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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. ...
Maddy's user avatar
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0 answers
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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 ...
lith's user avatar
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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 ...
david.t_92's user avatar
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27 views

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.
Anonymous's user avatar
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1 answer
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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 ...
user63498's user avatar
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0 answers
50 views

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 ...
phdstudent's user avatar
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1 answer
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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 ...
user62533's user avatar
1 vote
1 answer
79 views

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 ...
FixedIncomeprof's user avatar
1 vote
1 answer
177 views

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 ...
rb612's user avatar
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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 ...
Vishal Nagwani's user avatar
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1 answer
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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 ...
Girish Kumar Chandora's user avatar
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0 answers
76 views

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 (...
Market Maker's user avatar
1 vote
0 answers
30 views

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 ...
carlogambino's user avatar
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1 answer
71 views

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 ...
user53249's user avatar
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23 views

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 ...
Ibrahim's user avatar
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31 views

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 ...
Kreol's user avatar
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2 votes
1 answer
179 views

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 ...
qwerty_uiop's user avatar
0 votes
2 answers
217 views

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 ...
fajitas_vol_trader's user avatar
0 votes
1 answer
75 views

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-...
Gerry's user avatar
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1 answer
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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 ...
recisuser's user avatar
0 votes
1 answer
86 views

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 ...
Arash Howaida's user avatar
0 votes
1 answer
455 views

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!
Stephen Ge's user avatar
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35 views

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&...
codenamekale's user avatar
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0 answers
39 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 ...
IMCO's user avatar
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-1 votes
1 answer
79 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 ...
Newbatfin's user avatar
1 vote
0 answers
55 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/ ...
T123's user avatar
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1 vote
0 answers
203 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 ...
shaida faiqi's user avatar
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0 answers
52 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. ...
Yoda And Friends's user avatar
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1 answer
194 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 ...
user3138766's user avatar
0 votes
1 answer
331 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:...
statwoman's user avatar
  • 123
1 vote
0 answers
143 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 ...
GBC40's user avatar
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1 vote
0 answers
283 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 ...
Francis's user avatar
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1 vote
0 answers
52 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 ...
AugusteDupin's user avatar
2 votes
1 answer
68 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 ...
Frank Platania's user avatar
2 votes
2 answers
128 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 ...
user avatar
0 votes
0 answers
18 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 <...
blahahaaahahaa's user avatar
2 votes
0 answers
409 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 ...
Francis's user avatar
  • 300
0 votes
1 answer
192 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 ...
user107224's user avatar
0 votes
0 answers
39 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 ...
Pedro Pablo Severin Honorato's user avatar
1 vote
1 answer
94 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
Rajeev Bhomia's user avatar
1 vote
1 answer
91 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?
Patrick's user avatar
  • 11
0 votes
2 answers
972 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? ...
RomanU's user avatar
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3 votes
2 answers
126 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 ...
doublefelix's user avatar
3 votes
3 answers
242 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 ...
Vlad Zkov's user avatar
  • 139
0 votes
0 answers
43 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 ...
Argyll's user avatar
  • 109
2 votes
2 answers
258 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
mbz0's user avatar
  • 79
0 votes
4 answers
698 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 ...
Alexis's user avatar
  • 1
1 vote
1 answer
419 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 ...
monicam's user avatar
  • 11
0 votes
2 answers
453 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,
Tim Kim's user avatar