The asset rate of returns is the profit on a particular investment; it includes any change in the asset value, interest, commission or dividends and so, all other cash-flows which an investors receive or pays due to the investment.

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Relationship between yield spread and stock returns

I would like to ask the following question: Do yield spreads generally have a relationship with stock market indices like the S&P 500? If so, what kind of relationship? I have looked at numerous ...
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344 views

How to calculate annualised tracking error?

I have 36 months of relative returns and I need to calculate the annualised tracking error. So, using 36 months of returns is it simply like below: ...
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51 views

Determining significant difference between to return series

I want to analyse whether two return series are different. I was told to run the following regression: ...
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173 views

What is the logic behind this backtesting code in R

I am new to R and I have found this simple backtesting code and can you explain me what is happening here. ...
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Poor investment preformance in early years impacting on final fund value

I am currently doing some work on the performance of funds across different models of the economy. I am trying to find some work that looks at the impact of poor/lower returns at the early years of ...
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191 views

Pair trading based on cointegration - equity line

I'm preparing a project at my Uni where I have to make a simple pair trading strategy using cointegration between two stocks. I'm stuck on the equity line calculation. I have prepared opening and ...
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183 views

Carry Trade vs synthetic Carry Trade using forward contracts

When it comes to foreign exchange carry trade strategy, the definition is straightforward: an investor borrows 1 USD in the US (low interest country) and invests that $1 to AU (high interest country). ...
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What P&L netting should one use when a strategy has trades in two different geographic locations?

I am familiar with the FIFO methodology of netting buys and sells to obtain a realized P&L and outstanding position. Suppose there's a strategy which runs in two different places A, and B and ...
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178 views

French Data from daily to monthly returns

Ken French on his website publishes daily, monthly and yearly returns for the Fama-French 3 Factors model which are excess market (Rm-Rf), small-minus-big (SMB) and high-minus-low (HML) returns. I ...
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continuously compounded(cc) return of a portfolio is not equal to the weighted sum of cc return of individual assets

In textbooks it is stated that the continuous compounded (cc) return of a portfolio is not equal to the weighted sum of cc return of individual assets as the log of the sums is not equal to the sum of ...
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Comparing a money-weighted return of my own portfolio with a benchmark ETF/other portfolio that is subject to the same cashflows

I am able to calculate the money-weighted return (XIRR equivalent in Excel) of my portfolio. Whilst I can compare this with ‘headline’ returns of ETF’s, Mutual Funds etc, I want to isolate the timing ...