Questions tagged [etf]

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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 ...
3 votes
2 answers
139 views

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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3 votes
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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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1 vote
1 answer
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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 ...
0 votes
1 answer
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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 ...
1 vote
0 answers
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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 ...
1 vote
1 answer
68 views

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 ...
0 votes
0 answers
499 views

Aren't options priced asymmetrically for Inverse and Leveraged ETFs, for the same underlying index?

I ask merely about pairs of Bear (Inverse) and Bull (Leveraged) ETFs for the same underlying index. The Bear ETF's price shall be bounded below by 0. But the bull ETF's price is unbounded. But doesn't ...
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1 vote
1 answer
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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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0 answers
38 views

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 ...
0 votes
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68 views

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/...
1 vote
0 answers
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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....
0 votes
3 answers
164 views

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 ...
0 votes
0 answers
52 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
1 answer
154 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 ...
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2 votes
0 answers
57 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 ...
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0 votes
1 answer
111 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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2 votes
0 answers
92 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 ...
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30 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,...
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2 votes
3 answers
374 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 ...
2 votes
1 answer
260 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
1 answer
69 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 votes
1 answer
94 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 ...
9 votes
2 answers
1k 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
1 answer
292 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. ...
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3 votes
1 answer
167 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 ...
0 votes
0 answers
47 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
2 answers
124 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
3 answers
242 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 ...
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3 votes
2 answers
204 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
1 answer
75 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 ...
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1 vote
1 answer
177 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 ...
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2 votes
1 answer
79 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 ...
0 votes
0 answers
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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 ...
1 vote
1 answer
408 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) ...
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3 votes
1 answer
627 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 ...
1 vote
0 answers
59 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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0 answers
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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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1 vote
1 answer
1k 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 ...
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1 vote
1 answer
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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 votes
0 answers
54 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, ...
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1 vote
2 answers
160 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
2 answers
231 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
1 answer
204 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
2 answers
170 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 ...
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3 votes
2 answers
173 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
1 answer
704 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 ...
3 votes
1 answer
637 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
2 answers
414 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
1 answer
696 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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