Tag Info

New answers tagged

0

For analyzing a series of trades on a single stock over a period of time. You can understand your market timing contribution by comparing your actual return to the return from consistently holding your average exposure to the stock over that whole period. To then get a feeling for how much you are contributing compared to how much you are messing with a ...


2

There is no universally accepted answer for the main problem here which is the denominator for the return calculation is zero or near zero. There are a few common solutions to this issue. The most simple solution is to use the total portfolio notional as the divisor for the PnL. This can be considered the PnL contribution of that long/short sub-portfolio ...


0

Thanks for the answers and comments above. In particular to Eric Brady, who had me reading a lot of Bayesian papers. In the end, I think the answer to the question is that on the monthly time-frame robust factor algorithms aren't really necessary. On daily and lower time frames, large spikes in returns due to events (earnings ect.) can really mess with ...


0

I've often thought about the same thing. To try and figure out some concrete (in my opinion) information about a stock or mutual fund, I wrote something in Python to simulate: buying stock at some interval stock paying dividend at some interval adjusting returns for inflation subtracting out fees (if a mutual fund or something with an expense ratio) do ...



Top 50 recent answers are included