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0
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1answer
30 views

Time-Value of money exercise problem. Any advice on how to solve?

Problem An investor will receive $365 at the end of each year for thirteen years. The first payment will be received four years from now. Given that the interest rate is 3%, the present value of this ...
0
votes
1answer
26 views

Choice between 2 investments that cost the same but offer different interest and face value [closed]

Assume, you have a choice between two investments that both cost \$1000 each, however investment A pays \$20 a year and \$950 at the end of year 5 but investment B pays \$10 a year and \$1000 at the ...
6
votes
5answers
445 views

Thoughts on how quantitative hedge funds use machine learning to invest in the stock market (algorithms, examples of data, etc.)

I believe there are several post on this general topic but I thought I would start my own thread. I'm a former fundamental hedge fund investor (i.e. modeling a company's financials, forecasting the ...
1
vote
0answers
17 views

Does the FF 3-Factor model work with unadjusted prices?

I am trying to investigate some trading strategies based on the Fama French 3-factor model, for which I assumed I need to use adjusted prices to account for dividends and splits. However, my ...
0
votes
1answer
44 views

ABS vs covered bonds vs CDO [closed]

What is the difference between asset-backed securities(ABS), covered bonds and collateralized debt obligations (CDO)?
0
votes
1answer
71 views

PPPN: participation rate, stocks and premium

I'm a student of financial engineering and am very new to all of this stuff. Now, I'm trying to make an "example of a beginners exercise", but alas, I don't have any clue on how to solve or even on ...
0
votes
1answer
67 views

Multi-year annualized Sharpe Ratio

I'm taking a quiz, and trying to calculate the annualized Sharpe ratio of 11 years' worth of SPY fund monthly returns vs. a risk free investment return of 1.5%. When I write the function in Excel as ...
1
vote
1answer
29 views

A citizen's life as an investment project (from the State's PoV)

An average citizen's life can be seen as an investment project: the State starts investing into prenatal care, the child's education etc., a young man starts making money and paying taxes (breaks even ...
1
vote
2answers
82 views

Sharpe Ratio for strategies with different rebalancing period

Strategies published in journal papers like SMB, HML, UMD have annualized sharpe ratios around 0.5. These long-short portfolios are formed with monthly rebalance. People who backtest some daily ...
1
vote
3answers
95 views

Buy side techniques

I was speaking with a friend of mine about what techniques are used for quantitative investment management, and he told me that, when assuming active positions on the market, even in high-frequency ...
1
vote
0answers
18 views

In what way are capital increases usually advertised?

I am currently trying to better understand capital increases and dilution. I came across a few presentations of companies. I am trying to find out, if there are any standards, which are commonly part ...
4
votes
0answers
118 views

How would it be possible to use Dynamic Programming to search a space of investment strategies to find an optimum?

As my question states, the problem I am having is finding a sensible way to search a large space. Any help or insight that could be provided would be hugely appreciated. Currently I am trying to ...
-1
votes
1answer
29 views

What is wrong in my investment calculation [closed]

I am thinking to start investing monthly and i am trying to calculate my investment using excel with a compound interest of 5% monthly plus addition of certain amount. First month investment is 10000 ...
3
votes
3answers
125 views

Parameters variation in fundraising financial model

I have created quite a large financial model in Excel with lots of input parameters which (after all calculations) have an influence on the output business indicators. Among the input parameters are ...
0
votes
1answer
43 views

Compute the (Net) Present Value

Let's have a project where we invest 1000 at the beginning of year 1 and 1000 at the beginning of year 2. At the end of year 2 the income is 2200 and the project is closed. Person A discounted with ...
2
votes
0answers
40 views

Portfolio optimised for diversification and regular yield. How to hedge?

Here is a portfolio optimisation for equity dividend and yield designed to diversify holdings and produce regular monthly returns using only ETFs complete with R code. ...
1
vote
1answer
135 views

Discount rate, convertible debt and the effect of time

The way I understand it is that there are three main parameters to a convertible debt investment. An investment amount A discount rate A trigger event Now under most of the examples I have seen, ...
0
votes
1answer
77 views

Calculate rate of return of a stock, if there is a buy transaction occurs during the middle of financial year

Currently, I'm implementing a feature of an open source project (https://github.com/yccheok/jstock/issues/7), which requires me to calculate the rate of return of a stock. Let's take the following ...
0
votes
1answer
146 views

Debt vs. Equity?

What determines whether an investment should be made using debt vs. equity? For example, startups are often financed with equity, while mortgages are always financed using debt. What characteristics ...
5
votes
3answers
2k views

What is Quantitative Investing and how does it differ from Quantitative Trading?

I have worked in quantitative trading for a couple of years so I know what that space is about. I am curious to know what quantitative investing is all about. Based on what I have read and talked to ...
-7
votes
4answers
4k views

True or False? An option's price will always be greater than or equal to its intrinsic value

Since if the option's price is lower than its intrinsic value (eg. strike price - current stock price for puts), then an arbitrage opportunity arises from buying the option at bargain and then ...
2
votes
0answers
74 views

FRA-Strategy: Make 3-month and 1-year Excess returns comparable

I am trying to analyze an investment strategy that tries to exploit the empirical difference between forward interest rates and realized spot rates. I am using FRAs to capture the difference. I am ...
3
votes
1answer
862 views

Risk-free rate for ex-post evaluation of investment strategy

When evaluating the strategy ex-post using e.g. Sharpe ratio, what should one use as the risk-free rate? Let's suppose I am using a 1Y sample of weekly returns, sampled between 2012-01-01 and ...
2
votes
2answers
397 views

Proof showing that dollar cost averaging always worse than lump sum alternative

I am referring to the article here. In a nutshell the article says that using data based on S&P 500 index going back as far as to 1950, dollar cost averaging is performing worse than a lump sump ...
9
votes
1answer
47 views

What are useful indexes for rapid evaluation of country economic risk?

The World Economic Forum Global Competitiveness Report offers a comprehensive view of individual country risk/reward. There has been an explosion of these types of indexes over the past few years. ...
2
votes
1answer
448 views

What are some “Must Know” investment/portfolio management theories out there?

What are the most important portfolio management theories you must know in order to competently manage an investment portfolio? In order to keep the topic focused, I would like to narrow down the set ...