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I have noticed that many things in finance are closed or proprietary like MSCI Barra World (an index that tracks stocks globally). I sense that there may be a huge amount of work to do with such index but I am still interested whether anyone has open-sourced or tried to open-source a world stock index. So does there exist any open-source index?

[Answer to comment]

Let's take an example why the MSCI Barra products cannot qualify to be open source. They give some spreadsheet but then again you need to agree to very restrictive agreement. And read also after agreeing, you get warnings like below. How can you even suppose to build anything on top of it without having to pay something? Perhaps, I am abusing the terminology but I am looking for an index that allows its users to see how they do things like in science, not just spreadsheets or a lot of NDAs and other agreements.

-- Reproduction, redistribution or any other form of copying or transmission of the Index Data without MSCI's prior written consent is strictly prohibited. Without limiting the generality of the foregoing, the Index Data and other MSCI intellectual property you access via the MSCI web site may not be used as a basis for any financial instruments or products (including, without limitation, passively managed funds and index-linked derivative securities), or used to verify or correct data in any other compilation of data or index, or used to create any other data or index (custom or otherwise), without MSCI's prior written permission. (source)

If I can understand right, you cannot even do financial research without MSCI permission.

  • why down-vote with this? – user1770 Feb 22 '11 at 17:07
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    The disclaimer you quote is about the financial products that are included in the index, not about the index itself. – DJClayworth Aug 11 '11 at 17:49
  • DJClayworth: it depends on the def of financial products, I presupposed it to contain the indices but hey I can find much clear statement, updated. Now there should be no ambiguity with MSCI's TOS. You cannot even do proper financial research without their permission. – user1770 Aug 12 '11 at 14:39
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An index is just a mathematical calculation based on stock prices. Anyone can create such a calculation and (given a little effort) publish it based on publicly available data. The question of "open source" is simply whether or not the calculator chooses to publish the calculation used.

Given how easy an index is to create, the issue is not the "open source" nature or otherwise, but its credibility and usefulness.

  • "easy"? You need a bunch of economists, CSs and probably mathematicians to do it -- cannot see how it can be easy. Making any a bit more sophisticated index like taking into account things such as survivorship-bias require interdiscipline skills that few people have. No, it is not easy. It is essential that you also understand what you are doing, anyone can jam numbers to line but it is not really an index for any use. – user1770 Jun 24 '11 at 12:44
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    That's what I said. Anyone can make an index. Making a good one is the challenge. – DJClayworth Jun 24 '11 at 13:18
  • then I agree. Anything like that around or is it actually of too much work? Things such as backward-corrections to index are not that easy. Perhaps, the challenge with opening this kind of thing is coordination, it would require a bunch of focused people over a long time period and with proper expertise. – user1770 Jun 24 '11 at 13:22
  • What is it that you want to do that the current indexes won't let you do? – DJClayworth Aug 11 '11 at 16:04
  • can you clarify? I know that when funds try to track indices, they rarely really correspond to the index but rather execute sampling (exceptions are like some Vanguards). Now in order to understand better the sampling, I want to understand better how the indexing is actually done. If you was asked to create a world index, how would you begin? If you was going to create a Spain index, how would construct it? Now suppose you create some simple way like MarketCap -based construction but now creating a sample of it, how would you choose the sample without understanding the index? – user1770 Aug 11 '11 at 17:09
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I think that any ETF is "open source" -- the company issues a prospectus and publishes the basket of stocks that make up the index.

The stuff that is proprietary are trading strategies and securities or deriviatives that aren't traded on the open market. Swaps, venture funds, hedge funds and other, more "exotic" derivatives are the things that are closed.

What do you mean by "open source" in this context?

  • read the small print at the bottom of the page in MSCI Barra website with some index. You can clearly see that you cannot reproduce the index (without permission or something like that) -- you cannot claim their ways are open-sourced, you cannot critically judge their doings. Black box magic rather than science. Any ideas why MSCI Barra provides popular tracking indices? I think they got a lot of passive income from funds that follow their indices. And I do think that it may not be trivial at all to create such indices, so perhaps justified their secrecy. – user1770 Feb 17 '11 at 2:41
  • He doesn't just want to see the list of stocks, he wants something with a transparent process, available under a very generous license (like a Creative Commons license or its ilk). – fennec Feb 17 '11 at 4:56
  • What sort of liability would ensue if an investor lost a great deal of money on such an open-source system? I think first there needs to be a license written to cover such liability and then maybe a few investors would give it a go. Lastly, most investment systems simply take advantage of an unseen arbitrage opportunity - publish it and the opportunity will vanish quickly... – Turukawa Feb 17 '11 at 6:28
  • @Turukawa: you can open-source only the ideas, leaving less room for arbitrage. Open-source per se does not need to infer 100% open or 100% free system. If it is found out that some parts are exploited against the owners' interest then such parts may be abstracted or closed. – user1770 Feb 22 '11 at 17:02
  • Open-source/free-software enthusiasts would understand this like so: the current indexes are open-source, they just aren't free (as in freedom). – fennec Feb 18 '12 at 1:23

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