Handling Holiday Mismatches in Multi-Index Construction

Summary

The document considers how to build a weighted index from several equity index series when their market calendars do not match. It identifies two basic approaches: restrict calculations to dates common to all series, or carry forward the previous available close for an index that is closed. The choice affects how the index represents assets that could actually be traded on a given date, so calendar treatment is part of the index methodology rather than just a data-cleaning detail.

It also flags the need to specify when portfolio weights are reset to their target allocation. These choices influence the index’s behavior and reproducibility. The discussion does not give a Matlab implementation, define a weighting formula, or compare the approaches using data. A practical design should document its holiday and rebalancing rules and consider whether the underlying assets, or instruments tracking them, are investable on dates included in the index.

Key ideas

• An index built from markets with different holidays needs an explicit calendar policy.
• Using only common trading dates avoids carrying stale closes into the calculation.
• Carrying forward the last close retains dates but can affect how investable the index appears.
• The methodology should specify when target weights are rebalanced.
• The discussion offers design considerations rather than a software implementation or empirical comparison.

Tags

# Creating index from bloomberg data in matlab


# Creating index from bloomberg data in matlab












I'v got 6 different equity index time series from which I want to create an index based on a particular percentage. This would be simple although due to different holidays the date don't always match. I'm looking for a method in Matlab which matches dates and uses the previous value of the index when one (or more) index has a holiday while the others don't. Anybody an idea?

Thanks

## Answer by Stravog (score 1)

https://quant.stackexchange.com/a/26200

Sounds more like a programming question, but what you stressed is relevant, you need to define a methodology to deal with this calendar issue. The options you have are whether choose the smallest common set of dates to calculate your index, or use previous close. Choosing between the two involves investability of your index IMO. Would you be able to purchase the underlyings or at least etfs tracking them on holidays date ?

Also, another aspect to define in your methodology is the dates on which you would rebalance your weights in order to retarget your target percentage allocation.

## Answer by Dendi Suhubdy (score 0)

https://quant.stackexchange.com/a/26205

I have made a solution to an index construction but not in Matlab but in C++ with Visual Studio. Maybe you would like to check it out. It automatically spits out the index from the Bloomberg stream data (https://github.com/RTRindex/raleigh-triangle-index)

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.