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 ...
- 951
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 ...
- 124
8
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 ...
- 4,738
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 ...
- 171
7
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) ...
- 2,588
7
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 ...
- 4,738
6
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 ...
- 2,985
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
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 $\frac{\mu}{\sigma}$ ...
- 1,558
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 ...
- 27.3k
5
votes
Accepted
Sharpe Ratio of ETFs in R
try:
library(PerformanceAnalytics)
SharpeRatio.annualized(Returns, Rf = 0.05, scale = 252, geometric = TRUE)
- 646
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#: ...
- 1,872
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 ...
- 86
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 ...
- 10.9k
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 ...
- 51
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" ...
- 27.3k
4
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....
- 41
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 ...
- 541
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 ...
- 178
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 ...
- 5,662
4
votes
How do you define the NAV of a leveraged ETF?
Are you familiar with how a futures trading account works? You deposit a certain amount of cash. When you "buy" a future this does not use up any cash, nor is the future shown on your ...
- 10.9k
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 ...
- 438
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 ...
- 11.5k
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, ...
- 81
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 ...
- 321
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. ...
- 9,332
3
votes
Accepted
ETF Replication
1) Physical Replication would entail taking actual positions in the full or subset of instruments that comprise the ETF. This method would necessarily require a list of the holdings and weights of ...
- 5,662
3
votes
Accepted
Implementing leveraged Risk Parity Portfolio using Direxion 3X ETF
Apologies in advance for being hyper-critical. I have somewhat strong feelings about this =P
The purpose of risk parity is to improve portfolio efficiency via achieving better diversification. (We ...
- 11.4k
3
votes
Accepted
ETF Market Making
ETF market-making has a more complex mechanism than 'regular' market-making. This answer deals explicitly with open-ended ETFs. I will refrain repeating the details about market-making that most ...
- 4,738
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