Questions tagged [index]

An index is a reference portfolio that can be used, either to benchmark the performance of an investment strategy, either to create products (Futures, Structured Products).

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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
1 answer
60 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?
15 votes
3 answers
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Why the difference between SPY and ^GSPC?

Look at SPY vs ^GSPC -- the difference seems bigger than can be explained by the ETF fees. Is it only because of SPY re-invests dividends quarterly or something else? Since ...
1 vote
1 answer
131 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
1 answer
334 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 ...
3 votes
0 answers
337 views

Is there any quantitative index to describe the strength of a 'trend'? [closed]

I am using a trend following strategy in the stock market. If you look at the price chart, you can tell one stock's trend is stronger than the other. Now I want to develop an index to calculate the '...
1 vote
0 answers
62 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 - ...
3 votes
1 answer
214 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
1 answer
545 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 <...
2 votes
1 answer
3k 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 ...
0 votes
1 answer
3k views

Markit PMI vs ISM PMI

What is the difference between the Markit Manufacturing PMI and the ISM Manufacturing PMI? The monthly number differs a lot, my understanding is that they are trying to indicate the same thing.
1 vote
2 answers
839 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 ...
1 vote
1 answer
326 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
0 answers
62 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 ...
3 votes
1 answer
1k 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 (...
1 vote
1 answer
64 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
1 answer
972 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
1 answer
590 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
1 answer
453 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/...
1 vote
2 answers
227 views

Major categories of tradable securities and the ETF's that track them?

I'm just starting to learn about quantitative finance and I'm overwhelmed by the amount of tradable securities out there. I'm seeing all these things like VXX, TLT, TMF, SPY, SPXL, HYG, VWEHX and so ...
1 vote
1 answer
516 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 votes
1 answer
83 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 ...
2 votes
0 answers
855 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 $...
5 votes
1 answer
1k views

Open source equity/bond index data

I have been using the tseries package of R (get.hist.quote) to get historical quotes for various indices from yahoo finance. I am interested in DAX, VDAX, EB.REXX ...
4 votes
2 answers
177 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?
5 votes
3 answers
1k 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&...
0 votes
2 answers
563 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 votes
1 answer
2k 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 ...
4 votes
1 answer
160 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 ...
1 vote
1 answer
992 views

Difference between CRSP equal weighted and composite index

I am a bit confused about the overall CRSP total market return index and the equal weighted index. I know that the value weighted index places a weight on each firm by their respective market values ...
2 votes
3 answers
338 views

Timing of S&P 500 Component Changes - Pre or Post Market?

When S&P 500 has a component change is the change made before market open or after the close. For example on March 3rd announement by S&P that UDR replacing GMCR after close of trading on ...
0 votes
0 answers
234 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, ...
3 votes
3 answers
392 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 ...
0 votes
1 answer
61 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 ...
1 vote
0 answers
812 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 ...
1 vote
2 answers
112 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 votes
1 answer
133 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)...
1 vote
1 answer
160 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 ...
-1 votes
1 answer
356 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 ...
0 votes
2 answers
454 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&...
0 votes
1 answer
74 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 ...
1 vote
1 answer
291 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 ...
1 vote
1 answer
308 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 ...
1 vote
1 answer
676 views

DAX - company's weights

How often are company's weights being changed on DAX? Where can I find historical data of DAX weights?
0 votes
2 answers
365 views

GARCH model is better for index than stock

We have used a standard GARCH(1,1) model with t distributed innovations for daily data of S&P index and JPM stock. Question: is there any financial or statistical reason why the GARCH model ...
5 votes
1 answer
2k views

comparing total returns from various data vendors

I need to use various data sources to cover all of my data, and I am concerned by the discrepancies in total returns. Data vendors were helpful, but their simple documentation did not help resolve why ...
9 votes
1 answer
502 views

Why can CDS indices be used as a bond market index?

I don't understand why the iTraxx indices family, which are credit default swap indices, are in practice often used to gauge the bond market. How are CDS prices related to bonds prices? And what other ...
2 votes
0 answers
129 views

Equity Index Announcement Data

Does anyone know of a data source that provides announcements of future index events (adds/drops/re-balances), specifically for equity indexes? I know these are mostly available somewhere on each ...
2 votes
1 answer
2k views

Historical book value data for S&P 500

In Graham's Intelligent Investor, he calculates a metric Earning/book value. I would like to calculate the same ratio in modern times (1960-2015) but am having trouble finding this data. I have found ...
5 votes
3 answers
4k views

Sources of index data (MSCI, FTSE, S&P etc.)?

Who are the major suppliers of index data that cover multiple index providers, e.g. MSCI, FTSE, S&P etc? There are a huge number of people sourcing e.g. equity data, but index data is much harder ...