Questions tagged [index]
An index is a reference portfolio that can be used, either to benchmark the performance of an investment strategy, either to create products (Futures, Structured Products).
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Under what circumstances is hedging a portfolio by shorting index futures profitable? (John C. Hull 11e Practice Questions 3.25)
This question is based on a claim made in both practice question 3.25 and section 3.5 of Options, Futures and Derivatives by John C. Hull, 11th edition.
The question
On July 1, an investor holds 50,...
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calculating net exposure to an index
I would like to invest in a portfolio of two inversely correlated ETFs, with funds allocated at a ratio. The two funds track the performance of the same underlying index: the share price of NVDA (...
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Why does not index (S&P500, NASDAQ, Dow Jones, etc), use liquidity?
Stock indexes such as SP500, NASDAQ, Dow Jones, etc all try to capture the temperature of the market. If the market cap of the companies in the market increase, the index increase.
But, imagine a ...
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Create a turnover based stock index, for non liquid stocks?
I want to create an stock index that use the turnover, and not the price. How to do that?
The problem I am trying to solve, is that if one stock has a very low trading volume, but the stock price is ...
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Does value of a TRS only involve past price movement and not expected returns?
Is the value of a TRS just the difference between the "financing leg" (e.g. the side paying -IBOR plus spread) and "asset leg" (e.g. the side pay income and price changes), with of ...
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Correlation between a stock and the index without the stock
The weight of stock i in index m is w.
The returns are, respectively, r(i) and r(m).
I know the volatility s(i) of i, the volatility s(m) of m and the correlation rho(i, m) between i and m.
The index ...
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Why stock beta is not equal to its index weight?
Index is a linear combination of stock prices with known weights. In case index is equally weighted, the weights are fixed. Beta measures stock sensitivity to index - by how much stock moves when ...
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Predict a company business classification
I am trying to predict whether companies belong to a universe considered by an index provider for a particular thematic index using natural language processing techniques.
In this particular example, ...
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Total return time series for an interest rate swap
Without paying for a bespoke dataset or tool, how can I go about creating a total return time series for irs eg for 10y sofr swap such that it includes spot price move + carry/roll?
I’m doing this so ...
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What does it mean with regards to market conditions that the historical volatility is twice the implied volatility
I am trading the Indian market indices. I calculated the last three years historical volatility. Noted down 1 standard deviation of this value.
Then I took a weekly expiry of options on this index and ...
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Arbitrage between gamma and delta on smaller timescale in options selling
I have observed that sometimes (mostly for OTM options) near expiration, an increase in option price cannot be fully explained by delta and theta(given volatility is constant). The gamma spiked the ...
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Replicating Index: Timeframes and Standards for the Quality Factor Construction
I'm presently working on replicating a specific index. The methodology provided by the index provider offers a detailed definition of the Quality Factor. However, there seems to be an ambiguity ...
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Dynamic Weights for Market Cap Weighted Index [closed]
Let's suppose we're interested in the pricing of a very simple index, with two stocks A and B. Both A and B have 2 outstanding (or floating) shares, and A is priced at 1 dollar per share while B is ...
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Calculate PE ratio of equal-weighted index
I need to calculate Price-to-Earnings Ratio (PE Ratio) of an Equal-weighted index.
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Historical list of all DAX symbols (symbol, start_date, end_date) [duplicate]
Is the a public list of all DAX constituents over time? I was thinking of a table like:
symbol, start_date, end_date
It would be nice if I didn't have to resort to ...
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