# Tag Info

17

^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 ...

14

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 ...

10

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 ...

8

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 ...

7

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. ...

6

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 ...

6

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 is struck, redemptions are processed, and subscriptions are processed, in that order. Striking a NAV is something that has to be done before any subscriptions ...

5

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 ...

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=...

5

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 their portfolio using Sharpe and Sortino. Passive ETF funds probably care about Asset Under Management (AUM), inflow/outflow, and top allocation the most. Since ...

5

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 differentiation here. To make their ETF attractive to customers, fund managers care about the tracking error between their fund and the index. They would like ...

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

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

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

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

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 available usually in plenty of volume for most any size of ETF trader. Consider there to be a continuum of ability to be able to purchase or sell at NAV. On ...

4

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 tradeable. In the case of SVXY, it is stated in their prospectus that it tracks The S&P 500 VIX Short-Term Futures Index. Credit Suisse's XIV follows the exact ...

4

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 market to purchase the underlying shares. More buying of the shares tends to make the share price increase. Edit: I say most likely because the ETF and the ...

3

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 balanced portfolios require some portion of funds in bonds. This ETV is an easy vehicle to get fractional exposure to bonds. As far as "has not moved much" is ...

3

It depends on your ETF. Some have synthetic exposure to the index sold by a sponsor (ie someone give them exactly the performance of the index) but this has a cost (a constant / deterministic drag on the NAV of your ETF which doesn't appear in your tracking error). Futures on the other hand have basis, are sensitive to changes in implied dividends and ...

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

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. So, yes, the price of one of the 500 companies drops a bit with a dividend payment (actually on the ex-dividend date), and the index drops a tiny bit because ...

3

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 basket with 1 month average maturity. That is because the VXX ETF works as an open end fund, so its price is just the price of a share of that fund, which has an ...

3

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" is comparable to a short straddle... highly skewed and therefore quite dangerous (from the article): There are no free lunches in the market. The apparent ...

3

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 concentrate assets under management (AuM) on stocks being parts of indices or "factors". On the paper these stocks should be chosen to be liquid enough to support ...

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