Financial ratio analysis

learn more… | top users | synonyms

1
vote
1answer
39 views

How do I automatically graph S&P PE ratio moving average VS DOW

Obviously this is a rookie question, I'm simply looking to plot the S&P PE ratio moving averages over different periods of time and plot them vs the DOW. Ideally I would love like something that ...
0
votes
0answers
26 views

dollar neutral ratio vs beta hedged ratio

Hi guys i really hope you can help as i've been pulling out my hair for days on this!! OK so basically i understand the dollar neutral ratio, simply stocka/stockb = dollar neutral ratio. Works great ...
1
vote
1answer
105 views

What is type of Operating income to total assets ratio? [closed]

What is type of Operating income to total assets ratio? Leverage, Profitability, Asset composition or Liquidity? and why?
8
votes
3answers
1k views

Sharpe ratio and leverage

Does leverage affect the Sharpe ratio? If my Sharpe is 2 at no leverage goes it change, fall by half say, at no leverage?
2
votes
1answer
195 views

Comparing the return of different roll strategies

I am interested in calculating the effect of the roll return using different roll strategies. In specific I want to mimic a long-only futures investments. I have historical data for several ...
4
votes
4answers
723 views

Credit Rating or Probability of Default from Financial Ratios

Does anyone know of any papers about credit rating development or probability of default estimation done based on financial ratios that also include methodology and maybe good/bad criteria? Something ...
1
vote
2answers
293 views

Historic Value at Risk - Ratios vs. Differences

Quick Summary on Historic VaR Let $S_0,...,S_n$ be the daily values of some stock (where $S_0$ is the current value). Then for $i=1,\ldots,n$ we let $$\hat r_i:=S_{i-1}/S_i \quad \text{and}\quad \hat ...
3
votes
1answer
174 views

How do i test the significance of Sharpe ratio of a strategy using bootstrap

How do i test the significance of Sharpe ratio of a strategy whether it is any different from another strategy ?? How do i get a p-value out of it ? What should be the H0 in the hypothesis testing ? ...