Questions tagged [index]
The index tag has no usage guidance.
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Calculating Risk of Portfolio of Futures/Future Options
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 (...
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48 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 ...
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2answers
54 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 ...
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2answers
55 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 ...
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0answers
24 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 ...
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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?
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1answer
58 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 ...
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1answer
57 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 ...
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0answers
16 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 ...
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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 - ...
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1answer
100 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, ...
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1answer
80 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 (...
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1answer
113 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 <...
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1answer
162 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 ...
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1answer
97 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 ...
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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 ...
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0answers
45 views
MOM-TOM effect, Replication strategy
I have several questions on Otto van Hemert paper "The MOM-TOM effect:
Detecting the market impact of CTA trading" (link). In section 3 he proposes a replication strategy for the Newedge Trend Index ...
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0answers
44 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....
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1answer
89 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 ...
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1answer
184 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 ...
1
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1answer
374 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
100 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
181 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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1answer
91 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 ...
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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
389 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 $...
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1answer
295 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
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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
239 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 ...
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1answer
687 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 ...
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0answers
110 views
Why is turnover not equal zero for an Equal Weighted Portfolio?
I am working on a comparison between the three portfolio heuristics for asset allocation: Minimum-Variance, Risk Parity and Equal Weighting.
With regards to Turnover (which I understand to be ...
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1answer
93 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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100 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, ...
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1answer
49 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
439 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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0answers
59 views
PCA: FTSE100 or any other index
I am relatively new and want to do a Principle Component Analysis (PCA) of the FTSE100 or any other index. What's the best way to downloaded the constituent parts of the index so that I can perform a ...
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1answer
108 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
84 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
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3answers
184 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 ...
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1answer
68 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
208 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&...
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1answer
139 views
What are the difference between LCDX vs CDXHY?
I would like to understand what the main differences between LCDX and CDXHY are.
Also, can anyone explain what the cancellable feature for LCDS, which is not there for CDS's, is and what it means for ...
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1answer
51 views
translating performance from EUR to USD [closed]
can someone please let me know how to translate a performance return from USD to EUR. For instance, I have a time series (return) over 7 years from an US hedge fund and would like to translate it into ...
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1answer
101 views
ETFs - Do they impede the free float statistics?
Do ETFs impede the free float statistics?
A considerable share of ETFs does the physical replication, so that large number of shares seem to be frozen/parked in those funds.
Is this the case? Do ...
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2answers
202 views
Interpretation of Excess Return
How is excess return defined for a given asset?
There are altogether two different definitions for excess return used in the calculation of alpha and beta and I'm unable to understand which one ...
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1answer
154 views
Quanto Total Return of a Foreign Asset into Domestic
Say we have a product that pays the following at expiry $T$:
$$\text{Payoff}_{in\ USD} = \text{Notional}_{in\ USD} \cdot \frac{DAXLevel_{in\ EUR}\ at\ t=T}{DAXLevel_{in\ EUR}\ at\ t=0}$$
i.e. it ...
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1answer
11k views
Where do I get historic performance data of the MSCI World Growth/Value index
I'm looking for a free data source of historical performance data of the MSCI world Value- and Growth index. The data should be calculated with reinvested dividends.
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1answer
524 views
DAX - company's weights
How often are company's weights being changed on DAX?
Where can I find historical data of DAX weights?
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3answers
255 views
How to apply the CAPM to 6 stocks from different markets?
I would like to apply the capital asset pricing model (CAPM) for selecting proportions of 6 different stocks. In introductory books, the CAPM model assumes that there is one market index (e.g. the S&...
