Reputation
Top tag
Next privilege 250 Rep.
View close votes
Badges
9
Impact
~5k people reached

Aug
24
revised How to calculate Skulls Financial Turbulence for one asset?
edited title
Aug
21
comment How to calculate Skulls Financial Turbulence for one asset?
Let's keep it in one dimension, so just one asset. If $\mu$ is commony set to zero, how do you calculate the $Var[DJIR]$ then? $\mu$ is needed to calculate also the $Var[DJIR] = \frac{1}{N-1}\sum_{i=1}^{n}(DJIR[i]-\mu)^2$. Moreover even by using the $Var$, shouldn't the function become: $$d[5] = (DJIR[5] - \mu) * Var[DJIR]$$
Aug
21
revised How to calculate Skulls Financial Turbulence for one asset?
edited tags
Aug
20
revised How to calculate Skulls Financial Turbulence for one asset?
added 18 characters in body; edited title
Aug
20
revised How to calculate Skulls Financial Turbulence for one asset?
added 4 characters in body
Aug
20
revised How to calculate Skulls Financial Turbulence for one asset?
added 4 characters in body
Aug
20
asked How to calculate Skulls Financial Turbulence for one asset?
Oct
9
awarded  Popular Question
Sep
24
awarded  Autobiographer
Mar
5
accepted Sharpe Ratio, annualized monthly returns vs annual returns vs annual rolling returns?
Mar
5
comment Sharpe Ratio, annualized monthly returns vs annual returns vs annual rolling returns?
Thanks for explaining also when to use CAGR (ex-post Sharpe Ratio) and when to use simple arithmetic returns (forward-looking forecast Sharpe Ratio)
Mar
4
comment Should I use an arithmetic or a geometric calculation for the Sharpe Ratio?
Where can I find a demonstration that $$\mu_g \leq \mu_a$$
Feb
28
revised Sharpe Ratio, annualized monthly returns vs annual returns vs annual rolling returns?
Bolded the phrase that I think to be best related to the question, I had to remove a piece of phrase because it did not let me edit answer unless I change at least 6 chars
Feb
28
suggested approved edit on Sharpe Ratio, annualized monthly returns vs annual returns vs annual rolling returns?
Feb
28
comment Sharpe Ratio, annualized monthly returns vs annual returns vs annual rolling returns?
@Richard: thanks, I got the point to NOT use WAY 1, let's ignore rolling returns then, but still the question remains: why shoukd i use annualized monthly returns which adds a bit of complexity, instead of just yearly (non-rolling) returns (i.e. WAY 2). I updated again the question, hope it helps to make it more clear.
Feb
28
revised Sharpe Ratio, annualized monthly returns vs annual returns vs annual rolling returns?
added 12 characters in body
Feb
27
revised Sharpe Ratio, annualized monthly returns vs annual returns vs annual rolling returns?
deleted 2 characters in body
Feb
27
awarded  Scholar
Feb
27
accepted At what point does someone using technical analysis become a Quant?
Feb
27
comment Sharpe Ratio, annualized monthly returns vs annual returns vs annual rolling returns?
@John: thanks for your comment which started to enlight things up a bit. I thought the rolling yearly was the way to go because it generated more RoRs, I updated the question. Please let me know what you think, and how I could improve it.