Questions tagged [index]
The index tag has no usage guidance.
159
questions
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1answer
97 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:...
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0answers
28 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
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0answers
65 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 ...
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0answers
33 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 ...
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0answers
26 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
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1answer
53 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 ...
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2answers
115 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 ...
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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
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0answers
111 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
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1answer
173 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 ...
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0answers
28 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
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1answer
53 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
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1answer
60 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?
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2answers
207 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
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2answers
105 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
184 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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0answers
27 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
235 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
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4answers
229 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
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1answer
152 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 ...
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2answers
124 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
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0answers
54 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 ...
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1answer
163 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 ...
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1answer
558 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.
...
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2answers
78 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
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1answer
104 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 ...
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0answers
29 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
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1answer
157 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?
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1answer
84 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
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1answer
138 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
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2answers
81 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
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3answers
102 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
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2answers
112 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
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1answer
68 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
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1answer
133 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 ...
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1answer
235 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
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1answer
85 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?
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0answers
491 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 ...
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2answers
481 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
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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
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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 ...
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0answers
90 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 ...
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0answers
47 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.
...
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2answers
398 views
Detect trend of an index
My question is about determining the trend and it can break down to 3 parts.
To clarify, a trend in my point of view, and in simple form, is the last close at time t relative to its time reference, i....
-1
votes
1answer
4k views
How to get historical daily index values from Bloomberg Terminal?
I found a lot of questions asking about index returns and index constituents, however, i'm looking for just daily closing values for certain Total Return indices. (FTSE/MSCI/BBBarclays) - these are ...
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1answer
106 views
Bloomberg - Index Constituents over a period of time
I basically require a list of the FTSE 350 constituents from 02 Jan 2002 (this is as far back as BB has for member data) to 31/12/2017.
I tried to create this dataset using the spreadsheet builder ...
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0answers
400 views
CRSP VW index price data (not return data) - where?
I am trying to find index price levels for the CRSP value weighted index (excl. distributions), not pre-calculated returns. I have access to WRDS, where I can download the returns on the index and ...
1
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1answer
416 views
Replicating the EIOPA equity index for the symmetric adjustment of the equity capital charge in Solvency 2
My question is rather specific but I'm wondering if someone might be able to help.
In the Solvency 2 framework, the equity capital charge requires to compute a symmetric adjustment which is itself ...
