ETFs like SPY do to track an index) to achieve positive ...
4
votes
1answer
393 views

How are ETF fees deducted? What happens if you short an ETF?

When I buy an ETF, the ETF issuer wants a certain management fee (expense ratio). How is this usually paid? I've read that this might be deducted from dividends - is this the case? How does it work ...
1
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1answer
386 views

Difference between CRSP equal weighted and composite index

I am a bit confused about the overall CRSP total market return index and the equal weighted index. I know that the value weighted index places a weight on each firm by their respective market values ...
2
votes
1answer
204 views

Subscribe to iNav changes via ETF_INAV_VALUE key

I'm using the Bloomberg API to subscribe to market data changes. While I manage to retrieve fields such as OPT_GAMMA_MID_RT or ...
0
votes
1answer
171 views

Leveraged ETF calculation - dropping below zero?

I'm running some simulations with a leveraged ETF to investigate that notorious leveraged-ETF decay effect I keep hearing about. When I put in a typical Black-Scholes lognormal model of returns on the ...
0
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2answers
187 views

Stock Symbols: ETFs vs Real Companies

I built a trading strategy that is based on a pool of all the symbols available on NYSE, Nasdaq, and AMEX. I don't like the idea of trading symbols that are ETFs. For example, the symbol TVIX, which ...
4
votes
1answer
161 views

Sharpe ratio with leveraged ETFs

There has been a discussion about how leverage affects Sharpe Ratios, but not in the context of leveraged ETFs (such as 2x or 3x). I'm just wondering how leveraged ETFs, if at all, change the ...
3
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2answers
858 views

How to trade leveraged ETFs

Leveraged ETFs (LETFs) are known to lose value over time due to the "volatility decay" effect. What're the most common strategies for trading LETFs to take advantage of this volatility effect? Also, ...
0
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1answer
62 views

How to calculate 5 years return & STD for ETF?

I want to calculate by-myself 5 year return & STD for SPY ETF. What I did: Downloaded to Excel from yahoo finance historical data for the ETF (daily Adj. Close) from ...
1
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0answers
57 views

Motivation for hedging volatility using VIX ETNs

i wondered what the motivation for professional investors could be to engage in VIX ETNs. Would they even think about trading this kind of product? (they normally should have access to VIX options, ...

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