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7 votes
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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 ...
user25064's user avatar
  • 1,077
7 votes
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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 ...
Alper's user avatar
  • 1,036
6 votes
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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,...
Helin's user avatar
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6 votes
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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.
Helin's user avatar
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6 votes
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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 ...
Alex C's user avatar
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6 votes
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Why stock beta is not equal to its index weight?

It's trivial to calculate the betas given the index weights $w$ and the covariance matrix of all stocks $\Sigma$: The index return is $$ r_{\rm index} = w^T r $$ The beta of stocks to the index is $$ \...
Chris Taylor's user avatar
  • 5,911
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 ...
Jeremy's user avatar
  • 59
5 votes
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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. ...
Gordon's user avatar
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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....
Christo's user avatar
  • 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, ...
Brian from QuantRocket's user avatar
4 votes
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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 ...
AKdemy's user avatar
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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 ...
Dimitri Vulis's user avatar
4 votes
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Does value of a TRS only involve past price movement and not expected returns?

TRS are just financing trades. The dealer is charging you to place the asset on their balance sheet. So if you are receiving total return on stock A, you will receive appreciation and dividends over ...
AlRacoon's user avatar
  • 6,532
4 votes

Does value of a TRS only involve past price movement and not expected returns?

Yes. The value of the asset leg is just the value of the asset itself, because the TRS can be perfectly replicated by owning the asset. Alternatively, you could say that whatever the potential ...
dm63's user avatar
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3 votes
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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 ...
lehalle's user avatar
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3 votes
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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 ...
Lliane's user avatar
  • 2,908
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: ...
assylias's user avatar
  • 955
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 ...
demully's user avatar
  • 5,061
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 ...
0xFEE1DEAD's user avatar
3 votes
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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, ...
Matthew Gunn's user avatar
  • 6,944
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''...
python_enthusiast's user avatar
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 ...
Richard at NorgateData's user avatar
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 (...
Dimitri Vulis's user avatar
3 votes

Where to find historical constituents for any Global Market index?

I think your best bet for (free) data is to look at the holdings in a ETF that fully-replicates its benchmark. If you go on the site for BlackRock's iShares you'll see they post the holdings for ...
Brumder's user avatar
  • 351
3 votes
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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 ...
J-F's user avatar
  • 321
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 ...
Emma's user avatar
  • 460
3 votes
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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. ...
Enrico Schumann's user avatar
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 ...
demully's user avatar
  • 5,061
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"? ...
user42108's user avatar
  • 2,252
3 votes

Wilshire 5000/GDP Ratio dividing indexed values and not actual values?

Both original datasets are not normalized to Q4 2007; Wilshire 5000 Total Market Full Cap Index WILL5000INDFC and GDP. However, ...
AKdemy's user avatar
  • 8,739

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