{"id":2065,"date":"2008-04-17T16:46:16","date_gmt":"2008-04-17T20:46:16","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=2065"},"modified":"2008-04-17T16:46:16","modified_gmt":"2008-04-17T20:46:16","slug":"home-made-indices-with-intra-day-updating","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=2065","title":{"rendered":"Home-made Indices with Intra-Day Updating"},"content":{"rendered":"

Assiduous Reader kaspu<\/i> has complained<\/a> about the volatility of the S&P\/TSX Preferred Share Index<\/a> (TXPR on Bloomberg) – or, at least, the reported volatility.<\/p>\n

The problem is that this index is based on actual trades; hence, it can bounce around a lot when 100 shares trade at the ask, $1 above the bid. For instance, today:<\/p>\n

<\/div>\n

This sort of behaviour is endemic to indices created by small shops without much market knowledge or experience. Readers in need of indices with more precision may wish to use the HIMIPref™ Indices<\/a>, which are, of course, based on much less volatile bid prices.<\/p>\n

“Gummy” has announced<\/a> a new spreadsheet, available from his website<\/a>. This spreadsheet allows the download of bid and ask prices – and lots of other information – for stocks reported (with a 20 minute delay) by Yahoo. It strikes me that with minimal effort, one could reproduce TXPR (using the defined basket of CPD<\/a>) and update the index at the touch of a button, with minimal set-up time required.<\/p>\n

The Gummy Stuff website, by the way, is reliable AS FAR AS IT GOES. Dr. Ponzo<\/a> is math-oriented to a much greater degree than investment-oriented and does not always respect hallowed fixed income market conventions<\/a>. In other words, I have found that things are properly calculated in accordance with the (usually stated) assumptions, but these assumptions are not necessarily the ones I might make when performing a calculation with the same purpose.<\/p>\n

With respect to Kaspu<\/i>‘s question about other indices … the latest CPD literature<\/a> references the “Desjardins Preferred Share Universe Index”, which is new to me … and I have no further information. Claymore may be preparing for a showdown with the TSX about licensing fees (you should find out what they want for DEX bond data … it’s a scandal).<\/p>\n

Additionally, there is the BMO Capital Markets “50” index, but that is available only to Nesbitt clients … maybe at a library, if you have a really good one nearby that gets their preferred share reports.<\/p>\n

Update, 2008-5-1<\/b>: “Gummy” has announced<\/a> a spreadsheet that does exactly this<\/a>! Just watch out for dividend ex-Dates!<\/p>\n","protected":false},"excerpt":{"rendered":"

Assiduous Reader kaspu has complained about the volatility of the S&P\/TSX Preferred Share Index (TXPR on Bloomberg) – or, at least, the reported volatility. The problem is that this index is based on actual trades; …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[10,16,23],"tags":[],"class_list":["post-2065","post","type-post","status-publish","format-standard","hentry","category-index-construction-and-reporting","category-miscellaneous-news","category-reader-initiated-comments"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/2065","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=2065"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/2065\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=2065"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=2065"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=2065"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}