# Tagged Questions

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.

77 views

### different amount of information on return correlations from shorter and longer periods?

I want to calculate annual excess returns on portfolios using monthly (total) returns for a CAPM (for the assets in the portfolio as well as for the benchmark), in order to have more information on ...
561 views

### T-note returns from T-note yields … derivation of Damodaran's formula

Damodaran's historical data on 10-year T-note returns (found here) uses the following formula to calculate the 1-period total return on a T-note ($R_1$) given the 10-year constant maturity yield-to-...
43 views

### cumulative return calculation, disagreement

A friend of mine and myself are having an argument on how to correctly determine cumulative return. The dataset has monthly return data and we are trying to determine the 6-month cumulative return. ...
54 views

### Parametric bootstrap in generating returns and hypothesis testing

I am trying to test a hypothesis of a statistic calculated from portfolio returns. To do so I estimate a model on the original returns series and want to obtain 100 bootstrapped series using ...
35 views

### Calculate total risk [closed]

I have a question regarding how the risk is calculated, if I have only the returns. I think the risk premium (rp) is just the average of the returns and the sharpe ratio is the risk premium divided by ...
100 views

### Drivers of equity returns: dividend yield, change in P/E and dividend (or earnings) growth

In an NBIM paper I read the following: "... one can break down the total equity return into the dividend yield (the starting valuation), the change in the P/E ratio (the change in valuation) ...
50 views

38 views

### Fitting (marginal/multivariate) distributions to financial return data

I have calculated the simple arithmetic return on a number of different financial securities and am fitting both a Student-T and Generalised Pareto Distribution. My question is can I just use the ...
203 views

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). ... 0answers 75 views ### Confused on interpretation of betas/alphas in regression in finance I ran a regression on two stocks. I don't have the data in front of me, but it is a more conceptual question. Let's say SP500 returned a total 23% return over this time period and MSFT returned 9%... 0answers 69 views ### Calculating Asset Returns The question pertains to a simple phenomenon. There is gold futures listed on Exchange A and Exchange B. Exchange A and Exchange B overlap times with A and B starting 8 hours later and A and B ... 1answer 54 views ### De-annualizing a target alpha return apologies if this is not the correct place for this type of question, but I just want to confirm if the following de-annualization is correct. if a manager states that he will earn 200 bps of target ... 0answers 69 views ### robust regions in grid search I have a strategy f that takes parameters x,y (for x,y taking values in integer ranges). I get two grids (of returns and volatility values) from computing f(xi,yi) for integer ranges x1 <= xi <= ... 0answers 240 views ### trading strategy outperforms passive strategy in absolute terms, but in returns vice versa. how could this be? Background: I want to compare two trading strategies in term of profitability. The red one is an active trading strategy, which involves many entry and exit to a specific market. The blue one is a ... 0answers 75 views ### Sampling and/or asymptotic distribution of a function Assume we have the following function: $$f(p) = \frac{1}{(1-p)d}\ln\left(\frac{1}{T}\sum_{t=1}^{T}\left[\frac{1+X_t}{1+Y_t} \right]^{1-p} \right)$$ where$d$is a constant$T$is a constant$X_t$... 0answers 681 views ### Long/Short portfolio return Suppose I have a Po with one long, one short positions and some cash (to balance the short + 50% margin) as shown below: ... 0answers 106 views ### Insignificant or significant explanatory power over risk adjusted returns? Currently iam working on my master thesis which is about risk adjusted returns in the Asia Pacific REIT market. The goal of the paper is to determine/find variables that conceive explanatory power ... 0answers 88 views ### % Return on backtest with variable positions and notional amounts I have a 14 year backtest for a systematic strategy that uses a static notional per each position. On any given day I could have multiple positions long and short and notional long and short. How do ... 2answers 74 views ### Correlation between 2 stocks [closed] If Stock A returns 5% on average in year Y And Stock B returns 2% on average in year Y Does this mean that correlation is 40%? 2answers 199 views ### Geometric Variance If the arithmetic mean is:$ \frac { \Sigma (x_i) }{n}$and the geometric mean is$ (\prod (1+x_i) ) ^{1/n}$The arithmetic variance is$ \frac { \Sigma(x_i-\mu)^2 } {n} $then what is the ... 1answer 66 views ### Is there any relationship between investment return of a stock, for individual year (Yearly return) and multiple years (Overall annualized return) currently, I'm calculating the return of a stock, for individual year and multiple years. I tend to answer the following question. Return of a stock for end of year 2010 (Individual year) Return of ... 2answers 406 views ### Trading days or Calendar days for Compound Annual Growth Rate? When calculating CAGR for intervals shorter than a year (or intervals that are longer than, but not integer years in length), should you use the 252 trading days or the 365.25 calendar days? The ... 1answer 27 views ### Which rate of return to use in portfolio weight estimation? I am learning the basics of portfolio management. I am confused about different ways to calculate rate of returns mentioned in the text investment and portfolio analysis. There are three methods to ... 2answers 78 views ### How to calculate annual returns from daily prices? Suppose I have daily adjusted closing prices for SPY, for example from yahoo finance. How from this calculate annual return? Note: It's NOT about issues like 1.2 means 20% or 0.2 means 20%. The ... 2answers 120 views ### Estimation of annualized volatility depending on data frequency - exceptions to the general rule? From my understanding, the annualized standard deviation of daily returns is generally higher than of annualized standard deviation of weekly returns is generally higher than.... monthly...quarterly...... 2answers 97 views ### Volatility of EUR/USD: is this correct? Let x be the closeBid price of EUR/USD, sampled every 5 minutes during year 2015 (historical data). This is the variation (is it ... 1answer 76 views ### Is the value also log-normally distributed? My book assumes many times that$log(1+R)$is normally distributed, so R is log-normal. But does this also mean that the value process is log-normal? Since$V=V_0(1+R)\rightarrow V/V_0=1+R$, and since ... 1answer 129 views ### Index creation from multiple time-series and variable weights I am trying to compose one index out of several (three) indices with variable weights, 50%, 25% and 25%. After normalizing and calculating the log returns, what would be the best way to create the ... 4answers 1k views ### compute sharpe ratio for options? Calculating sharpe ratio for shares is a straight forward task: (average returns - risk free ) / standard deviation. However i remain baffled as to how to tackle the task for options, can someone ... 1answer 2k views ### How to adjust local currency returns to US$/EUR return?

Iam doing research on return characteristics. As of today the scope of the research has changed from a local investor point of view to an international investor point of view. This basically means ...
41 views

### Portfolio Theory: Must VarCovar Matrix be based on return var/covar?

I am trying to estimate the minimum variance portfolio where the assets are currency derivatives. In the specific case it does not make sense to base correlations or variance on asset returns. I am ...
29 views

### How to calculate 5 years return & STD for ETF?

I want to calculate by-myself 5 year return & STD for SPY ETF. What I did: Downloaded to Excel from yahoo finance historical data for the ETF (daily Adj. Close) from ...
How does one calculate the return on a portfolio if the assets in that portfolio were held for varying periods of time? For Example: $t_0$ Buy AAPL at 100 $t_5$ Buy MSFT at 20 $t_1$$_0$ Sell MSFT at ...