# Tag Info

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### 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 ...
• 9,167

### 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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### Why can CDS indices be used as a bond market index?

It is helpful to think of the yield $r_b$ of a risky bond (say a corporate) in your country as the yield of the risk-free government bond $r_f$ plus a "spread" $r_s$ ($r_b = r_f + r_s$). This extra ...
• 1,561
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### How to deal with missing value in a time series stock market data?

Some approaches Use only common points - Exclude all holidays in any index. Reduced sample size Loss of information No 'made up' data (consistency) Fill forward - use previous day as you ...
• 1,049
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### How can index futures trade 24/7 when the index doesn't change?

Theoretically "information" about stock prices is still arriving (including information about developments outside the United States) and the futures market is doing its best in estimating what the ...
• 9,656
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### Where do I get historic performance data of the MSCI World Growth/Value index

This is available directly from MSCI's website: MSCI End of Day Index Data Search. If you click on an index name, you can download the entire history.
• 10.9k
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### Custom Bond Index Construction

As @noob2 pointed out, a Laspeyeres type index is the way to go, so I'll focus on other parts of your question. Nearly all bond indices are rule-based and rebalanced monthly. At the end of each month,...
• 10.9k
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### P/E Ratio of a stock index

The preferred method for calculating the P/E of a stock index depends on how that index is calculated and what you are planning to do with it. Let’s assume the stock index you are looking into is ...
• 606

### 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
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### Quanto Total Return of a Foreign Asset into Domestic

To see the exposure to FX risk and the difficulty for hedging, we assume constant interest rates and constant volatilities. Let $r_d$ and $r_f$ denote respectively the interest rates for USD and EUR. ...
• 20.5k
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### Using Geometric Brownian Motion for Index Options

You are right, a weighted average of GBMs is not a GBM, but something else. Unfortunately the resulting process is not known analytically and therefore people still assume a GBM for indexes. (Keep in ...
• 9,167
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### CAC40 components historical data

I'm not sure if you are looking for the components only or if you want more data, like the weights in the index. Unfortunately, unlike most other data on the web, it's hard to get any good financial ...
• 800
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### Sources of index data (MSCI, FTSE, S&P etc.)?

I dont know of any provider that fulfills your whole requirements, but perhaps I can give you some useful information. General thoughts: Some vendors (e.g. MSCI) can have statements in their license ...

### Historical SPX Intraday data with volume

If you have an Interactive Brokers account, you can get historical intraday index data, including SPX, through their API. Many developers find using the Interactive Brokers API to be a challenge, ...
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### What are the volatility Indices for different asset classes? Particularly fixed income & RE?

I think it's best to start with explaining what the VIX actually is, because I think afterwards it will be clear(er) why indices like that don't exist for everything you ask for (or are not usually ...
• 4,962

### How do you find the corresponding market index of a stock?

Generally, it depends on what you want to do with tbe index beta. If you want to match the betas on popular web sites like Yahoo Finance, then for all U.S. stocks you'd use S&P 500 (even for ...
• 9,983

### Get market cap by ticker on 1.7.2013?

Some of the issues with this sort of request is: a) Today's S&P 500 components are not the same from 1 Jul 2013. By using today's components you are introducing pre-inclusion/survivorship bias. ...
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### 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....
• 31

### comparing total returns from various data vendors

The best way to answer the question is to look at the data. For example, on H&M in April 2000: ...
• 900

### generating (or tracking) the DJUBS commodity index

As it happens, I, in a past life, was part of the team that created the UBS-CMCI commodity indices... Your problem will (probably) lie in mismatch between the methodology of monthly rolls a la the ...
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### Finding historical data for indices

CBOE has something with limited capacity. Yahoo Finance also gives the current option chain. But historical option data is not free. The most affordable I saw is here. I don't know about its ...
• 1,021

### Annualised Sharpe Ratio for Index vs Index Benchmarking

I do not have access to the exact time-series of the MSCI world, but looking at the returns from the tracking ETF, since 2001 the average return is negative. Thus regardless of the risk-free you use ...
• 6,923

### Is there a de-facto standard identifier scheme for indexes?

No there is no "One True Symbology". Infact its even worse as it used to be teh case that some symbologies were proprietary, and we eneded up with Rics, Cusips, ...
• 1,349
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### Index and alpha strategies research analyst

It is a very broad statement that just means that you would research and document the performance of fixed income strategies of two kinds: those that simply follow an index (passive strategies) or ...
• 9,167
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### 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 ...
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### Equivalents of E-minis in markets outside the US

Actually in Europe and Asia many regular (big size) future contracts have a notional similar or smaller than the e-mini sp 500 (<= 110k USD at current market prices). I trade the CAC 40/AEX (on IB ...
• 2,878

### How much money tracks the FTSE?

Every mutual fund/ETF is expected to pay a licensing fee to the index provider for the benchmark it tracks. I don't know whether index providers make that data available. Alternatively, you could ...
• 318
Some additional thoughts (that may be more work than you want to do): Regress fund returns on FTSE 100 index returns and look for $R^2$ above some cutoff. Same thing but take a Bayesian approach, ...