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 ...
- 941
7
votes
Accepted
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 ...
- 1,047
7
votes
Accepted
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 ...
- 1,028
6
votes
Accepted
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.
- 11.3k
6
votes
Accepted
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,...
- 11.3k
5
votes
Accepted
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. ...
- 21k
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
Accepted
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 ...
- 9,272
4
votes
Accepted
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 ...
- 106
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
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, ...
4
votes
Accepted
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 ...
- 7,639
4
votes
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 ...
- 11.6k
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 ...
- 11.4k
3
votes
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:
...
- 920
3
votes
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 ...
- 5,001
3
votes
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 ...
- 7,817
3
votes
Accepted
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 ...
- 9,272
3
votes
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
3
votes
Accepted
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 ...
- 2,888
3
votes
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 ...
- 338
3
votes
Accepted
How much money tracks the FTSE?
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, ...
- 6,864
3
votes
Real Estate Index in Python
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''...
3
votes
How does the S&P500 index is affected when 10-20 S&P500 companies doesn't trade for a particular day?
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 ...
- 1,315
3
votes
CDS Indices Query
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 (...
- 11.6k
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 ...
- 301
3
votes
Detect trend of an index
Questions:
1=> Does anyone have a suggestion to determine a trend correctly.
My answer is in general and an opinion. Hong Kong Stock Exchange is third largest market behind Tokyo and Shanghai and ...
- 460
3
votes
Accepted
Why is it better to use evolutionary algorithms than OLS for solving index tracking problem?
It would have been helpful had you provided links to those papers.
But in general,
you need to distinguish between the optimisation
model, and the numerical technique used to solve
the model.
...
- 3,176
3
votes
No-arbitrage arguments: how do additional fees affect futures on an index?
I might have misunderstood the question; but the index is just a weighted-average of its constituent stocks. As such, it does not trade, and thus does not incur any transaction costs. The forward ...
- 5,001
3
votes
Is it more profitable to invest in the S&P 500 outside regular trading hours?
This "result" has been widely circulated. I have yet to see it well defined and properly tested and I'm not sure it makes sense to discuss it 'as is'.
What is the "S&P 500"? ...
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