Post #2245 by mungofitch on the Mechanical Investing board

Investment Strategies / Mechanical Investing

Unthreaded | Threaded | Whole Thread (12)

Post New | Post Reply | Report Post | Recommend It!

No. of Recommendations: 2

No offence, but I suspect a data or calculation error. Maybe obvious, maybe subtle, possibly both : )

First thing to check: When you calculated this, was this a snapshot of bid/ask and index level and SPY price at the exactly the same moment while the market was open?

They can both be essentially perfectly hedged and arbitraged with futures contracts. Normally a quarter point bid/ask gap during the day.

Of course SPY and the index and futures are all very slightly different beasts.
Implied interest rates, margin/borrowing power tied up, determined or indeterminate time frame, tax treatment on capital gains vs dividends vs futures, whether you get extraordinary dividends and changed regular dividends, etc.

Jim

Post New | Post Reply | Report Post | Recommend It!

Print the post

Unthreaded | Threaded | Whole Thread (12)

Prev | Next

Announcements

Mechanical Investing FAQ

Contact Shrewd'm
Contact the developer of these message boards.

A community forum supporting civilized, and highly helpful, self-educating investors that come together for Shrewdness and merry spirits. These message boards closely follow the look and feel of the old message boards at boards.fool.com prior to the boards redirected to discussion.fool.com. Shrewd'm is not affiliated with the comprehensive and excellent investment website, The Motley Fool (TMF), in any way. The Shrewd commmunity here has owed, and continues to owe, gratitude to The Motley Fool for nurturing a culture of jovial irreverence towards Wall St, and that tradition will continue here.