Questions tagged [sp500]

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Why does not index (S&P500, NASDAQ, Dow Jones, etc), use liquidity?

Stock indexes such as SP500, NASDAQ, Dow Jones, etc all try to capture the temperature of the market. If the market cap of the companies in the market increase, the index increase. But, imagine a ...
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0 answers
13 views

Create a turnover based stock index, for non liquid stocks?

I want to create an stock index that use the turnover, and not the price. How to do that? The problem I am trying to solve, is that if one stock has a very low trading volume, but the stock price is ...
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0 answers
21 views

How to download the record of firms included in the SP100 index?

I need to download a dataset that describes the constituents of the SP100 index over time. I have an account on WRDS and hence I can get the constituents of the SP500 fairly easily, but it seems that ...
1 vote
1 answer
108 views

Why do better-performing index funds not get a higher weight? [closed]

Most financial advisors recommend to inexperienced investors to put a large part of their investment in broad index funds (e.g. SPY). They will usually reiterate that most actively managed funds ...
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3 answers
7k views

What is the difference between ^GSPC and ^SPX in yahoo finance? [closed]

I have understood that both display the same valute (S&P 500) but in ^SPX there are more option's data (more expiries).
1 vote
3 answers
175 views

Uncorrelation between SP500 and USDJPY?

I'm planning to start a strategy on SP500 hedging losses on USDJPY, because USD usually goes the opposite of SP500. I'm also considering other symbols (USDCAD, USDCHF, USDX) I just took the charts of ...
0 votes
0 answers
269 views

Why is the adjusted close equal to the "normal" closing price of the S&P500? (Yahoo finance)

I was looking for both the daily adjusted close and the normal close of the S&P500. On Yahoo Finance i found data that included both of these prices, but the two were identical. These are the R-...
1 vote
2 answers
1k views

Pricing binary options

A binary option pays an amount of money if an event takes place and zero otherwise. Binary options are usually used to insure portfolios against large drops in the stock market. On March 25, 2021 the ...
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0 answers
37 views

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 ...
3 votes
2 answers
4k views

How are the divisor of SP500 determined?

I read through the definition of S&P 500, there is no clear explanation of the Divisor. I wonder what is it and where can I read more about it?
1 vote
0 answers
77 views

How much of historic S&P500 gains are from price appreciation vs. dividends?

Several sources suggest 70% or so of Stock Market (S&P 500) gains are from Dividend payments (according to several sources, below) But dividend payments average for the S&P 500 have been about ...
0 votes
2 answers
207 views

Daily US stock price data provider with opening Auction prices

I'm looking for a data provider with historical open auction prices (i.e. not opening trade as found on most providers) for SP500 stocks. This is the price obtained by a MOO order. Thanks.
1 vote
1 answer
302 views

where to find historical ticker data for securities no longer in s&p 500 index?

im looking for the complete intraday ticker data time-series for a number of securities that formerly were part of the s&p 500 index. eg. PGN, Progress Energy Inc, removed from index 2012 because: ...
2 votes
1 answer
458 views

Did I correctly calculate all the elements of the Sortino ratio?

I wish to verify my understanding and correctness of my methodology with this question, when calculating the sortino ratio for the SP500. My base data is the total returns SP500 index from Yahoo ...
1 vote
2 answers
122 views

How to find/calculate daily S&P500 dividends?

I need a time series with daily dividend data on the S&P500. I understand most dividend data is on a quarterly basis but I'm looking to model short-term effects of COVID-19 on dividends so I need ...
2 votes
1 answer
1k views

Finding ISIN of current/past futures

Where can I find the ISIN of futures on say SP500 eg ESM20? Is there a way to retrieve ISINs for past futures contracts?
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224 views

Correct way to calculate the S&P500 average CAGR of earnings over 10 years rolling periods

Let's say we have only the following data for the earnings (e) and we calculated for each 10 years period the total earnings growth (G) and its Compounded Annual Growth Rate (AG) \begin{equation} \\...