# Tag Info

18

^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

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 spread is the extra yield that the market needs to be paid to purchase the corporate bond instead of buying an equivalent amount of risk-less bonds. In other ...

7

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 suggested. Issue here is that jumps in the market over holidays are recorded as zero change then a big change. Linear interpolation - linearly interpolate the price ...

6

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 price of the index would be if it was trading. In practice, during the night, traders are following the foreign markets (Europe, Asia) and adjusting the price of ...

6

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.

6

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, based on a pre-determined set of rules (countries, credit rating range, maturity range, minimum par amount, etc.), you select a basket of bonds. This basket ...

5

The volume reported for the DJIA is the sum of the volumes (in shares) of the individual components, including trades executed on their respective primary markets only. For the 23rd of August, it looks like: Ticker Exchange Shares Traded MMM New York 496,789 AA New York 2,400,280 AXP New York 613,379 T New York 4,...

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

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. Moreover, let $X_t$ be the exchange rate at time $t$ from one unit USD to units of EUR. Finally, let $S_t$ be the price level of DAX at time $t$. We assume that,...

4

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 data for free. The only easy way is to pay for accessing it through a financial data provider such as Bloomberg (with MEMB function when you select an index). ...

4

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 agreements that prohibit an entity from storing historical data older than e.g. 3 years. This could be one obstacle in finding a supplier who has full 10 year ...

4

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 mind that the real life processes, for both stocks and indexes are not exactly GBM anyway. It is just an approximation. If anything GBM is a better fit for ...

4

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, especially for collecting large amounts of data. If you want a more turnkey access, you can check out QuantRocket, which provides data collection tools on top of ...

3

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. Are you going to be able to find data on the delisted stocks? eg. Since 1 Jul 2013, Sprint Corporation, BMC Software, NYSE Euronext, Molex, Life Technologies, ...

3

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 validity but their structure seems good and almost clean. More importantly, data seems reliable. p.s. I am not sure if providing the paid data link is within T&C ...

3

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 best way to answer the question is to look at the data. For example, on H&M in April 2000: Close Price Div 31/03 240 13/04 236 14/04 225 1.35 28/04 238 ThomsonReuters, Bloomberg and Factset do the following calculation for the return (+/- rounding): r = 236/240 * (225 + 1.35)/236 * 238/225 - 1 = -0.24% This ...

3

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 index's rolling methodology and the rolls on Bloomberg's generic front-vs-second month contracts. Most of the time, these will neatly equate. But every now and ...

3

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 you will get a negative sharpe ratio.

3

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, Isins, bloomberg tickers, etc. Bloomberg has at least released their open symbology for everyone to use: http://bsym.bloomberg.com/sym/ Though you could probably say that the move is a bit self ...

3

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 those that attempt to outperform passive indexes by following an active (but systematic) approach. An example of the latter might be momentum strategies. So in ...

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 ...

3

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 by the way) and the minis are illiquid and quote wider for the same transaction fees than the big one (10 ticks vs 1 tick for CAC 40 for instance). In Asia mini-...

3

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 screen mutual funds/ETFs by benchmark and aggregate the market capitalization of the results.

3

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, assign probabilities of indexing. Download all prospectus and do textual analysis for phrases that indicate following the FTSE 100 index. You might be able to ...

3

I suppose you don't have to constrain yourself to that specific data, so you could refer to the Census Bureau if you need more data. Moreover, you can search on Google for ''housing index methodology'' if you want references on how to build professional indexes. Personally, I think it would be great practice to replicate an index for your high-school project ...

3

A company's market capitalization does not change because it did not trade. Index calculations are based upon the last traded price of each constituent security. There is no difference to the index level in a stock not trading and it remaining flat for the day (i.e. no change in price since the last close price). Some indices have liquidity limits, so if ...

3

Every 6 months, there is a new series of an index (usually with slightly different names). The "on the run" series (maturing on IMM date 5 years from now) is the most liquid. "Off the run" series (maturing on IMM dates 4.5, 4, 3.5, etc years from now) are much less liquid with wider bid-ask spread than on-the-run one. In 2012 Bruno Iksil (aka London Whale) ...

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