# Tagged Questions

The tag has no wiki summary.

27 views

### Is the value also log-normally distributed?

Sorry if this is a stupid question. 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 ...
33 views

### pairs trading strategy return [closed]

i don't understand how the final return is Calculated in this part of the code matlab. r4 is the total return vector 'series' Represents the prices of companies. Specifically I'd like to learn the ...
63 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 ...
44 views

### How to model the effect of earnings surprises on long-term returns?

I'm looking into modeling the relationship between EPS announcement surprises with long-term returns (1 quarter to 3 years with intervals). I've based my current methodology off papers looking at the ...
70 views

### How to calculate returns of backtested strategy?

Lets say I have some strategy (long/short) backtested for certain period. Strategy has entries/exits only at the end of the day and may have overnight positions hold. Now I would like to compare ...
106 views

### Calculate bond returns from yields

I have to construct and evaluate portfolio of bonds and stocks, namely I need to get return on portfolio, standard deviation and sharpe ratios. I have weekly data that contains stock prices, and I ...
66 views

I intend to calculate the daily return on my investment in forex. Assume a trader invests $\$$40 at a leverage of 100:1, so in total he is trading \$$4000 worth of currency, and assume the position ... 1answer 127 views ### Predicting stock returns - in a panel data specification or by using portfolio formation strategies? I'm working on an empirical analysis where I try to predict stock returns using weekly data. Ideally, I would like to use a panel data model like the following: $$... 2answers 319 views ### How do Return.portfolio and Return.rebalancing work in Performance Analytics in R? I have a question about the function Return.portfolio/Return.rebalancing from the Performance Analytics package in R. I take ... 2answers 241 views ### How to classify stocks by their volatility? I would like to hear other possible ways of classifying Stocks by the Volatility of their returns. Assuming that I want to characterize each stock as Low, Medium or High Volatility Stock and assuming ... 2answers 280 views ### Correlation between S&P500 returns and 10y US Treasuries yields I'd like to investigate the comovement of stock index returns with bond yields but I don't know which return's duration to use (1-year, 1-month or anything else) to get a better view of the ... 0answers 27 views ### How to compute return of a variance swap? How does one calculate the investment of a zero initial investment asset, specifically a variance swap? In this asset the payoff is given by the difference between the realized variance in a certain ... 1answer 55 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 ... 0answers 67 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 <= ... 2answers 58 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 51 views ### Weighting several returns over different time frames I have a set of annualized returns over 4 time periods: 10yr, 5yr, 3yr and 1yr. Is there a way to weight each return to have a "more representative" return? 1answer 36 views ### What does 2 Year Annualized mean compared to 1 Year Annualized I am looking at a company's financial report and there is a table in it that lists returns over different annualized periods. It ranges from 1 year to 20 years. Would a 2 year return in this table be ... 0answers 127 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 ... 2answers 419 views ### Looking for C# library that provides/contains performance analytics I am looking for a C# .Net library that provides trade performance analytics similar to R-PerformanceAnalytics. Basic return statistics, draw-downs, risk-adjusted returns, risk (variations), ... 1answer 145 views ### Estimating Beta from unevenly spaced price history I have a certain non-stock asset that has 1 transaction every 1 to 8 months. I also have a price index of that class of asset compiled by another party on monthly basis. If I regress price = \alpha' ... 0answers 29 views ### Real returns vs. inflation as an independent variable Assume a model like this, basically explaining stock market returns with a bunch of stuff: ... 2answers 419 views ### Definition of Return of A Long/short Portfolio This can either be a silly question or a question with no sure rigorous answer but defined with some convention. Any way, here it is. What is the (industrial recognized) definition of the return of a ... 0answers 40 views ### Econometrics - Granger Causality Suppose we have two time series, if one has autocorrelations and the other is non stationary how do we test whether they Granger cause a returns series? 1answer 53 views ### Attributing change in yield as a result of structural change Suppose your portfolio has w_0 amount of bonds with yield r_0. Now you buy additional w_1 amount of bonds with yield r_1, then buy additional w_2 amount of bonds with yield r_2. ... 0answers 67 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)$$where d is a constant T is a constant X_t ... 1answer 390 views ### What are DGTW adjusted returns? Many papers, e.g. in The Journal of Finance, discuss DGTW adjusted returns (or DGTW abnormal returns) instead of just returns. What are these and how does one compute them? 2answers 242 views ### Calculate Daily Returns for Sharpe Ratio For the purposes of Sharpe ratio, I calculate a trading strategy's daily returns using realized P/L only:$$ \frac{K(t + 1) - K(t)}{K(t)}, $$where K(t) is the cash balance after market close on day ... 0answers 113 views ### Correlation between idiosyncratic residuals and forward returns The classic mean-reversion strategy is to calculate an "expected return" (alpha) by computing the raw return for each security and then remove the part which you think is market driven. Statistically ... 2answers 174 views ### Multifractal Model, Generating Sample Paths with Correlations between Assets I have studied option pricing using Geometric Brownian Motion to generate sample paths. Because of the normal distribution, it is easy to create a covariance matrix and get correlated asset returns. ... 0answers 425 views ### How to estimate market integration parameter in Singer-Terhaar model for E(r)? Singer-Terhaar is part of CFA II and III curriculum. It estimates risk premium for some asset, traded at some local market, as weighted average of expected premiums for the case of (1) local market, ... 2answers 284 views ### Calculating and interpreting cumulative returns is R I have buy and sell signals,and accordingly, I artificially generate a signal series,for which,I assign 1 to every buy and -1 to every sell: ... 1answer 100 views ### Rate of Return Required on Buying Stocks with Loan A bank gives a loan L for m months and the monthly interest rate is i. The bank requires monthly installments - which I calculate is I = \frac{L}{m} + Li. I use this loan to buy ... 4answers 526 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 ... 2answers 1k views ### Calculate Average Price, Cost, (Un)Realized P&L of a position based on executed trades We have built an algorithmic trading software and need to calculate the following parameters for each position in our portfolio. Average Price Cost Realized Profit & Loss Unrealized Profit & ... 3answers 501 views ### Testing the validity of a factor model for stock returns Consider the following m regression equation system:$$r^i = X^i \beta^i + \epsilon^i \;\;\; \text{for} \;i=1,2,3,..,n$$where$r^i$is a$(T\times 1)$vector of the T observations of the dependent ... 0answers 364 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 197 views ### what is a reasonable beta in CAPM? I want to predict expected returns for assets using a CAPM, to calculate unexpected (unpredictable, idiosyncratic, non-systemic) returns in portfolios. My CAPM estimated on monthly total gross ... 1answer 85 views ### right benchmark for an incompletely diversified international portfolio (for a CAPM): MSCI World or MSCI ACWI IMI? I want to calculate annual excess returns on portfolios using monthly returns for a CAPM (for the assets in the portfolio as well as for the benchmark), in order to have more information on the ... 2answers 69 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 ... 1answer 898 views ### how to chain monthly excess returns into annual? I want to calculate annual excess returns on portfolios using monthly returns for a CAPM (for the assets in the portfolio as well as for the benchmark), in order to have more information on the ... 0answers 198 views ### comparing total returns from various data vendors I need to use various data sources to cover all of my data, and I am concerned by the discrepancies in total returns. Data vendors were helpful, but their simple documentation did not help resolve why ... 0answers 89 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 ... 1answer 258 views ### annual excess returns from CAPM on monthly total returns I want to calculate annual excess returns on portfolios using monthly returns for a CAPM (for the assets in the portfolio as well as for the benchmark), in order to have more information on the ... 0answers 67 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 209 views ### Block Bootstrapping Relative Returns I want to run a block bootstrap on the relative returns, but I'm not sure if subtracting the mean is important. A bootstrap sequence is a synthetic sequence generated using the original sequence. If ... 0answers 70 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 ... 1answer 356 views ### 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 ... 1answer 502 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 ...