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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 price on said index is just the spot, adjusted for interest-rate versus (expected) dividend basis. Lest there be arbitrage. Trading all of the stocks to replicate ...


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According to the selection criteria in Section 2.3 of the iBoxx USD High Yield Developed Markets Index Guide All bonds must have at the rebalancing day an expected remaining life of at least one year, and all new insertions must have an expected remaining life of at least one year and 6 months. Since rebalancing happens once a month at month end, bonds are ...


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