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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Does value of a TRS only involve past price movement and not expected returns?

Is the value of a TRS just the difference between the "financing leg" (e.g. the side paying -IBOR plus spread) and "asset leg" (e.g. the side pay income and price changes), with of ...
Five9's user avatar
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Correlation between a stock and the index without the stock

The weight of stock i in index m is w. The returns are, respectively, r(i) and r(m). I know the volatility s(i) of i, the volatility s(m) of m and the correlation rho(i, m) between i and m. The index ...
makpalan's user avatar
1 vote
1 answer
263 views

Why stock beta is not equal to its index weight?

Index is a linear combination of stock prices with known weights. In case index is equally weighted, the weights are fixed. Beta measures stock sensitivity to index - by how much stock moves when ...
Kreol's user avatar
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Predict a company business classification

I am trying to predict whether companies belong to a universe considered by an index provider for a particular thematic index using natural language processing techniques. In this particular example, ...
wissam124's user avatar
1 vote
1 answer
140 views

Total return time series for an interest rate swap

Without paying for a bespoke dataset or tool, how can I go about creating a total return time series for irs eg for 10y sofr swap such that it includes spot price move + carry/roll? I’m doing this so ...
soroso's user avatar
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1 answer
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What does it mean with regards to market conditions that the historical volatility is twice the implied volatility

I am trading the Indian market indices. I calculated the last three years historical volatility. Noted down 1 standard deviation of this value. Then I took a weekly expiry of options on this index and ...
Dsp guy sam's user avatar
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72 views

Arbitrage between gamma and delta on smaller timescale in options selling

I have observed that sometimes (mostly for OTM options) near expiration, an increase in option price cannot be fully explained by delta and theta(given volatility is constant). The gamma spiked the ...
Dsp guy sam's user avatar
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28 views

Replicating Index: Timeframes and Standards for the Quality Factor Construction

I'm presently working on replicating a specific index. The methodology provided by the index provider offers a detailed definition of the Quality Factor. However, there seems to be an ambiguity ...
johndonym's user avatar
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Dynamic Weights for Market Cap Weighted Index [closed]

Let's suppose we're interested in the pricing of a very simple index, with two stocks A and B. Both A and B have 2 outstanding (or floating) shares, and A is priced at 1 dollar per share while B is ...
j1119's user avatar
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1 answer
272 views

Calculate PE ratio of equal-weighted index

I need to calculate Price-to-Earnings Ratio (PE Ratio) of an Equal-weighted index. ...
Maddy's user avatar
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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 ...
lith's user avatar
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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 ...
david.t_92's user avatar
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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.
Anonymous's user avatar
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1 answer
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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 ...
S...'s user avatar
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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 ...
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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 ...
user62533's user avatar
1 vote
1 answer
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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 ...
FixedIncomeprof's user avatar
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1 answer
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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 ...
rb612's user avatar
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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 ...
Vishal Nagwani's user avatar
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1 answer
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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 ...
Girish Kumar Chandora's user avatar
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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 (...
Market Maker's user avatar
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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 ...
carlogambino's user avatar
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1 answer
82 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 ...
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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 ...
Ibrahim's user avatar
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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 ...
Kreol's user avatar
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2 votes
1 answer
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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 ...
qwerty_uiop's user avatar
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2 answers
355 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 ...
fajitas_vol_trader's user avatar
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1 answer
92 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-...
Gerry's user avatar
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1 answer
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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 ...
recisuser's user avatar
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1 answer
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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 ...
Arash Howaida's user avatar
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1 answer
905 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!
Stephen Ge's user avatar
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36 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&...
codenamekale's user avatar
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0 answers
41 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 ...
IMCO's user avatar
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-1 votes
1 answer
120 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 ...
Newbatfin's user avatar
1 vote
0 answers
61 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/ ...
T123's user avatar
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1 vote
0 answers
259 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 ...
shaida faiqi's user avatar
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0 answers
57 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. ...
Yoda And Friends's user avatar
0 votes
1 answer
222 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 ...
user3138766's user avatar
0 votes
1 answer
377 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:...
statwoman's user avatar
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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 ...
GBC40's user avatar
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2 votes
0 answers
460 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 ...
Francis's user avatar
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1 vote
0 answers
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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 ...
AugusteDupin's user avatar
2 votes
1 answer
79 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 ...
Frank Platania's user avatar
2 votes
2 answers
142 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 ...
user avatar
0 votes
0 answers
19 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 <...
blahahaaahahaa's user avatar
2 votes
0 answers
654 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 ...
Francis's user avatar
  • 310
0 votes
1 answer
206 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 ...
user107224's user avatar
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0 answers
51 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 ...
Pedro Pablo Severin Honorato's user avatar
1 vote
1 answer
104 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
Rajeev Bhomia's user avatar
1 vote
1 answer
101 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?
Patrick's user avatar
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