The index tag has no usage guidance.
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1answer
49 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 <...
0
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1answer
78 views
How to deal with missing value in a time series stock market data?
I have collected data for the period of 2002 to 2018 for following indices Nifty (India), NASDAQ (US), ADX (UAE) and TASI (Saudi Arabia).
After collection, I have arranged data in a single sheet with ...
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0answers
37 views
Creating topic specific index
I am trying to create topic specific indecies in order to see how a single security performs against it. For instance, exposure to car sales. If I put VW, GM, Tesla and Fiat into an index, is it ...
0
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0answers
21 views
FM Global resilience index
I am interested in finding out witch is the explicit formula for computing the FM Global Resilience Index. I saw that the latest news on this is covered by https://www.fmglobal.com/research-and-...
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0answers
46 views
Trouble calculating the Dow Jones Industrial Average
I can successfully calculate the Dow Jones closing price by taking the sum of closing prices of the 30 component companies. However, using this same method, I'm unable to calculate the correct opening ...
1
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1answer
45 views
Dividend yield on ASX 200 (XJO) index options
I'm trying to understand how to calculate the price and Greeks of XJO options.
XJO options are European, the underlying is an index and they don't pay a dividend. However the underlying drops when ...
1
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1answer
49 views
Testing the accuracy of a created Index
So long story short, I created a Oil/Energy Index from a basket of 5 stocks in the asset class.
I am looking to use mean-reversion, in order to help rebalance the allocation of funds between ...
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0answers
36 views
MOM-TOM effect, Replication strategy
I have several questions on Otto van Hemert paper "The MOM-TOM effect:
Detecting the market impact of CTA trading" (link). In section 3 he proposes a replication strategy for the Newedge Trend Index ...
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0answers
40 views
Seeking data source for index constituents and changes
I need to find a definitive list of US and UK index constituents. I'm currently monitoring S&P100, S&P500, DJIA, FTSE100, FTSE350 etc. and curating the list manually, which is causing problems....
1
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1answer
75 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 ...
0
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1answer
99 views
Dollar Index vs Hang Seng Index: Negative correlation, but what's driving it?
I recently read an article which highlighted that a weaker dollar tends to coincide with rallies in Hong Kong stocks. I did some quick analysis:
I calculated monthly returns on the Dollar Index and ...
1
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1answer
155 views
Where to find historical constituents for any Global Market index?
Is there any public dataset, where the historical data for index composition and constitutients are being presented?
I have only found data for S&P 500, though I would need global market index (...
0
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1answer
56 views
CDS Indices Query
I'm just getting into Credit derivatives at the moment but I'm having a bit of trouble with the technicalities of CDS Indices(CDX etc.)
My question is. Given that CDS indices have fixed lifetime, is ...
1
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1answer
98 views
Create a hedging portfolio
If, given a return stream of unknown composition, what is the best find a portfolio of assets that replicates that return stream from a universe of assets?
In other words, what is the best ...
1
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1answer
76 views
How to calculate the contribution (%) of an asset to the global correlation of the portfolio?
I have a portfolio X with weights $w_i$. I am trying to find the contribution $\xi_i$ of asset $i$ to the total correlation $\rho_{XM}$ of the portfolio X to an index M. I can't find these ...
0
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1answer
70 views
How does the S&P500 index is affected when 10-20 S&P500 companies doesn't trade for a particular day? [closed]
As S&P500 index is an index based on the market capitalization of 500 biggest companies. What if some of those companies doesn't trade for a particular day. Does the next few companies (based on ...
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0answers
169 views
Dividend yield for an index
Let's say we want to price an option and so need a dividend yield to plug into Black-Scholes.
We can compute an implied dividend yield for a stock using:
$$F=S_0 e^{(r-d)T}$$
and by isolating for $...
1
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1answer
263 views
Real Estate Index in Python
I am trying to find a way to create Real Estate Index using Python 3.6 for my high school project.
I have a csv file with the following columns:
Date of Sale
Amount
Type (Commercial/Residential/...
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0answers
67 views
Gross total return index and forward price
I'm wondering how one can compute forward price of a (gross) total return index? Let's assume that the tax rate is 10%.
4
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2answers
161 views
How much money tracks the FTSE?
What methodologies are there for determining how much money tracks an index such as the FTSE100? Are there public estimates?
0
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2answers
173 views
Does the correlation between stocks in an index affect the implied volatility of the index? [closed]
Does the correlation between stocks in a sector or between sectors in the S&P 500 have an impact, all else equal, on the S&P's implied volatility / the VIX?
My guess is that the correlation ...
0
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1answer
485 views
Total Return Bond Index calculation using only Clean and Dirty prices
I have been looking at ways to construct a custom Total Return Bond Index given only the Clean and Dirty Prices. First I constructed the following, thinking that Price Index formula would capture ...
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0answers
85 views
Why is turnover not equal zero for an Equal Weighted Portfolio?
I am working on a comparison between the three portfolio heuristics for asset allocation: Minimum-Variance, Risk Parity and Equal Weighting.
With regards to Turnover (which I understand to be ...
4
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1answer
90 views
Custom Bond Index Construction
Let's say there are about 100 illiquid EM bonds. I would like to construct a Price Index of these bonds to see the overall performance of these instruments. I have their issue volume ...
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0answers
80 views
PCA and constructing an index
Given a set of correlated securities and their corresponding closing prices, I am looking for a way to construct an index of these securities.
When applying PCA to obtain the principal components, ...
0
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1answer
48 views
European Financials Index
I am looking for the returns of an European financial index as it is the Dow Jones U.S. Financials Index (DJUSFN) for the US. Do you know if such an index exists and if it is available on yahoo ...
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0answers
345 views
Commodity index member weights (historical) for S&P GSCI and BCOM
Does anyone know a datasource for retrieving the historical index member weights for the two major commodity indices S&P GSCI and Bloomberg Commodity Index?
My institution provides access to ...
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0answers
56 views
PCA: FTSE100 or any other index
I am relatively new and want to do a Principle Component Analysis (PCA) of the FTSE100 or any other index. What's the best way to downloaded the constituent parts of the index so that I can perform a ...
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1answer
106 views
Return correlations
Assume an equity fund sample shows returns negatively correlated with the S&P 500.
Are we more inclined to say that a) these funds are invested outside the S&P 500, perhaps non-US stocks; b)...
1
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2answers
79 views
Reliable data sources of 1,2,3,5,10,30,60,320 minute S&P500 O,H,L,C,V data
I am looking for a reliable data source provider for 1 to 320 minute S&P500 data. Or the ES mini contract.
Can anyone suggest a good source for this?
Thanks!
Andrew
2
votes
3answers
166 views
What is the better representative of a P-B ratio for a sector?
What is a better representative of a P-B ratio for a sector, for using it as a factor to predict future returns on that sector? The market weighted average of P-B for all names in that index, or ...
1
vote
1answer
58 views
Equivalents of E-minis in markets outside the US
E-minis include some high-liquidity lower margin market index future contracts with round-the-clock trading. However, volumes outside regular trading hours are much smaller.
Are there equivalent ...
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2answers
192 views
Correlation between two indexes
The Global Minimum Variance has an annual return standard deviation of 9.9%. Its correlation with the Standard & Poor's 500 Index is 0.45. What is the annual return standard deviation of the S&...
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1answer
111 views
What are the difference between LCDX vs CDXHY?
I would like to understand what the main differences between LCDX and CDXHY are.
Also, can anyone explain what the cancellable feature for LCDS, which is not there for CDS's, is and what it means for ...
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1answer
49 views
translating performance from EUR to USD [closed]
can someone please let me know how to translate a performance return from USD to EUR. For instance, I have a time series (return) over 7 years from an US hedge fund and would like to translate it into ...
1
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1answer
86 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 ...
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2answers
120 views
Interpretation of Excess Return
How is excess return defined for a given asset?
There are altogether two different definitions for excess return used in the calculation of alpha and beta and I'm unable to understand which one ...
1
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1answer
138 views
Quanto Total Return of a Foreign Asset into Domestic
Say we have a product that pays the following at expiry $T$:
$$\text{Payoff}_{in\ USD} = \text{Notional}_{in\ USD} \cdot \frac{DAXLevel_{in\ EUR}\ at\ t=T}{DAXLevel_{in\ EUR}\ at\ t=0}$$
i.e. it ...
3
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1answer
7k views
Where do I get historic performance data of the MSCI World Growth/Value index
I'm looking for a free data source of historical performance data of the MSCI world Value- and Growth index. The data should be calculated with reinvested dividends.
1
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1answer
467 views
DAX - company's weights
How often are company's weights being changed on DAX?
Where can I find historical data of DAX weights?
5
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3answers
234 views
How to apply the CAPM to 6 stocks from different markets?
I would like to apply the capital asset pricing model (CAPM) for selecting proportions of 6 different stocks. In introductory books, the CAPM model assumes that there is one market index (e.g. the S&...
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2answers
189 views
GARCH model is better for index than stock
We have used a standard GARCH(1,1) model with t distributed innovations for daily data of S&P index and JPM stock.
Question: is there any financial or statistical reason why the GARCH model ...
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0answers
385 views
Applying Black-Scholes to valuing index options
I am currently attempting to use the Black-Scholes model to value index options. My issue is; what should I use as the price of the underlying? Say I want to value a call option on the German DAX with ...
2
votes
3answers
239 views
Timing of S&P 500 Component Changes - Pre or Post Market?
When S&P 500 has a component change is the change made before market open or after the close. For example on March 3rd announement by S&P that UDR replacing GMCR after close of trading on ...
1
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1answer
239 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
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0answers
116 views
Equity Index Announcement Data
Does anyone know of a data source that provides announcements of future index events (adds/drops/re-balances), specifically for equity indexes?
I know these are mostly available somewhere on each ...
1
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1answer
1k views
Historical book value data for S&P 500
In Graham's Intelligent Investor, he calculates a metric Earning/book value.
I would like to calculate the same ratio in modern times (1960-2015) but am having trouble finding this data. I have found ...
2
votes
1answer
248 views
Historical index components (FIGIs) from bloomberg?
In order to run strategy simulations, I am trying to build a database of historical equity data using Bloomberg. I can pull the ticker symbols corresponding to the components of an index at any point ...
3
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1answer
164 views
Index and alpha strategies research analyst
Just found some job offer:
Index and alpha strategies research analyst
However it seems that the offer is already closed. The thing is I would like to know what are these alpha/index strategies. Can ...
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1answer
55 views
Is there a de-facto standard identifier scheme for indexes?
All the big indexes have well known fairly standard ticker like names, e.g. SPX for the S&P 500.
However there are huge numbers of lesser known indexes (and a huge number of variants on each).
...
