Questions tagged [returns]
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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Inter-temporal structural stability of stock markets
For my bachelor thesis I am trying to determine structural stability of some stock market in the following way:
Identify an ARMA model for the whole sample
Split the sample in two parts, and estimate ...
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variance of asset returns linear for time
I am reading Wilmott's book, "Quantitative Finance" and try to understand the derivation that the variance of asset-returns, $V[\Delta S/S]$, is a linear function of the time step $\delta t$....
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internal rate of return ((M/X)IRR ?) of a fund
I have the following data for a fund. The contributions come from the LPs (i.e., the investors invest more in the fund, or withdraw money from the fund), MV stands for market value.
The timing is not ...
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Do EWMA weights remove autocorrelation in asset returns?
I know that the exponentially weighted moving average (EWMA) volatility estimator drapes a decaying weight function over historical returns in order to weight the past according to the decay of their ...
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Convention for computing returns on bond futures
From the CME website, we know that the contract unit for bond futures is "face value at maturity of $100,000".
Which of the following is more appropriate the convention to compute "...
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Interpretation of a uniform asset return distribution
Typically asset return distributions are bell-shaped with most mass occurring in and around the center, 0% returns, and less so in the tails, with the left tail representing the probability of large ...
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Formula for coskewness and cokurtosis of LogN to project linear returns
I want to find the coskewness and cokurtosis of the multivariate LogN(mu, sigma) distribution from the moments of a normally distributed multivariate distribution (ie: log returns). These higher order ...
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How important is the chronological ordering of historical returns?
The returns of asset $A$ in chronological order are
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The expected return, or sample mean, is $-0.00143$ while its sample ...
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What kind of returns should I use for my model?
I'm building a machine learning model with the aim of learning a daily strategy of buy or sell the stock.
I was wondering if I should use adjusted close price or something else to calculate returns (I ...
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Monte Carlo approach and methods for generating random returns
Recently I found myself reading more about Monte Carlo approach in m.v. portfolio optimization framework.
I already discuss the topic on this forum (if interested please consider the following links - ...
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Are cumulative returns stationary?
Log differenced returns, computed from stock prices, are known to be stationary. What about cumulative returns, are they also stationary? if not why not? Are there other properties, like non-i.i.d., ...
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How to deal with missing stock returns?
If I want to calculate the Covariance between two stocks but there are missing days in both, how can I deal with missing data? I want to use Pairwise deletion and only use the days of which both ...
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Calculate annualized returns and annualized volatility from monthly returns?
I have a dataset with monthly returns (In decimals)
Jan-2008, Feb-2008 .... Dec-2008, Jan-2009 .... Dec-2017
This is what I have done,
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Excess Daily Returns to Excess Quarterly Returns
I am building a model which predicts the Excess Daily Returns over a time period. How do I convert these excess daily returns to excess quarterly returns? Should I just do an average of all the daily ...
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Mutual fund performance over time
I am a little bit stuck with my dissertation thesis, so help will be greatly appreciated. I am trying to analyze the performance of different mutual funds, which I have classified according to ...
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Volatility of multimodal distribution of returns
Take $x_1, x_2, \ldots, x_T$ to be the price of a stock, indexed by $t=1, 2, \ldots, T$. Define rate of return at time $t>W$ for a window size of $W$ to be
$$r_t = \frac{x_t - x_{t-W}}{x_{t-W}}$$
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Predict Log Stock Return Direction and Trading Strategy
The $k$ period log return is defined as $$r_{t}(k)=log(S_{t}/S_{t-k}),$$ Where $S_{t}$ is the stock closing price at time $t$. For argument sake, assume that by time I mean a stock trading day and ...
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Why do cumulative returns have a bimodal distribution?
Regular returns (log-differenced prices) have statistical distributions that are bell-shaped and unimodal (one mode/peak) despite being non-normal and fat-tailed.
Cumulative returns, on the other hand,...
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What are DGTW adjusted returns?
Many papers, e.g. in The Journal of Finance, discuss DGTW adjusted returns (or DGTW abnormal returns) instead of just returns.
What are these and how does one compute them?
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How to compute portfolio returns when constructing a dollar-neutral portfolio
I am trying to wrap my head around this statement:
dollar-neutral portfolios are built: dollar amounts of both long and short positions are equal. Furthermore, it is also true at the stock level: ...
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Cumulative returns are more correlated than non-cumulative
I was just comparing two daily returns series and noted that the correlation between them is a lot higher if they are cumulated (about .95 for cumulative returns, vs .15 for non-cumulative). I feel ...
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Normality or Log-Normality of Regular Returns
Another old question on this site (How to simulate stock prices with a Geometric Brownian Motion?) inspired me to ask the following question: if we assume that regular returns could be normally ...
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Get the weights of porfolio variance given standard deviation
I am trying to create a Simulated Portfolio Optimization based on Efficient Frontier on 50 stocks, which you can find the csv here. Yet it already takes me several minutes to get a suboptimal solution:...
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Optimal predictors for 1-month returns
I am implementing a Random Forest classifier algorithm on Python for predicting future stock returns (one month). My goal is to foresee whether the cumulative returns in a month will be negative or ...
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Possible application of Polya's Urn on Portfolio's Investments?
I wanted to find some more information of this topic, but I found very little.
I might be interested in optimizing a stock investment portfolio. Maybe I could use beta or some other common risk ...
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Constructing a replicating portfolio of a long-only strategy using long-short factors
Lets say I want to estimate a replicating portfolio by doing a linear regression between the returns of a long-only portfolio and several long-short factors like Fama-French 5-factor or Betting ...
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Does asset volume, rather than asset returns, predict performance?
Asset returns are the most common data type used in finance. They are derived from closing price data. Ordinary level 1 data for stocks not only consists of closing prices, but also gross volume ...
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Is "time value of currency" to be accounted for in returns calculation?
A simple question: When exchanging currency in order to finance an investment, is it standard/best practice to adjusted for exchange rates when calculating the NPL of that investment?
For example: I, ...
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The use of volatility from log returns and raw return
As far as I know, we usually use log returns( $ln\frac{p_{t+1}}{p_{t}}$ ) in quantitative finance.
For example, let's say we have lots of monthly log returns data, $R_m$.
Then, we can get the mean ...
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Calculating returns with trading costs
This perhaps is an over simplification of calculating trading returns while including trading costs. I've made some assumptions - the commission for investing and extracting an investment is 1% and 2% ...
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Fama Foundations of Finance today
Which could be a recent equivalent of Fama's book Foundations of Finance?
By "equivalent" I mean a book which is rigorous, but without being a book on stochastic calculus; which is focused on stock ...
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Results of Fama MacBeth regression
I have run Fama MacBeth cross section regression of of Excess Return of stocks on Idiosyncratic volatility, the log of market capitalization, book to equity ratio and Beta. I'm getting all significant ...
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The ratio of upside deviation to downside deviation in portfolio weighting
I've been calling this ratio "acceleration" in my head, so I'll do the same in this post. The question is, is this relationship used anywhere and if so, how? My thought process is as follows.
Risk ...
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Compound the monthly returns to make them quarterly [closed]
How can someone make the Kenneth French library data returns quarterly from monthly? Since they are not loq returns, then you need to compound returns rather than summing them up. I want to make the ...
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Fama-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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How do I maximize my expected utility of wealth?
Suppose I have a utility function say $U(p)=p^{1/2}$
and I bet on a basketball game.
I have my initial investment, payouts and probabilities of winning, how can I determine the maximum I need to bet ...
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Calculating the daily continuously compounded return from index values
Given I have 3 index values at time $t = 0, 1 , 2$, how would I go about calculating the daily continuously compounded return?
Time: $ 0, 1, 2$
Index Values: $4000, 4086, 4114$
Any help would be ...
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How can I convert rolling annual returns back to quarterly returns?
I have a series of rolling annual returns and would like to convert these back to quarterly returns, which have not been provided. Is this possible formulaically, or is something like Excel's solver ...
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Statistical significance of mean returns between two portfolios
Suppose I have developed two versions ($A$ and $B$) of a factor model for ranking stocks. Both versions of the model use the same scoring system: stocks are percentile ranked within a given universe ...
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CAPM - Expected vs. actual returns
I'm trying to calculate alpha in excess of CAPM and have seen a few slightly different calculations for CAPM.
The primary difference I am seeing is that some equations use expected market returns (e....
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Incremental/marginal contribution to VaR in a simulation setting
Estimating marginal contributions to VaR in a simulation setting is apparently quite difficult (see e.g. this blog post) due to issues with sampling variability. My question is whether the following ...
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Returns on the Fama-French size sorted portfolios
For my thesis, I need to replicate a specific research paper in the field of empirical asset pricing, mentioning the CAPM in particular. The data mainly consists of monthly returns on portfolios ...
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Overnight and intraday returns of stock index and ETF seem inconsistent
Figure 2 of the 2019 paper "Celebrating Three Decades of Worldwide Stock Market Manipulation" shows that 29 Jan 1993 to 31 Oct 2019, overnight returns (from close to open) of SPY were 1232% while ...
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Closing prices are predicted very well but returns are predicted poorly
I'm learning some time series analysis and forecasting techniques, I've tried to predict stock prices for Netflix but I'm very confused.
At first I've tried Auto ARIMA which gave me a straight line, ...
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Time and asset weighted rate of return of a portfolio
If I have a portfolio with 3 initial assets on day 1 (say, stock 1 with beginning market value of \$100, stock 2 \$150 and stock 3 \$175) and after 10 days the stock 2 is sold for \$200, how can I ...
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How can I calculate returns for three investment strategy?
Assume that the price of DF stock went from a price of $104 on March 2 to 146 on April 1.
With a current stock price of 146, there is a call option available on the DF stock with an exercise price ...
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How to calculate the daily rate of return for an actively traded account
I have a spot currency exchange account where the base currency is USD and where I can deposit and/or withdraw money from the account in any currency at any point in time. I can also exchange any ...
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Calculation of dividend yield from index returns
For a research project, I need to find or calculate dividend yield for all the index of major countries in the world (e.g: s&p500,DAX,CAC40 and so on), and I am struggling a bit with it.
I cannot ...
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Optimize risk return of portfolio
I have gathered stock prices from 15 companies over a year.
I calculated the averages, yearly volatilizes, and the correlation matrix.
I was asked to find the optimum weight for each stock with a ...
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Portfolio software that shows 'total return' for each investment
I'm a high school technology teacher and sponsor for the Charity Student Investment Project. Currently our students track our investment portfolio via a google spreadsheet (http://...
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