Questions tagged [index]
The index tag has no usage guidance.
121
questions
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11 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 ...
0
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2answers
62 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 ...
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0answers
33 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 ...
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0answers
27 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
19 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
39 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
242 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....
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1answer
167 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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0answers
36 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
28 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
75 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 ...
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0answers
43 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
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0answers
61 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
109 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
30 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
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1answer
43 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
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1answer
64 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
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1answer
65 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 ...
0
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0answers
17 views
suggestion for NDX volatility index prior to 2000
NDX index is available since 1984 in Bloomberg. There's VXN index that represents the implied volatility of NDX, which is available since 2001.
I need some index or series that represents implied ...
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
289 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
106 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
156 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
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1answer
436 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 ...
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0answers
49 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
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1answer
131 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
49 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
51 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
115 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
244 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
515 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 (...
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2answers
118 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 ...
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1answer
251 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 ...
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vote
1answer
121 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
71 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 ...
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0answers
472 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
321 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/...
4
votes
2answers
167 views
How much money tracks the FTSE?
What methodologies are there for determining how much money tracks an index such as the FTSE100? Are there public estimates?
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2answers
294 views
Does the correlation between stocks in an index affect the implied volatility of the index? [closed]
Does the correlation between stocks in a sector or between sectors in the S&P 500 have an impact, all else equal, on the S&P's implied volatility / the VIX?
My guess is that the correlation ...
0
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1answer
833 views
Total Return Bond Index calculation using only Clean and Dirty prices
I have been looking at ways to construct a custom Total Return Bond Index given only the Clean and Dirty Prices. First I constructed the following, thinking that Price Index formula would capture ...
3
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1answer
99 views
Custom Bond Index Construction
Let's say there are about 100 illiquid EM bonds. I would like to construct a Price Index of these bonds to see the overall performance of these instruments. I have their issue volume ...
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0answers
118 views
PCA and constructing an index
Given a set of correlated securities and their corresponding closing prices, I am looking for a way to construct an index of these securities.
When applying PCA to obtain the principal components, ...
0
votes
1answer
51 views
European Financials Index
I am looking for the returns of an European financial index as it is the Dow Jones U.S. Financials Index (DJUSFN) for the US. Do you know if such an index exists and if it is available on yahoo ...
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0answers
489 views
Commodity index member weights (historical) for S&P GSCI and BCOM
Does anyone know a datasource for retrieving the historical index member weights for the two major commodity indices S&P GSCI and Bloomberg Commodity Index?
My institution provides access to ...
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votes
1answer
111 views
Return correlations
Assume an equity fund sample shows returns negatively correlated with the S&P 500.
Are we more inclined to say that a) these funds are invested outside the S&P 500, perhaps non-US stocks; b)...
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2answers
86 views
Reliable data sources of 1,2,3,5,10,30,60,320 minute S&P500 O,H,L,C,V data
I am looking for a reliable data source provider for 1 to 320 minute S&P500 data. Or the ES mini contract.
Can anyone suggest a good source for this?
Thanks!
Andrew
2
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3answers
187 views
What is the better representative of a P-B ratio for a sector?
What is a better representative of a P-B ratio for a sector, for using it as a factor to predict future returns on that sector? The market weighted average of P-B for all names in that index, or ...
1
vote
1answer
80 views
Equivalents of E-minis in markets outside the US
E-minis include some high-liquidity lower margin market index future contracts with round-the-clock trading. However, volumes outside regular trading hours are much smaller.
Are there equivalent ...
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2answers
240 views
Correlation between two indexes
The Global Minimum Variance has an annual return standard deviation of 9.9%. Its correlation with the Standard & Poor's 500 Index is 0.45. What is the annual return standard deviation of the S&...
