Questions tagged [index]
The index tag has no usage guidance.
141
questions
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0answers
29 views
Realized Volatility of Volatility Index
I'm trying to examine the prediction power of the VIX and VVIX in a simple experiment where I compare the two to their realized volatility.
For the VIX it is rather easy, because there is the "S&...
2
votes
1answer
54 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
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0answers
11 views
Showing special case equality for price indices [migrated]
Show that if all prices increase in the same ratio, then Division consumer price index = Laspeyres consumer price index = Paasche consumer price index
Can anyone help? we never did proofs in our ...
0
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0answers
28 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 ...
0
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0answers
50 views
Handling illiquid bonds in a fixed income index
I am trying to create a fixed-income index for my country's bond market. Among other things, I am interested in extracting the weighted average (by market cap) yield to maturity. In order to do this, ...
1
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1answer
72 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
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1answer
44 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
70 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
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0answers
54 views
Why is SPY daily adjusted close negatively autocorrelated?
I took daily adjusted close prices (all history) from Yahoo Finance and ran the following code:
...
0
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0answers
41 views
Bloomberg - retrieving historical index values
I am looking at a Bloomberg index which goes out into the future (i.e. a mix of past realizations and future projections) - WNDFTTDE Index (Past and future wind capacity in Germany). While this ...
0
votes
1answer
34 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
67 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 ...
0
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0answers
33 views
Where to find the components of an index and how to replicate it by subset selection?
I am interested in replicating the performance of the eurostoxx 50 index using different statistical methods. That's what ETFs do, right? How to replicate an index using subset selection?
I think I ...
1
vote
2answers
77 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.
0
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0answers
23 views
Getting index sectors historical weightings from Bloomberg using python
I want to know how to download an index sectors' historical weightings from Bloomberg. For example, S&P 500 is comprised of Telecom Svc, Materials, Utilities, Energy, Consumer Staples, ...
3
votes
2answers
105 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-traded ...
1
vote
1answer
57 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
84 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
206 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
53 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
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0answers
137 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 ...
0
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0answers
19 views
Nasdaq price index, dividend yields and dividend
In a paper that I'm reading it says:
We collect monthly observations on the Nasdaq composite price index (without dividends) and the Nasdaq composite dividend yields, and compute the Nasdaq ...
1
vote
2answers
159 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
49 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
30 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
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0answers
55 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 ...
1
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0answers
41 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.
...
-1
votes
2answers
288 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
2k 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 ...
1
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0answers
62 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 ...
1
vote
0answers
135 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
vote
0answers
196 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 ...
1
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0answers
49 views
Calculating Risk of Portfolio of Futures/Future Options [closed]
all.
I am looking into calculating margin on futures mixed with futures options.
Say ES is trading at 2700 currently, I long 100 ES, 600k (Margin/risk). Then i buy 100 2680 puts. so Points Diff (...
3
votes
0answers
71 views
Intuitive description of the Spillover Index by Diebold and Yilmaz
I am struggling to grasp the steps outlined in the 2009 paper by Diebold & Yilmaz, which introduces the framework for a spillover index.
The final expression for a spillover index for a two ...
2
votes
2answers
160 views
Difference between volatility measures of a basket of assets
I am trying to understand intuitively the difference between two different measures of realized variance of a basket of assets.
The first measure I am aware of is when you take the realized variance ...
0
votes
2answers
59 views
Testing which index is a better benchmark to track stock prices
Let's say a Hedge Fund is tracking a stock price. Now the fund has three columns of data, Stock price, Index 1, and Index 2. All of these have data from 2016/01/01 - 2017/01/01. If the fund is to ...
2
votes
0answers
44 views
Bond Index Return from Yield Curve Data [duplicate]
I am trying to compare fund returns with benchmark returns. I have some yield curve data (some of them calculated by Bloomberg) but not bond price or return data. Is there any way to get bond returns ...
0
votes
1answer
46 views
Where can I download for free the entire price history of the nasdaq composite and s&p500 indices? [duplicate]
I would like the entire price history of both these indices at an end-of-day level, not intra day. Is there an R api that I can use for such an exercise?
1
vote
1answer
81 views
Track an index with futures only: what to do with the cash?
Suppose your mandate is to track S&P500. Suppose the mandate size is $ 1,352,500. The contract size of the future is 50, today's index price is 2705. If I buy 10 contracts my exposure will be ...
1
vote
1answer
83 views
Inflation Lag Bond Valuation
Question:
On 1st March 2006 a government issued a large tranche of an index-linked bond having
a term of 6 years. Coupons of 4% p.a. were payable half-yearly in arrears and the bond
was redeemed at ...
1
vote
0answers
52 views
reconstructing Russell 2000 returns
I have a historical list of index components, so I'm just adding up market caps of those to get a proxy for the index. However, when I check it against Bloomberg, my returns are consistently higher - ...
0
votes
1answer
723 views
Getting index sectors historical weightings from Bloomberg
I want to know how to download an index sectors' historical weightings from Bloomberg.
For example, S&P 500 is comprised of Telecom Svc, Materials, Utilities, Energy, Consumer Staples, ...
3
votes
1answer
129 views
Using Geometric Brownian Motion for Index Options
As far as I understand, in most of the cases we derive the option valuation assuming that the log-return of the asset is partly driven by its own Brownian motion, and we use Geometric Brownian motion (...
1
vote
1answer
325 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
votes
1answer
879 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 ...
1
vote
0answers
51 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
vote
1answer
194 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
vote
1answer
55 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 ...
1
vote
0answers
54 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
vote
1answer
145 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 ...
