Questions tagged [index]
The index tag has no usage guidance.
165
questions
0
votes
0answers
27 views
Unitise an options portfolio
Suppose I have a portfolio of European index options (long call, short put) and risk free assets (buy bank bills) to create a synthetic long index position. I wish to unitise this portfolio to ...
0
votes
1answer
43 views
Query on Volume and Turnover of Equity Index and Index Future
I downloaded daily price, volume, turnover time series data of S&P500 Index (SPX) and S&P500 Futures (SP1). I observed that SPX Turnover is less than SPX Volume. Here's a single day's example ...
1
vote
0answers
43 views
Pricing of a tracker certificate on basket of index futures
i'm new to Quant Stack Exchange but i already saw that the quality of the answers is outstanding, however, i have a question for which i haven't found an answer yet:
I'm looking for a pricing model/ ...
1
vote
0answers
53 views
Replicate an fixed income index in python
I am trying to replicate an fixed income index in python through linear programming. Data for all bonds in the index are available as well as index values. I intend to first create a free portfolio ...
0
votes
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. ...
0
votes
1answer
75 views
Wilshire 5000/GDP Ratio dividing indexed values and not actual values?
I’ve been playing around with the FRED datasets: Wilshire 5000 Total Market Full Cap, and nominal US GDP.
I found that the Wilshire 5000/GDP index (https://fred.stlouisfed.org/graph/?g=qLC) is the ...
0
votes
1answer
106 views
Mixed-integer programming approach for index tracking
Suppose you currently own a portfolio of eight stocks. Using the Markowitz model, you computed the optimal mean/variance portfolio. The weights of these two portfolios are shown in the following table:...
1
vote
0answers
44 views
How to build Fama-French model factors SMB and HML to compare sustainable index to conventional benchmark?
My goal is to analyze and compare the performance between socially responsible indices and conventional ones. I am comparing for each region (Europe, UK, World, US) a sustainable index to a ...
1
vote
0answers
85 views
Index CDS Option (Spread Quoted) - Black's Formula
I have looked at the question and answers here and I have read Chapter 11 of Dominic O'Kane's book Modelling Single-name and Multi-name Credit Derivatives. The book is very clear and has some in-depth ...
1
vote
0answers
38 views
How does one explain the negative returns around the event of stock inclusion in DAX indices?
Greetings there friends,
I am doing a small research on the effects of the event of inclusion and exclusion of a stock from DAX indices (german indices), to cut the story short, i have downloaded data ...
0
votes
0answers
29 views
Index CDS - trade between EDD and auction date
The ISDA CDS standard model examples document here outlines the calculation of accrued on single name CDS for defaulted entities i.e. where the Trade Date is after Event Determination Date but before ...
2
votes
1answer
55 views
What are the eurozone bond indices? And where can I find them?
I am trying to calculate the performance of a portfolio of fixed-income funds domiciled and operating exclusively in Europe through a multi-factor model. To do this I need historical data of several ...
2
votes
2answers
117 views
Is it more profitable to invest in the S&P 500 outside regular trading hours?
Is https://www.nytimes.com/2018/02/02/your-money/stock-market-after-hours-trading.html correct? I don't think so because it doesn't consider dark pools?
Of note, each business day has only 6.5 trading ...
0
votes
0answers
13 views
Determining relative volatility without referring to an index or another security?
Say I am looking at the S&P 500, what is a quantitative way to determine whether the index is currently volatile or not? For example, if volatility > x, it is highly volatile. If volatility <...
2
votes
0answers
157 views
Mechanics of index CDS options
I am looking at some documents regarding pricing approaches for index CDS options but none of them give much detail on the mechanics of trading the product. I have looked at the CDX UNTRANCHED ...
0
votes
1answer
174 views
No-arbitrage arguments: how do additional fees affect futures on an index?
I am considering a fund that replicates the returns of an index minus a fee, using the following case-study my lecturer used regarding SPY:
In practice, futures and forwards can be written on assets ...
0
votes
0answers
30 views
Calculating currency indexes weights?
I was looking at this formulas:
USD_INDEX= 50.14348112 × EURUSD^-0.576 × USDJPY^0.136 × GBPUSD^-0.119 × USDCAD^0.091 × USDSEK^0.042 × USDCHF^0.036
and
...
1
vote
1answer
59 views
What happens to bond indices, say IBXXIBHY, when any underlying bond matures?
This Index tracks HYG ETF, so What happens to that will help, if someone can explain. Thanks
1
vote
1answer
62 views
Event study using sector indices
Analyzing Covid-19's impact on different sectors I would like to use sector indices.
Can you use CAPM or similar to calculate abnormal returns of indices or does it only work with stock prices?
0
votes
2answers
299 views
CDX index versions after series maturity
Can someone explain the situation when the next version of some CDX index is created after index maturity, so the version is created, but that version is not being traded as series already matured? ...
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 ...
0
votes
0answers
28 views
What are the components of VXN?
What are the exact components of VXN -- the volatility index for NASDAQ-100?
The CBOE page links to the document for VIX, which clarifies the exact set of front-month near-the-money SPX options used ...
3
votes
2answers
240 views
Why Index Futures can be used as a Market benchmark?
I heard that we can use, say, Eurostoxx Futures as a benchmark to compute the beta of the index's components. Is this relevant? If so, how do we deal with the futures' expiry?
Thanks
0
votes
4answers
347 views
Index Replication
I am a first year university student.
I am trying to replicate an Index, for instance SP500. But instead of doing a full replication (by buying all the stocks), I wonder : How can I choose a portfolio ...
1
vote
1answer
171 views
How to download full daily historical data of MSCI AC Asia Index
I'm trying to download the daily historical data of the MSCI AC Asia Index. I've been testing different combinations of the following url: https://www.msci.com/eqb/esg/performance/110.0.all.html using ...
0
votes
2answers
157 views
Historical SPX Intraday data with volume
I am looking for historical SPX 1minute data containing volume.
Anyone knows where to get them from?
Thank you,
1
vote
0answers
55 views
Futures Carry for Index Spread Trade
This question is about a leveraged trade involving index futures.
Let's use an example of buying two contracts YM futures and selling three contracts RTY futures. CME will give the trade a margin ...
-2
votes
1answer
181 views
Most liquid index options?
I need to work with option prices in my master's thesis. Specifically, I investigate index options (S&P 500). Which kind of options could you recommend to use? I have seen that there are options ...
0
votes
1answer
795 views
Download historical index data, like SP500, using Python. History going back to at least 1960, if not further back
I want to download historical data for different indices. I am using Python for this. I used the following code.
...
0
votes
2answers
81 views
How is the risk premium of the index estimated?
In the construction of an index model, we often use the expected return of a security, including surprises, for analysis. To calculate this, we must estimate the risk premium of the index.
Since we ...
2
votes
1answer
53 views
Why do surprises in macroeconomic variables average out to zero?
In the book Investments (Bodie, Kane, Marcus), in chapter 8, the authors discuss index models (page 247) and, in its context, systematic risk. The authors state, without explanation, that the market ...
2
votes
1answer
108 views
How to price complex corporate actions with spinoffs
Let's look at below UTX/RTN merger as an example:
https://www.fool.com/investing/2020/03/30/raytheon-united-technologies-merger-gets-green-lig.aspx
The merged companies will from that moment ...
0
votes
0answers
31 views
Calculation of CPI
My class was canceled due to the coronavirus and I am supposed to solve the following problem:
Assume that the consumer consumes only two goods, and his utility function is $u=x_{1}x_{2}$. Last year ...
1
vote
1answer
175 views
Downloading all stocks of an index from CRSP
I am new to the CRSP database and wanted to ask if it's possible to download all the stock prices/returns (daily or weekly) of e.g. the NASDAQ Index (just like in Bloomberg)? And if yes, how exactly?
...
0
votes
1answer
90 views
Do NASDAQ and Russell 2000, 3000 Indices have total return indexes for gross and net? What are they labeled?
Do NASDAQ and Russell 2000, 3000 Indices have total return indexes for gross and net? What are they labeled? I know the S&P has a gross TR index with the ticker SPTR and net SPNTR, so I'm ...
0
votes
1answer
153 views
Rebalancing Bond Indexes
I am trying to make an index for the bond market in my country, which will be modified daily. For simplicity, suppose that I only have three bonds.
Additionally, suppose that I am interested in ...
0
votes
1answer
35 views
quarterly S&P price
I need the quarterly S&P price, but only have the daily data. What is the official definition of the quarterly price? Is it just the average or is it the closing (opening) price of e.g. march ...
1
vote
2answers
86 views
Custom benchmark construction (S&P500 + add-on)
If I have a strategy that has the same risk as S&P500 but also requires 150 bps on top of S&P500 Index, how would I construct such a benchmark?
I have the following approach, but it is not ...
2
votes
3answers
105 views
Why do some mutual funds or indexes have an average effective maturity that is way larger (2-4 times larger) than the average effective duration?
I would like to know if this difference occurs when the coupon payments are very large and/or if there are other reasons.
3
votes
2answers
113 views
How can more money be indexed to a stock than the stock's actual value?
According to a recent Bloomberg article, Michael Burry of "The Big Short" fame claims that
In the Russell 2000 Index, for instance, the vast majority of stocks are lower volume, lower value-...
1
vote
1answer
69 views
How I can calculate index bond market
I know that some of the bonds on the market have been manipulated by investment funds.
I could identify these bonds.
I have classified similar bonds in terms of risk, maturity and Duration.
I have ...
1
vote
1answer
146 views
EONIA capitalisé jour tr eur: can't find index data! Do you know what kind of index is?
To get EONIA capitalisé jour tr eur index returns (monthly returns from 01/2007 until the most recent) is challenging. First i googled the index name searching for the ISIN or the index provider ...
1
vote
1answer
250 views
Why is it better to use evolutionary algorithms than OLS for solving index tracking problem?
I am currently using different optimization algorithms for finding constrained portfolio that best replicate choosen index. So i have a optimization task to minimize tracking error. I wonder why every ...
0
votes
1answer
92 views
Are total return indices adjusted for tax?
Just curious about the total return index for stock such as S&P 500 TR, is the index typically adjusted for tax on dividend when accounting for calculation on the total return index?
1
vote
0answers
563 views
How to normalize stock exchange indexes
I am doing an academic research in behavioral finance and I need to calculate my abnormal return based on the normalized returns of the stock exchange index being the S&P 500. In other words, I ...
1
vote
2answers
553 views
Backtesting with Stock Indices, how does one deal with it?
I was wondering how to backtest using stock indices. For example, the FTSE100 has had changes in its components over time. How does one go about testing a time period from i.e. 2000 - 2018, even if ...
0
votes
0answers
62 views
Day OPEN = prior day CLOSE in S&P 500 index historical data
There is a phenomenon in the historical data of the S&P 500 index, of extended periods with repeated occurrences of 'today's open = yesterday's close'.
It could have made sense had it been the ...
0
votes
0answers
32 views
high quality daily data [duplicate]
I am analysing some trading strategies, so lots of high quality data is needed. I have been using yahoo finance which provides a lot of high quality daily data on stocks and indices.
Currently I am ...
1
vote
0answers
94 views
Does EFP (Exchange Futures for Physical) Involves Cash Exchange?
I am new to the concept of Exchange Futures for Physical (EFP). According to some sources (link),
An Exchange for Physical (EFP) is a transaction involving the
simultaneous exchange between two ...
