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11

Interesting question. Unfortunately for you, the answer is no, it cannot be done. The principal difference between a basket of options and an option on the basket (or index) is correlation risk. In fact, there is a systematic difference between the implied volatility of the basket and the (properly weighted) sum of implied volatilities on the components. ...


11

^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 ...


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 ...


8

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 ...


8

S&P finally did respond to our query with a 100 page document. The part relevant to this question follow: Select Sector Index Calculations With the exception of the weighting constraints described above, each Select Sector Index is calculated using the same methodology utilized by S&P in calculating the S&P 500. In particular: ...


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

Options on almost all Korean equities today present flat implied volatility, as well as options on some Japanese equities, especially in 60-90 days maturity. Here how the smile looks for T&D Holdings (ISIN:JP3539220008):


5

The first principal component of a large covariance matrix is extremely expensive to replicate in a real portfolio. While it is true principal components provide true (ex post) orthogonal factors, this is not necessarily relevant to the business of risk management. The market index is what most investors are benchmarked by, and is furthermore often ...


5

a) because it does not matter how you weigh each constituents as long as the methodology is publicly accessible and as long as it more or less reflects the original intent. That is why there are market cap weighted indexes but also why there are indexes that apply different weighting methodologies. b) because PCA is computationally way more expensive. Why ...


5

It really depends on the source of your signal. Since you're trading options I assume it is either volatility signal, or volatility + basis signal. If you have signal only on basis don't bother with options and just trade underlying. Now if you are trading vol signal only, you will need to hedge all basis risk - so gamma hedge (dynamic hedging with ...


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,...


5

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

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 ...


4

Find a friend with a Bloomberg terminal. If you are student check at your university, they might have access to different sources.


4

I think the simple advice here is to keep the indexes unchanged from the previous closing day (you basically assume unchanged prices). A bad idea is to compute essentially a "new" index in that you drop out the index which does not trade and recalculate the denominator. It will greatly skew the results, bad thing to do. A better idea would be not only keep ...


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

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.


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 ...


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

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 ...


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

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

Stoxxe would be the benchmark for European stocks in Eur Different. Data providers are using different symbols. Sx5e biggest 50 European Eur stocks Sx5p biggest 50 pan European stocks Sxxp biggest 60@ pan euro stocks - 200 large cap 200 mid cap and 200 small caps Sxxe would be all Eur stocks put of the sxxp - around 380 names


3

All the Fama-French data is downloadable here: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html and in particular, daily RMRF, SMB and HML data can be downloaded here: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/ftp/F-F_Research_Data_Factors_daily.zip


3

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). ...


3

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 ...


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 ...


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