Questions tagged [index]
The index tag has no usage guidance.
133
questions
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50 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
38 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
66 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
26 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
1answer
51 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
22 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
104 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
64 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
203 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
49 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
79 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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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
87 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
43 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
28 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
vote
0answers
41 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
268 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
1k 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
vote
0answers
60 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
52 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
122 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
47 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
69 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
144 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
57 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
38 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
45 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
79 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
81 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
582 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
121 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
240 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
718 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
50 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
171 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
50 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
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0answers
53 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
132 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
votes
1answer
273 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 ...
2
votes
1answer
673 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
votes
2answers
149 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
294 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
vote
1answer
179 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
75 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 ...
1
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0answers
532 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 $...
2
votes
1answer
345 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/...
