Questions tagged [index]

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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 ...
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25 views

Index CDS - trade between EDD and auction date

The ISDA CDS standard model examples document here outlines the calculation of accrued on single name CDS for defaulted entities i.e. where the Trade Date is after Event Determination Date but before ...
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1answer
141 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 ...
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2answers
8k 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 ...
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1answer
51 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 ...
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1answer
394 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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2answers
115 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 ...
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0answers
13 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 <...
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1answer
171 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 ...
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0answers
89 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 ...
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0answers
27 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 ...
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1answer
49 views

What happens to bond indices, say IBXXIBHY, when any underlying bond matures?

This Index tracks HYG ETF, so What happens to that will help, if someone can explain. Thanks
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1answer
58 views

Event study using sector indices

Analyzing Covid-19's impact on different sectors I would like to use sector indices. Can you use CAPM or similar to calculate abnormal returns of indices or does it only work with stock prices?
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3answers
182 views

Why are Index/ETF put option volumes generally higher than the call option volumes?

It seems like put options on Index/ETFs generally have 50% more volume than call options, in terms of notionals. We don't see the same put/call volume ratios in single stocks. Why is that the case? I ...
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2answers
186 views

CDX index versions after series maturity

Can someone explain the situation when the next version of some CDX index is created after index maturity, so the version is created, but that version is not being traded as series already matured? ...
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2answers
104 views

ETF Arbitrage and Tracking: Impacts of a debt crisis

I am interested in the impacts of a debt crisis on the tracking ability of an ETF. In particular I have read that the market makers for ETFs often take on large short-term loans in order to create or ...
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0answers
27 views

What are the components of VXN?

What are the exact components of VXN -- the volatility index for NASDAQ-100? The CBOE page links to the document for VIX, which clarifies the exact set of front-month near-the-money SPX options used ...
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1answer
478 views

generating (or tracking) the DJUBS commodity index

Dow Jones and UBS publish one of the most popular commodity index families, the Dow Jones-UBS Commodity Index and its subindices. They provide a detailed manual describing the composition of the index ...
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2answers
234 views

Why Index Futures can be used as a Market benchmark?

I heard that we can use, say, Eurostoxx Futures as a benchmark to compute the beta of the index's components. Is this relevant? If so, how do we deal with the futures' expiry? Thanks
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4answers
202 views

Index Replication

I am a first year university student. I am trying to replicate an Index, for instance SP500. But instead of doing a full replication (by buying all the stocks), I wonder : How can I choose a portfolio ...
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3answers
101 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.
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2answers
113 views

Historical SPX Intraday data with volume

I am looking for historical SPX 1minute data containing volume. Anyone knows where to get them from? Thank you,
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1answer
6k views

What is the difference between STOXX and STOXXE?

Could anyone explain the difference between STOXX and STOXXE? Which is the right index for benchmarking European stocks? Thanks.
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1answer
389 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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0answers
54 views

Futures Carry for Index Spread Trade

This question is about a leveraged trade involving index futures. Let's use an example of buying two contracts YM futures and selling three contracts RTY futures. CME will give the trade a margin ...
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0answers
16 views

Help me understand how to calculate a laspeyres index

I'm trying to write a small software to calculate a laspeyres, as an exercise, but not having a finance background it's a bit hard to understand some stuff. I'm having problems calculating this ...
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1answer
152 views

Most liquid index options?

I need to work with option prices in my master's thesis. Specifically, I investigate index options (S&P 500). Which kind of options could you recommend to use? I have seen that there are options ...
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1answer
451 views

Download historical index data, like SP500, using Python. History going back to at least 1960, if not further back

I want to download historical data for different indices. I am using Python for this. I used the following code. ...
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2answers
77 views

How is the risk premium of the index estimated?

In the construction of an index model, we often use the expected return of a security, including surprises, for analysis. To calculate this, we must estimate the risk premium of the index. Since we ...
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1answer
53 views

Why do surprises in macroeconomic variables average out to zero?

In the book Investments (Bodie, Kane, Marcus), in chapter 8, the authors discuss index models (page 247) and, in its context, systematic risk. The authors state, without explanation, that the market ...
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1answer
101 views

How to price complex corporate actions with spinoffs

Let's look at below UTX/RTN merger as an example: https://www.fool.com/investing/2020/03/30/raytheon-united-technologies-merger-gets-green-lig.aspx The merged companies will from that moment ...
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2answers
3k 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 ...
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1answer
79 views

Do NASDAQ and Russell 2000, 3000 Indices have total return indexes for gross and net? What are they labeled?

Do NASDAQ and Russell 2000, 3000 Indices have total return indexes for gross and net? What are they labeled? I know the S&P has a gross TR index with the ticker SPTR and net SPNTR, so I'm ...
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5answers
47k views

Difference between S&P 500 index and S&P 500 Total Return index?

There's the standard S&P 500 index (SPX) and the rarer used S&P 500 Total Return index (SPTR). If you compare graphs, you'll find that the latter grows faster. Supposedly, SPTR assumes ...
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29 views

Calculation of CPI

My class was canceled due to the coronavirus and I am supposed to solve the following problem: Assume that the consumer consumes only two goods, and his utility function is $u=x_{1}x_{2}$. Last year ...
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1answer
152 views

Downloading all stocks of an index from CRSP

I am new to the CRSP database and wanted to ask if it's possible to download all the stock prices/returns (daily or weekly) of e.g. the NASDAQ Index (just like in Bloomberg)? And if yes, how exactly? ...
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1answer
132 views

Rebalancing Bond Indexes

I am trying to make an index for the bond market in my country, which will be modified daily. For simplicity, suppose that I only have three bonds. Additionally, suppose that I am interested in ...
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1answer
35 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 ...
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2answers
81 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 ...
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2answers
112 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-...
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1answer
1k 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
67 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 ...
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2answers
208 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
127 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 ...
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1answer
234 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 ...
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1answer
83 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?
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0answers
475 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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2answers
467 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
62 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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32 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 ...