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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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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 (...
stevenpaul's user avatar
3 votes
1 answer
105 views

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 ...
option_vol's user avatar
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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 ...
ilovebagels's user avatar
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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/...
option_vol's user avatar
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1 answer
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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 ...
missing_name's user avatar
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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 ...
quantypythonshow's user avatar
2 votes
1 answer
97 views

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 ...
barneypitt's user avatar
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75 views

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 ...
Maximilian Janisch's user avatar
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1 answer
175 views

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 ...
KaiSqDist's user avatar
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145 views

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 ...
Matt's user avatar
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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
zeng cece's user avatar
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106 views

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 ...
Frank's user avatar
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2 answers
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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 ...
techhead2000's user avatar
3 votes
2 answers
320 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 ...
Student's user avatar
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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'...
phdstudent's user avatar
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1 vote
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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 ...
user2845840's user avatar
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1 answer
120 views

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 ...
gotiredofcoding's user avatar
1 vote
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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 ...
david.t_92's user avatar
1 vote
1 answer
88 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 ...
Betterthan Kwora's user avatar
1 vote
1 answer
58 views

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 ...
safetyduck's user avatar
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50 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 ...
Ringleader's user avatar
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69 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/...
user96769's user avatar
1 vote
0 answers
177 views

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....
the_brass_bottle's user avatar
0 votes
3 answers
282 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 ...
Hiperfly's user avatar
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57 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. ...
Yoda And Friends's user avatar
3 votes
1 answer
194 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 ...
spark's user avatar
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2 votes
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71 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 ...
jtanman's user avatar
  • 121
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1 answer
165 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 ...
Synnex's user avatar
  • 1
2 votes
0 answers
113 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 ...
pappu's user avatar
  • 139
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32 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,...
R Salimi's user avatar
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2 votes
3 answers
401 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 ...
ACHO-Chen's user avatar
2 votes
1 answer
319 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 ...
Sahil Puri's user avatar
1 vote
1 answer
100 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 ...
user52091's user avatar
0 votes
1 answer
136 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 ...
user52091's user avatar
9 votes
2 answers
2k 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 ...
Jose Maria Gutierrez's user avatar
1 vote
1 answer
350 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. ...
user28909's user avatar
  • 498
3 votes
1 answer
178 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 ...
user3426614's user avatar
0 votes
0 answers
72 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 ...
Preston Lui's user avatar
3 votes
2 answers
155 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 ...
doublefelix's user avatar
3 votes
3 answers
271 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 ...
Vlad Zkov's user avatar
  • 139
3 votes
2 answers
240 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 ...
CrepuscularV's user avatar
0 votes
1 answer
115 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 ...
Peaceful's user avatar
  • 734
1 vote
1 answer
182 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 ...
marz's user avatar
  • 121
2 votes
1 answer
81 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 ...
Matteovisali's user avatar
0 votes
0 answers
30 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 ...
user47624's user avatar
1 vote
1 answer
505 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) ...
Matteo's user avatar
  • 63
3 votes
1 answer
989 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 ...
AugusteDupin's user avatar
1 vote
0 answers
79 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 ...
farmer's user avatar
  • 25
0 votes
0 answers
105 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 ...
huang's user avatar
  • 101
1 vote
1 answer
2k 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 ...
Lucas Morin's user avatar