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12

You should consider an unsupervised learning algorithm such as K-nearest neighbor ('KNN'). KNN will measure the distance amongst the observations in your space. You can and probably should consider alternative distance functions (besides euclidean) particularly if you are clustering on features such as returns which have outliers. There are quite a few ...


11

^GSPC is a price index, not a total return index, so it does not include dividends. SPY is an ETF that holds the underlying stocks. When it receives a dividend it keeps it in a cash account (which of course affects the NAV and market value of SPY shares) until the end of the quarter. At that time (on the 3d friday of Mar Jun Sep or Dec) it will pay out the ...


8

Basically the Total Return Index assumes reinvestments compared to "regular" indices. "A total return index is an index that measures the performance of a group of components by assuming that all cash distributions are reinvested, in addition to tracking the components' price movements.1 While it is common to refer to equity based indices, there ...


8

An index is just an abstract concept and does not hold securities. Hence no source of revenue from lending them. A portfolio mirroring an index holds the securities and can in fact generate revenue by loaning the securities to others wanting to short the stocks. This provides a positive bias. That is often offset by a negative bias when the index ...


7

In my mind, there are two questions here: 1) How does DB make money given a zero expense ratio? This is covered by Dirk and Lliane. Basically, DB gets cheap funding and stock loan fees in return for paying marketing / index / hedging costs. The ETF investor gets zero expense ratio in return for taking DB credit risk. 2) Why does it look like the etf ...


7

Are there any other mechanisms at play here which might explain this kind of tracking error? Dirk is right, you often lend the titles internally or not, etc. You can also write calls for your index, this is not orthodox, but it's ETF, there is no orthodoxy there... Edit : With the graph and given the outperforming is seasonnal (around May), I think we can ...


7

Unless explicitly mentioned, iShares ETFs do not apply any currency hedging directly. (See the factsheet for the case of IJPN. The base currency is USD merely because it is the common currency for a set of identical funds offered in many different versions around the world. At the end of each day they mark their books in USD, converting their JPY-...


6

In general, it depends on the particular ETF, and should be checked in the prospectus, but one standard way (e.g. SPY) is to do it on a daily basis based on NAV published after the close. E.g. NAV per share = X$, so the expenses taken out would be X*0.03/(100*252). Again usually ETF's have cash component (with aggregated dividends etc), so there's no problem ...


5

Quant Guy's answer is quite informative for your question already. Just to add few other things: instead of figuring out the choice of features by your own brain, you could also use machine learning techniques to help in extracting the 'features' for your specific purpose, e.g. risk modeling or returns forecasting or portfolio construction as mentioned by ...


5

Probably missing something here but if $X$ has $E(X) = \mu$ and $variance(X) = \sigma^2$ then $2X$ has $E(2X) = 2 \mu, variance(2X) = 4\sigma^2$. Thus the sharp ratio defined as $\frac{\mu}{\sigma}$ stays the same for the 2x leveraged and the regular index.


5

This is a very good question. It can be argued that risk parity is one example of a smart beta strategy. Yet it is important to understand that both are coming from two different directions: risk parity is basically a form of risk management (in the sense of risk-adjustment) because its basic approach lies in diversification - like the alternative methods ...


5

On more than a few occasions, I have attempted to extrapolate the current trend towards passive allocation to its logical conclusion: more passive allocation means more inefficiency. I am not aware of any research which directly measures the correlation between market efficiency and active versus passive allocation. In general, the level of market ...


5

try: library(PerformanceAnalytics) SharpeRatio.annualized(Returns, Rf = 0.05, scale = 252, geometric = TRUE)


5

If you are looking for the official SEC filings then EDGAR is your best bet. QQQ is still listed under PowerShares, the old (and better IMHO) name for Invesco. POWERSHARES QQQ TRUST, SERIES 1 CIK#: 0001067839 This link should get you what you need; https://www.sec.gov/cgi-bin/browse-edgar?action=getcompany&CIK=0001067839&type=&dateb=&owner=...


4

I would look to run a pre-optimization routine over the whole universe of 200+ ETFs. I would use this pre-optimization to reduce the universe to a cardinality that provides optimal diversification effects. You can do that by first looking at pair-wise correlations and then also run optimizations to reduce portfolio variance by utilizing the covariance ...


4

There is a good article in Seeking Alpha but if you did a Google Search you probably found it already. Some ETF's work through swaps with a counterpart, but you will never know who the counter-part is. As you said it depends on the type of ETF, with a UCITS ETF you're not supposed to have a big counter-part risk as you own the underlyings, when it's ...


4

To answer your questions: 1) Yes, the above table is correct 2) Your results are correct except..... 1X loss = 9.6%. When you combine both positive and negative changes, it is the MEDIAN value that is of interest. Here are some links: http://www.futuresmag.com/Issues/2010/March-2010/Pages/Trading-with-leveraged-and-iinverse-ETFs.aspx http://...


4

I don't have much experience in the matter, but I've been doing some related literature research recently and I think these links can be helpful: A rather recent study from CME A (possible a bit biased) report by BlackRock A report by Lyxor (asset manager affialiated to Societe Generale)


4

There are plenty of sites you can get this information from. etfdb.com and etf.com are two of the bigger ones. See this for an example: http://etfdb.com/etfdb-category/europe-equities/ http://etfdb.com/tool/etf-stock-exposure-tool/


4

The fair price can be calculated by [Net Assets / Shares Outstanding]. In reality the ETF should trade at a slight premium to this calculation due to the convenience of having many assets bundled in one, thus reducing your brokerage expenses in the form of transaction fees to construct a similar portfolio. From this link: (https://advisors.vanguard.com/...


4

Leverage: futures usually require much lower margin than their ETF counterparts. For example /ES (E-mini S&P 500 futures) requires about \$4K overnight maintenance margin per contract (may vary by brokerage) to control 50 times the S&P 500 index (currently valued at about \$108K). This is over 20:1 leverage. Furthermore you do NOT pay interest on ...


4

First, you might find this recent paper by Israeli, Lee and Sridharan (Review of Accounting Studies, forthcoming) interesting. This is the abstract: We examine whether an increase in ETF ownership is accompanied by a decline in pricing efficiency for the underlying component securities. Our tests show an increase in ETF ownership is associated with: (1) ...


4

No need to scrape the site. That should always be a last resort. The below will import the .csv file you are asking about and save it to a directory of your choice. If you don't want to specify a directory can eliminate dir and any references to it and the file will go straight to your working directory. I usually save data separately hence that option. ...


4

Delta one trading desks provide synthetic exposure to their clients. OK, so what does that mean? Delta One desks give their clients exposure to a product (stock index, ETF, or even a single stock) without the client actually buying the underlying product. For example, a customer can take their money and buy the stocks in the SP500 index. Or, they can ...


4

Put simply, VIX is a spot index (fair value to a variance swap on SPX of constant maturity) that you cannot own as a security. Market participants create futures for you to trade. Futures trade higher than the VIX -- if you long VIX futures, you lose when the futures contract converges to VIX. You therefore have a negative roll-down. VIX ETF doesn't avoid ...


3

The futures price goes to the spot price as time to maturity declines, not vice-versa. The difference is referred to as basis. That's not really what roll yield is about though. The roll yield aspect is that as the contracts the ETF holds are expiring, they are close to the spot price. However, the next futures contract's price is higher than the price of ...


3

Here couple ETFs that may satisfy what you are looking for: http://www.quant-shares.com/etf-list/ http://www.etc.db.com/GBR/ENG/Institutional/Downloads/ISIN/Factsheets/GB00B4N0QN94 http://guggenheiminvestments.com/products/etf/wmcr http://etfdb.com/type/investment-style/high-beta/ Those include ETFs with a momentum approach, mean-reversion approach, micro ...


3

Vanguard S&P 500 index fund tracks the index and not the total return because it pays dividends out to the owners of the fund... some investors reinvest the dividends, some investors spend their dividends, etc., so, because they cannot control the reinvestment and distribute the dividends, they benchmark against the S&P 500 index and not the total ...


3

I recommend you read the Financial Stability Board report. FT Alphaville provides a nice summary of the report with plenty of links to investigate further.


3

It depends a lot on the structure of the ETF, it could be : * In the "terms and conditions" of the (highly possible) total return swap of the fund * Portfolio insurance * Option combination (or cap & floor) I think it's in the swap details, already saw that a few times.


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