Questions tagged [indexes]

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3answers
88 views

Suppose I know people in S&P and thus know which stock will be added into the index. Is trading on that classified as insider trading? [closed]

It strikes me that the legal definition of insider trading is very difficult from what we commonly think about in finance/economics.
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27 views

Why do only portfolios of indices show elliptical dependence?

Elliptical distributions imply an asymmetric relationship between variables such as financial returns of different assets. I'm guessing this is mainly due to skewness, although I might be wrong and ...
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1answer
85 views

how to construct a diversified portfolio based on correlation

I have a porfolio of indexes and I built up a python model based on spearman correlation (I used a spearman and not a pearson because, after running some test on outliers and normality ...
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1answer
54 views

Annualised returns and volatility for 3 month data

I have a portofolio with 30 indexes and I want to calculate the annulised returns and volatility because I want to compare it with another portofolio with different number of indexes (but same time ...
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145 views

Download historical MSCI/GICS Sector Index data

Similar to Where do I get historic performance data of the MSCI World Growth/Value index, I'm looking for historical data for the MSCI Sector Indexes (Energy, Material, Industrials, Financials and so ...
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0answers
107 views

Portfolio and Risk Management: Total Return Index vs Price Index

For portfolio construction and risk management purposes, when one should use Total Return based Index instead of Price Index? I am looking for pros and cons of using either Total Return and/or Price ...
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2answers
139 views

Why does the coffee price tracking index Dow Jones-UBS Coffee differ so much from the actual coffee price?

I am looking at ETFs that track coffee price indices and I have noticed that there is quite big discrepancy between the ETFs underlying coffee indices (Dow Jones-UBS Coffee is an example) and the ...
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1answer
102 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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0answers
57 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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2answers
106 views

where to download current composition of popular indexes?

What are reliable sources to download plain-text files listing current composition of various popular indexes such as S&P 500 (SPX) or Dow Jones Industrials (DJI) or Nasdaq 100 (NDX) ? At a ...
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1answer
64 views

Are Indices Regulated

Suppose that a bank (or any regulated body) wants to sell and ETF, replicating some index. Does that replicator have to adhere to the Basel accords? Similarly, if a bank (or any regulated body) ...
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2answers
113 views

Properties of an iTraxx index

I am working on maintaining the market data of iTraxx indexes in our systems and I have the following questions: What events prompt change in series and version of an iTraxx index ? Is it after one ...
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1answer
41 views

Large Differences in Open Interest between Similar Strikes

Consider the image attached, showing a part of the options chain for the NDX expiring July 20. What can possible explain such large differences in Open Interest across similar strikes, e.g. 818 at 7,...
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4answers
2k views

Why are stock index futures not used to forecast how much the stock market will rise, given that interest rates futures are used for this purpose?

In news articles, the reader often read interest rates forecasts calculated based on interest rate futures. An example is here; How did traders calculate that the expected number of rate hikes is 4 ...
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0answers
59 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....
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1answer
379 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/...
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2answers
252 views

How to trade the FTSE index long and short

I built a trading model to predict the FTSE index. However, apparently one cannot trade the FTSE directly, but only different underlying products. My model trains on the FTSE index, however tradeable ...
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0answers
62 views

where to find real time data non-delayed of N225 and AXJO

I found marketindex.com real time data for the Austrial market index AXJO. Is there a similar website for the Nikkei Index N225? On all websites it is always 20 minutes delayed, such as yahoo finance....
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1answer
397 views

How to download historical composition of a Stock Index with monthly prices

for a Quantitative project in Asset Management, I need to obtain for each year -on a long period (20 years) - the different historical constituents and their prices on a monthly basis for a given ...
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2answers
581 views

What is the best benchmark index for computing the beta of a multinational company?

I'm running a valuation of a multinational company listed on the AEX (Amsterdam Eurononext). The company has operations in Europe (70%), US (25%) and other (5%). I have historic stock data until from ...
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1answer
2k views

Reliability of CDS indices?

Looking at a time series two North American CDX indexes, one high yield and one investment grade, shows somewhat unexpected trends. CDX.NA.IG seems to be much higher and more volatile than CDX.NA.HY,...