Questions tagged [etf]
The etf tag has no usage guidance.
113
questions
2
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2answers
70 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
1answer
104 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
90 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
39 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
135 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
69 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
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0answers
22 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
96 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
49 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
0answers
29 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 ...
0
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0answers
38 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 ...
0
votes
0answers
22 views
What are the factors affecting Pre-Market/overnight market prices
During the past few weeks, it seems to me, that there are different cohorts of people affecting the prices of, say, SPY--the S&P 500 ETF during normal hours and after-hours. This may be a ...
0
votes
1answer
355 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
91 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
votes
0answers
40 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
48 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
100 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
117 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
74 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
139 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
90 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
249 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
257 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
200 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
341 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
43 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
55 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
133 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
58 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=...
1
vote
2answers
205 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
215 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
4k 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
397 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
66 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?
3
votes
2answers
2k 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
122 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
80 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
49 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
46 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
499 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
158 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
71 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
164 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
431 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
273 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
89 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 ...
4
votes
1answer
1k 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
74 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
87 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 ...
