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20 votes
Accepted

Why the difference between SPY and ^GSPC?

^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 ...
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14 votes

Difference between S&P 500 index and S&P 500 Total Return index?

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 ...
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10 votes
Accepted

Large trend-followers: why use futures rather than ETFs?

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 ...
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8 votes
Accepted

Why not just be long VIX and wait for the next volatile period?

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 ...
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7 votes
Accepted

Automatically get iShares ETF holdings

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 ...
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6 votes

Delta One Trading business

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) ...
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6 votes
Accepted

How to calculate the net return of each "partner" at different times?

Generally, managers take subscriptions and redemptions periodically, the frequency of which is defined in their offering documents. At the end of each period (daily, monthly, quarterly, etc), a NAV ...
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5 votes

Sharpe ratio with leveraged ETFs

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 $\frac{\mu}{\sigma}$ ...
  • 1,421
5 votes

Difference between S&P 500 index and S&P 500 Total Return index?

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 ...
  • 59
5 votes

Are smart beta and risk-parity the same?

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 ...
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5 votes
Accepted

Does the rise in passive investing make the markets less efficient?

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 ...
5 votes
Accepted

Sharpe Ratio of ETFs in R

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

QQQ fillings history

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#: ...
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5 votes
Accepted

Do passive ETF fund managers care about profolio metric such sharpe ratios and sortino ratio?

Portfolio risk metrics matter a lot for all fund managers. Though certain type fund vehicles can have completely different sets of performance metrics. It's hard to imagine a Venture Fund analyzing ...
5 votes

Do passive ETF fund managers care about profolio metric such sharpe ratios and sortino ratio?

The Sharpe ratio and the Sortino ratio are not under the control of the ETF managers, they will be equal (or very close) to the ratios for the Index that the ETF tracks. There is not much room for ...
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4 votes
Accepted

How to properly assess the costs of replicating an index via futures contracts?

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 ...
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4 votes
Accepted

Getting ETF data from google finance

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....
  • 2,079
4 votes

How to trade leveraged ETFs

Quite a good article can be found here: http://seekingalpha.com/article/3140956-investing-in-leveraged-etfs-theory-and-practice Just selling a pair of leveraged ETFs to harvest the "volatility decay" ...
  • 27k
4 votes

How can I calculate the fair value of an ETF using the current price of each of its holdings?

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 ...
4 votes

Does the rise in passive investing make the markets less efficient?

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 ...
  • 211
4 votes

Slight confusion regarding arbitrage opportunities in ETFs as mentioned by investopedia

Yes. Your understanding is correct. The only thing that keeps the ETF price in line is the aggregate market participants willingness to keep it in line. Under normal circumstances, that willingness is ...
  • 531
4 votes
Accepted

How did the SVXY ETF (-1x VIX) survive a 115% jump in VIX?

The CBOE VIX index is an aggregated spot value calculated from options. The index itself cannot be traded. Volatility ETPs are usually designed to track an underlying index on VIX Futures that is ...
4 votes

Does inflows to ETF affect equity prices?

Most likely. If the ETF has more buyers than sellers, the sponsor or authorized participants will have to create units of the ETF. In order to create units of the ETF, they will have to go to the ...
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3 votes
Accepted

Why is the value of the VXX ETN always above short-term VIX futures prices?

The price of VXX ETF should not be the price of the mentioned basket of VIX futures. It is the change in price of VXX (the return) what should be equivalent to the change of price of the futures ...
3 votes
Accepted

Why is the volume of a product like SHV so high?

Firstly, Volume doesn't equal movement. The best thing is to look at what it represents. SHV is the iShares Short Treasury Bond ETF. This means it tracks short-term treasury bonds. Many forms of ...
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3 votes

Difference between S&P 500 index and S&P 500 Total Return index?

I believe the exact answer to the question of what the S&P 500 price number assumes you do with the dividends is that you do NOT receive them at all. They are not included in the calculation AFAIK....
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3 votes
Accepted

ETFs - Do they impede the free float statistics?

It is a complex question. The first answer should be investors who bought these ETFs would otherwise have invested on equities (say we talk on Equity ETFs) a buy and hold way. Seen like this ETFs ...
  • 10.7k
3 votes

Database of ETF and underlying index from Thomson Reuters or Bloomberg

You can find the underlying data for the big indices, such as S&P 500, on our website www.simfin.com, freely available and instantly downloadable as excel. To this date, we have financial ratios, ...
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3 votes
Accepted

What's the most accurate benchmark index for US corporate and treasury bonds

AGG tracks the Bloomberg Barclays US Aggregate Bond Index, which goes back to the early 1980s. Daily data is available on Bloomberg (ticker: LBUSTRUU). As for publicly available data, FRED has some ...
  • 301
3 votes

Justification of Levered ETFs?

A margin loan and a levered ETF work differently. Suppose you have 1000 cash in your account and you want to buy 2000 dollars of SPY. On margin, the loan will be -1000 and your equity will be 1000. ...
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