Questions tagged [index]

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26
votes
5answers
50k 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 ...
18
votes
2answers
2k views

Where to find Greeks for futures to form delta-hedged futures portfolio of S&P 500 index/futures

I can't find S&P 500 index (SPX) futures data with Greeks to create delta-hedged portfolios. Do these data exist? I have access to most of the common data sources. In the meantime, I am trying to ...
15
votes
2answers
2k views

Can you replicate an option on an arbitrary basket of stocks?

Since a market index is nothing more than a basket of stocks, you can create your own index by putting together stocks of your choice. The only difference is that you can trade options on major ...
13
votes
3answers
17k views

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 ...
10
votes
1answer
6k views

SP500 sector weights - how do they change?

The weights of the nine S&P equity sector indexes vary over time. One can find measures of them in a number of different formats: S&P 500 Sector SPDRs - historical sector weights Here's ...
10
votes
1answer
480 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 ...
10
votes
2answers
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 ...
9
votes
1answer
424 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 ...
7
votes
1answer
28k 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.
7
votes
1answer
585 views

S&P 500 list of stocks since 1960

I am looking for the S&P 500 index list of stocks for each day since January 1, 1960. Does anyone know where I can find these lists?
7
votes
1answer
457 views

Examples of investable factors via factor funds/ETFs

In the draft chapter about hedge funds of his forthcoming book Andrew Ang postulates the dawn of new factor funds (p. 35 ff.), i.e. funds that directly target factors like volatility, value-growth, ...
6
votes
2answers
1k views

Pair Trading Index Options

Suppose the trade is between Index Options of two Indices X and Y which are quite similar (but not exactly). So for the equivalent strikes, one can quote option on Index X and cover in Index Y. But ...
6
votes
5answers
2k views

CAC40 components historical data

I'm looking for historical data of the CAC40 components. I looked at these previously asked questions: What data sources are available online? Finding historical data for indices as well as Yahoo ...
5
votes
2answers
201 views

Indexes/stocks with flat implied volatilities

After the 1987 crash, the S&P500 index implied volatility changed from nearly flat to negatively sloped. According to Rubinstein the Black-Scholes model was not so wrong when applied to the S&...
5
votes
3answers
835 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&...
5
votes
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 ...
5
votes
1answer
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 ...
5
votes
3answers
3k 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 ...
5
votes
1answer
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 ...
5
votes
1answer
376 views

Average beta of index consitutents w.r.t. the index is 0.60

I have 1 year time series data of 300 constituents of the Australian All Ordinaries index (which is composed of 491 firms). The missing firms are mostly smaller firms. I run the market model $R_{it} =...
5
votes
0answers
179 views

Dividend Index Futures

My question is dealing with the proportionality between Dividend Index Futures prices and Index prices. Indeed, we in the past we used to do a simple regression between these variables and use the ...
4
votes
2answers
456 views

Why use market capitalization weighted index over PCA?

Why is it so popular to use market capitalization weighted indices instead of taking the first principle component that explains the most variation of the constituents? I haven't yet seen an academic ...
4
votes
2answers
175 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?
4
votes
1answer
123 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 ...
4
votes
2answers
113 views

Imputed values in a multi-index

I have an equal-weighted index on a number of different Indices (from US, Europe and Asian markets). This compound index is constructed from a time series that has missing values (for example, those ...
4
votes
1answer
1k views

How to compute the volume of an index from the volume of its constituents?

I'm trying to understand how to compute the daily volumes of the Dow Jones Industrial Average but I haven't found the proper formula yet. I thought it was the sum of the price*volume of each ...
4
votes
1answer
413 views

Annualised Sharpe Ratio for Index vs Index Benchmarking

I am currently writing a paper about the performance characteristics of alternative energy equity indexes and am therefore comparing them to their benchmark indexes (msci world, etc). To calculate the ...
4
votes
0answers
74 views

Is there any index calculation methodology that is suitable when constituents change frequently?

Trying to create a custom stock sector index, however adding/dropping of the constituents will be frequent. Which kind of index calculation methodology (e.g. Price Weighted, Equal Weighted, Cap ...
4
votes
0answers
399 views

Calculating index arbitrage

I have a days-worth of level 2 market data. I am calculating S&P500 index arbitrage. I have a few questions about the calculation: 1) Should I be summing all the bids and asks from the stocks ...
3
votes
2answers
107 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 ...
3
votes
2answers
240 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
3
votes
2answers
113 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-...
3
votes
1answer
149 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 (...
3
votes
1answer
7k 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.
3
votes
1answer
220 views

Index and alpha strategies research analyst

Just found some job offer: Index and alpha strategies research analyst However it seems that the offer is already closed. The thing is I would like to know what are these alpha/index strategies. Can ...
3
votes
3answers
191 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 ...
3
votes
1answer
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 (...
3
votes
1answer
256 views

Need weighted global stock index data (components / weights)

To implement a portfolio generator, I require a set of suitable stocks. Ideally it would use the components of the MSCI World Index and use the index weights for the probability of picking a stock (...
3
votes
0answers
90 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 ...
3
votes
0answers
229 views

Calculating the Hedge Ratio

Suppose we have an index whose value is calculated by a weighted geometric mean. Now we want to recreate the index using its underlying components. How would we go about calculating the hedge ratios ...
3
votes
0answers
280 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 '...
2
votes
3answers
1k views

Get market cap by ticker on 1.7.2013?

I have a list of all S&P500 tickers, e.g. AAPL, GOOG, JPM. I would like to get their market cap on 1.7.2013 (I don't have Bloomberg, only free internet). Is there an excel addin or other tool/...
2
votes
2answers
118 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 ...
2
votes
1answer
411 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/...
2
votes
3answers
105 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.
2
votes
1answer
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 ...
2
votes
1answer
55 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
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 ...
2
votes
1answer
108 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 ...
2
votes
3answers
284 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 ...