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That's a fair question don't trade S&P, but probably have individual stock &
index data. It works for FTSE 100. In the FTSE a few large companies tend to
dominate the market, so can't proffer an opinion for S&P. Can you give me a
list of top say 20 & relative weights and I'll test a surrogate. I have
Spearman set up etc so it might be easier for me.
----- Original Message -----
From: "Jack Griffin" <jack_2231@xxxxxxxxx>
To: "David Jennings" <DavidJennings@xxxxxxxxxxxxx>; "ed garib"
<egarone@xxxxxxxxx>
Cc: <omega-list@xxxxxxxxxx>
Sent: Wednesday, July 25, 2001 1:09 PM
Subject: Re: creating an index
>
> --- David Jennings <DavidJennings@xxxxxxxxxxxxx>
> wrote:
> > However, as a riule of thumb, I have found that the
> > 10 largest constuents
> > are sufficient to mimic performance..
>
> David or others in the know, do you think this applies
> to the popular indices as well? I mean if I were
> doing technical analysis of the S&P 500 and I had a
> hole in my data, would it be OK to fill it with an
> appropriately weighted average of the top 10 stocks in
> the S&P?
>
> Jack
>
>
>
>
>
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