Questions tagged [index]
The index tag has no usage guidance.
188
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Calculate PE ratio of equal-weighted index
I need to calculate Price-to-Earnings Ratio (PE Ratio) of an Equal-weighted index.
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Historical list of all DAX symbols (symbol, start_date, end_date) [duplicate]
Is the a public list of all DAX constituents over time? I was thinking of a table like:
symbol, start_date, end_date
It would be nice if I didn't have to resort to ...
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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 ...
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VIX intraday Data (minute by minute) [duplicate]
I'm looking for an open source that provides intraday data (minute by minute). I wasn't able to find one so far. Any suggestions?
Thank you.
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How to create Industry Portfolios per country? [duplicate]
Regarding the industry portfolio as created by Kennth R. French like here: https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_Library/det_17_ind_port.html I was wondering how I could do this ...
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MSCI World ESG Leaders index - data is always loading [duplicate]
I'm trying to find the historical data for the "MSCI World ESG Leaders Index" but when I click on performance on the MSCI website it is always loading. I have also tried to download the MSCI ...
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Where to get market capitalization data for these two indexes? [duplicate]
I am looking for historical market capitalization for:
SPX 500 index
MSCI EAFE index
Bloomberg data for market capitalization oddly enough only seems to start in 2000s.
Which other paid or free ...
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How do you find the corresponding market index of a stock?
If I have a stock, we say MSFT, and I want to find its corresponding market index - how do I do this?
I thought I needed to start by finding out which index the stock, in this case MSFT, is included ...
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MBS Index replication month-end flows
Several investors track indices to gain exposure to specific asset classes. And these indices may be re-balanced on a monthly basis, based on market-cap etc which generates month-end flows from ...
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177
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Future price of an index always less than expected index future value?
In the following practice problem:
Is the futures price of a stock index greater than or less than the
expected future value of the index? Explain your answer.
The answer given is as follows:
The ...
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Model-Free Implied Volatility: Data of Expired Options and Bond Price
I am attempting to calculate Model-Free Implied Volatility for several equity indices (S&P500, NASDAQ100, CAC40, FTSE100, DJIA, EUROSTOXX50, NIKKEI225, NIFTY50). I wish to get historical data of ...
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How sector PB ratio is calculated on ticker tape?
I know what PB ratio is and I am looking forward to calculate the sector PB ratio.
Here's the sector PB ratio of State Bank of India is 2.23. Link
The names of companies and its corresponding details ...
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76
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Index Tracking Problem
I have set up a mean variance optimization problem,
$$min:{W}^{\prime}{\Sigma_{\varepsilon}{W}}$$
$$s.t:{W}^{\prime}{\alpha}=R_B\;,\;\;W^{\prime}l={1},\;\;W'\beta=0,\;\;W'Z=\beta_p$$
where, $W$ is an (...
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Where to find Entries into an Index on CRSP (WRDS)
I am trying to find index entry events (not delisting events) on CRSP (i.e., when a specific stock with a PERMNO/CUSIP enters the S&P500), but despite trawling through the documentation I am ...
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Risk premium of insurance risk
I recently came across an equation in a paper.
In short, suppose that $I(t)$ denotes a longevity index at time $t$. An informative indicator that is useful in the absence of any information about the ...
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Global Country Index for Insurance
I am trying to create a global country index for insurance. So this would be insurance by country. Anybody who is an expert in econometrics can give me some guidance on how to do this? How would I go ...
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Large price adjustment for capitalization-weighted index
Assume we are calculating a value-weighted index of a set of stocks that have more or less the same capitalization. However, one of the stocks has substantially larger price than others (although ...
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What are the volatility Indices for different asset classes? Particularly fixed income & RE? [duplicate]
As a part of my self learning process, I'm trying to gather the list of volatility indices for all major asset classes.
Equity: CBOE VIX (US), VSTOXX (EU), ?? (UK), ?? (JPY)
Commodities: ??
Interest ...
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You are long a hedged ATM SPX Call and the market moves down. Do you gain or lose in volatility terms?
The shape of the volatility curve in index options trading typically shows that the 'just' OTM Calls (ITM Puts) options have the lowest implied volatility.
If you are long an ATM Call and the market ...
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Case Shiller repeat sales index methodology
I am trying to find a definitive specification of the index construction methodology for the S&P CoreLogic Case-Shiller Home Price Indices produced by S&P Global – also known simply as Case-...
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How to simply calculate future value of periodic contributions to an index fund account?
So, for the sake of simplicity, ignoring taxes, expense ratio, volatility or anything else other than known values for the following five variables:
Starting contribution (dollars)
Annual ...
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Calculate total index return given only capital gains and income returns
Given total index return for a single period can be characterized as :
$$TR_{1}=\sum_{i=0}^Nw_i \frac {(p_{1i}-p_{0i}+inc_i)}{p_{0i}} $$
Is there a way to rewrite or derive a multi-period form of the ...
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P/E Ratio of a stock index
I tried to find the P/E ratio of a stock index. Should I calculate the weighted harmonic mean of all constituents OR select the weighted median P/E ratio as the index's P/E?
many thanks!
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Relationship between the major Indexes and the SPDR Sectors
Here is what I know (and correct me if I summarize incorrectly):
There are 4+ main Indexes -- S&P 500, Russell 2000, NASDAQ, and DOW Jones (among others?)
There are 11 sectors called "SPDRs&...
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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 ...
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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 ...
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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/ ...
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203
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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 ...
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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. ...
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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 ...
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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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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 ...
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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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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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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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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 ...
user31928
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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 <...
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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 ...
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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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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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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
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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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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? ...
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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 ...
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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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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 ...
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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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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 ...
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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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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,
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