Questions tagged [index]

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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 ...
0 votes
2 answers
165 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 ...
1 vote
0 answers
42 views

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 ...
1 vote
1 answer
625 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 ...
0 votes
0 answers
26 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.
2 votes
3 answers
301 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 ...
0 votes
1 answer
99 views

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 ...
2 votes
1 answer
152 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....
0 votes
1 answer
27 views

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 ...
0 votes
1 answer
264 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!
0 votes
0 answers
24 views

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 ...
0 votes
0 answers
49 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 ...
1 vote
1 answer
331 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 ...
1 vote
1 answer
107 views

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 ...
1 vote
1 answer
70 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 ...
0 votes
0 answers
45 views

API for making investments into index funds?

I'm looking for an API that would allow me to automate a monthly investment into an index fund ideally in UK or US. I've looked at upvest but waiting to hear back from them. Are there any other APIs I ...
0 votes
1 answer
81 views

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 ...
0 votes
0 answers
486 views

Aren't options priced asymmetrically for Inverse and Leveraged ETFs, for the same underlying index?

I ask merely about pairs of Bear (Inverse) and Bull (Leveraged) ETFs for the same underlying index. The Bear ETF's price shall be bounded below by 0. But the bull ETF's price is unbounded. But doesn't ...
1 vote
1 answer
108 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 ...
0 votes
0 answers
70 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 (...
1 vote
0 answers
24 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 ...
0 votes
1 answer
54 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 ...
7 votes
1 answer
31k 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.
0 votes
0 answers
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 ...
0 votes
0 answers
30 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 ...
1 vote
1 answer
139 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 ...
0 votes
1 answer
66 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-...
0 votes
0 answers
53 views

How do you hedge a portfolio against a factor using index Futures?

How do you hedge a portfolio against a factor using index Futures? I constructed a long/short portfolio and dynamically hedge against an index, beta hedge. I realized that my portfolio is highly ...
0 votes
1 answer
44 views

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 ...
0 votes
0 answers
16 views

How is the ISM's Supplier Deliveries Index calculated?

I've been trying to look for it but I cant find the answer. What they considered a delayed good? +24h? 1 week? Just good that have not been delayed on time?
0 votes
1 answer
84 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 ...
0 votes
0 answers
34 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&...
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0 answers
37 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 ...
-1 votes
1 answer
68 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 ...
1 vote
0 answers
54 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/ ...
1 vote
0 answers
151 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 ...
10 votes
2 answers
4k views

How can index futures trade 24/7 when the index doesn't change?

I have read that the E-Mini S&P 500 Futures trade 24/7, how is that possible? I mean the underlying stocks which form the index are traded from 9:30am-4pm - so outside of these hours the S&P ...
0 votes
1 answer
176 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 ...
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0 answers
50 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. ...
0 votes
1 answer
293 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:...
1 vote
0 answers
111 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 ...
1 vote
0 answers
210 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 ...
1 vote
0 answers
51 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 ...
5 votes
2 answers
9k views

How to get real-time data for Fama-French model?

For Fama-French model we need SMB (small[market cap] minus big) and HML (high[book-to-market-ratio] minis low). I want to ...
2 votes
1 answer
65 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 ...
2 votes
2 answers
127 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 ...
0 votes
0 answers
17 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 <...
0 votes
1 answer
189 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 ...
2 votes
0 answers
312 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 ...
0 votes
0 answers
35 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 ...