Questions tagged [calculation]

The tag has no usage guidance.

Filter by
Sorted by
Tagged with
30 votes
11 answers
25k views

Should I use an arithmetic or a geometric calculation for the Sharpe Ratio?

What are the advantages/disadvantages of using the arithmetic Sharpe Ratio vs the geometric Sharpe Ratio? Is one more correct? Or is one better in certain circumstances?
Kelly's user avatar
  • 309
17 votes
6 answers
42k views

How to calculate stock move probability based on option implied volatility and time to expiration? (Monte Carlo simulation)

I am looking for one line formula ideally in Excel to calculate stock move probability based on option implied volatility and time to expiration? I have already found a few complex samples which took ...
Vtech's user avatar
  • 355
8 votes
2 answers
701 views

How to interpret beta meaningfully?

Although this is probably a basic question, this is probably also the right forum to post it in :) I thought I understood beta, but know I am really confused... The beta between my portfolio (weekly ...
user6859's user avatar
5 votes
1 answer
574 views

How to calculate Skulls Financial Turbulence for one asset?

I have just read this paper http://www.cfapubs.org/loi/doi/abs/10.2469/faj.v66.n5.3 In the paper they define financial turbulence formula as: Could anyone help me calculate/understand this formula, ...
Marco Demaio's user avatar
5 votes
2 answers
192 views

Overall CAGR calculation

I'm one of those data analysts who doesn't have a MBA, so I'm still figuring out the basics of finance as work gets assigned to me. Here's the exact wording I was given: What's the unit cost ...
Flynn Rausch's user avatar
4 votes
3 answers
6k views

How do I calculate approximate equity liquidity?

I am a developer rather than a quant. I need to decide whether a given equity passes some basic liquidity threshold. It doesn't have to be precise, just good enough. I have a Bloomberg terminal data ...
Den's user avatar
  • 175
4 votes
1 answer
217 views

Why does regression capture differences in volatility?

I read the following statement in the book python for data analysis, chapter 11, and I was wondering if someone could give me intuition about why regression has this effect? The purpose of the ...
user3314418's user avatar
4 votes
1 answer
941 views

Discrepancy between total shareholder return and return calculated using adjusted share price?

I'm trying to understand a difference I'm seeing between the return I calculate using adjusted close price and the total shareholder return with dividends reinvested (TSR) I get from Bloomberg / this ...
Lakshay Akula's user avatar
3 votes
1 answer
604 views

Computing T-Bill Yield across leap year boundary

Consider this T-Bill (912796TE9) that was purchased on 2019-10-30 and matures on 2020-02-06: I'm trying to work through some of the basics of the yield calculation. The days until maturity is 99. (<...
Yippie McSmashmouth's user avatar
3 votes
2 answers
1k views

Verifying an identity of an equation for Black Scholes formula

I just started working on the Black Scholes formula with help of the book Financial option valuation by Higham. Apparently you are possible to derive the following function: $\log(\frac{SN'(d_1)}{e^{-...
Alfons Ingomar's user avatar
2 votes
2 answers
269 views

Probability Density Function sign problem when using Call Price

Given the call price $C_t = e^{-\int_t^Tr(s)ds}\int (s-K)^{+}\phi_{S_T}(T,s)ds $ we know that $$\frac{dC}{dK}=-e^{-\int_t^Tr(s)ds}\int_K^{\infty} \phi_{S_T}(T,s)ds$$ Now when I use dirac delta ...
user30614's user avatar
  • 187
2 votes
2 answers
153 views

Estimating realised gains given growth rate and churn

If one can estimate that the value of an investment portfolio will grow at $g$% per annum, and can estimate that approximately $c$% of that portfolio will be churned each year (sold and reinvested), ...
eggyal's user avatar
  • 21
2 votes
1 answer
1k views

Annualising Data

I have a 3 year performance track record of monthly returns. I am trying to calculate the Sortino Ratio, Information Ratio, Treynor index etc. In calculating the Sharpe Ratio I have multiplied the ...
redarT's user avatar
  • 33
2 votes
1 answer
3k views

How to calculate implied volatility and greeks in Bull Put Spread option strategy?

Ok, obviously I am buying lower strike put and selling higher strike put. What is the recommended volatility and greeks to consider in my trade? Volatility: Average volatility between both legs? ...
Vtech's user avatar
  • 355
2 votes
2 answers
1k views

How to calculate monthly returns in R for every company in a dataset of 4000 companies?

I want to calculate monthly returns for a time series of 4000 companies between 2014 and 2019. This is how my dataset looks like I'm using the following code to calculate the returns nyseamex <- ...
Max's user avatar
  • 23
2 votes
1 answer
245 views

Calculating front month VIX future returns

I'm currently reading a paper* which deals with seperating the volatility of volatility index (VVIX) into a physical measure of volatility of volatility (RVVIX) and a risk premium of v.o.v (VVRP). To ...
MikeHeimlich's user avatar
2 votes
0 answers
39 views

How to calculate D(f) in the new lognormal and normal formula in this document : "Explicit SABR Calibration through Simple Expansions"?

I'm currently reading this paper "Explicit SABR Calibration through Simple Expansions" by Fabien Le Floc'h and Gary Kennedy and in the 3rd part when they introduce Andersen & Brotherton-...
EOST's user avatar
  • 21
2 votes
0 answers
942 views

Fixed Income Var calculation

I'm trying to calculate var for a portfolio of fixed income securities. I initially want to just calculate undiversified VaR for each instrument. I'm doing the following for each instrument Take ...
VarStudent's user avatar
1 vote
1 answer
98 views

i have an option derivative question

please show that the call and the put share the same vega, i.e., please prove the following equality. do we derive the call and put equations ?
Mo Mahmood's user avatar
1 vote
2 answers
127 views

How to calculate burnrate?

Wikipedia says Burn rate is a synonymous term for negative cash flow but I neither agree nor believe that is formalized. A company could need turnaround from losses ...
Niklas Rosencrantz's user avatar
1 vote
2 answers
217 views

How are returns on Bond Funds (or ETFs) calculated?

For example, if we consider the fund "iShares Core U.S. Aggregate Bond ETF (AGG)", I am trying to figure out how the yearly/Monthly returns are being calculated. I extracted the historical NAV values ...
NOLASKO ABREU's user avatar
1 vote
1 answer
600 views

Multi year performance evaluations [closed]

first question here on StackExchange; I would value your help, I am on excel working with a 3 year / 36 month investment performance. I am calculating the Sharpe Ratio as follows; Cell KV32 = ...
redarT's user avatar
  • 33
1 vote
2 answers
2k views

PRIIPs Stress Scenario for Category 2

I know this topic has been on the table before, but I haven't seen a clear explanation with an example. I have successfully calculated the previous steps in https://esas-joint-committee.europa.eu/...
Apnurm's user avatar
  • 11
1 vote
1 answer
54 views

Calculating the ideal initial capital value to optimize a growth model

I'm trying to work out a method for finding the initial capital value that allows someone to run out of money at the exact time they reach mortality. Currently, I'm graphing the annual total capital ...
Lunrtick's user avatar
1 vote
1 answer
95 views

Calculating Ex Post Sharp Ratio's for decile portfolios

Dear Stack community, I hereby would like to ask what the correct calculation is for calculating Ex Post Sharp Ratio's. If I am correct, I already know that I am supposed to divide the average excess ...
Julien Maas's user avatar
1 vote
0 answers
78 views

Market value of futures [closed]

What is the market value of an (index) futures? I guess the market value is either: quantity * contract size * price zero, if the daily unrealized PnL is ...
Tomas's user avatar
  • 151
1 vote
0 answers
1k views

How do I calculate 6/12/36-month momentum of individual stocks?

I am looking at a particular dataset that contains 1/6/12/36 month momentum variables for individual stocks that were calculated based on Jagadeesh & Titman (1993), but I cannot figure out how the ...
Aaron Kaijser's user avatar
1 vote
0 answers
73 views

How to calculate portfolio returns from assets with different valuation frequencies and return methdologies?

I have a situation in which I'd like to calculate a total portfolio return for a portfolio made up of funds with different valuation frequencies and return methodologies. As an example, say I have a ...
kforce's user avatar
  • 11
1 vote
0 answers
61 views

Understanding how to calculate Hedge Fund Net Asset Value (NAV), and getting a better grasp of the business purpose of a Hedge Fund NAV [closed]

Sorry if I sound naïve, but I'm new to the financial field(especially new to quantitative finance). I've seen 2 types of definitions for NAV when I search the internet. NAV = (Assets - Liabilities) ...
crazyTech's user avatar
  • 111
1 vote
0 answers
62 views

Trouble calculating the Dow Jones Industrial Average

I can successfully calculate the Dow Jones closing price by taking the sum of closing prices of the 30 component companies. However, using this same method, I'm unable to calculate the correct opening ...
Rez99's user avatar
  • 111
1 vote
0 answers
2k views

How to calculate monthly Return from a Momentum Strategy with overlapping Holdingperiods?

I replicate a Momentum Strategy from Rey and Schmid (2007) "Feasible momentum strategies" based on the idea from Jegadeesh and Titman (1993). I only buy the single stock with the highest past return ...
Roma92's user avatar
  • 11
1 vote
0 answers
1k views

How to calculate beta against a multi-asset benchmark

Lets say that I have a benchmark, $BM$ that consists of 3 assets- 30% asset $A$, 30% asset $B$ and 40% asset $C$. Now, lets further assume I am trying to construct a portfolio that uses $BM$ as its ...
MarkD's user avatar
  • 551
0 votes
3 answers
1k views

How is forex price precision (of the actual floating point number) determined?

I wrote some python code that tries to calculate this by samplying 1000 forex prices using polygon.io's REST api. However, will the precision ever change or is it fixed by something. How do they ...
Daniel Donnelly's user avatar
0 votes
1 answer
276 views

Interpreting an Order Book (example Kraken.com)

An (forex) Order Book (OB) for a trading (forex) pair (e.g. XBT-USD) has ASK and BID rows. Each row has PRICE and VOLUME (at least). Each row represents an offer for selling or buying a maximum of ...
bliako's user avatar
  • 101
0 votes
1 answer
60 views

Which base to use to calculate profit of sold product? [closed]

Let's say I want to sell shoes, which cost me 90€ in production, and I want to sell them with 20% profit. Do I calculate my selling price then with 90€ * 1,2 (profit is 20% of costs) or with 90€/0.8 (...
basti394's user avatar
  • 103
0 votes
1 answer
65 views

Alpha calculation inconsistent across methodologies

I'm fairly new to finance, and this does not make sense to me. Consider benchmark & active monthly returns as shown here: If I do a line of best fit, I get an intercept of 8.4% Which is meant as ...
MYK's user avatar
  • 185
0 votes
1 answer
74 views

When using periods that are not days, what is the usual quote that is used as input into the EMA calculation?

My current understanding of the EMA calculation with daily periods is to use as quote the closing price of each day: Day 0 - Take the closing price as Q0. EMA = Q0 Day 1 - Take the closing price as ...
jmgonet's user avatar
  • 121
0 votes
3 answers
209 views

Calculation of weekly P/E ratio

The P/E-ratio is defined as $$ \frac{\text{Market value per share}}{\text{Earnings per share (EPS)}} $$ I have weekly observations of stock prices, but what measure should I use for EPS? Should it ...
Sunv's user avatar
  • 321
0 votes
1 answer
593 views

PRIIPs Kid MRM Calculations

I am currently modelling a category 2 PRIIP in Excel based on some share price datas provided by a client. The calculations yield a MRM of 5. Now, the client wants us to conduct an analysis on how ...
Pablo's user avatar
  • 1
0 votes
0 answers
379 views

Ideas for speeding up greek calculations

My current calculations using the vollib library averages 0.5 seconds. Is there any way to get it faster? Any tips/best practice notes will be helpful. This is for a scripting language such as python....
foshizzle's user avatar
  • 432
-2 votes
2 answers
179 views

What is the most amount of money the consumer would be willing to pay to play take this gamble?

Suppose a consumer has log-utility over wealth, defined by $u(W) = \ln(W)$. Suppose this consumer has $100$, and is considering taking a gamble in which the consumer flips a coin, and gets $20$ she ...
afsdf dfsaf's user avatar