# Questions tagged [annualized]

The tag has no usage guidance.

33 questions
Filter by
Sorted by
Tagged with
124 views

### How to annualize the correlation matrix?

If asset returns are daily, and the asset return covariance matrix, $\Sigma$, is annualized by $\Sigma \times 252$, do I also multiply the correlation matrix by 252 to annualize it?
57 views

### Performance measurement

When I regress the excess performance of a portfolio on the MKT Factor using daily data. I get a Beta of 0.95 and an alpha of 0.00011 that I annualize *252 = 2.77% I know that the annualized return of ...
34 views

### Alpha and returns annualized

Basic question , but if I do a daily regression and get an alpha of 0.00004. Should the yearly alpha be : 0.00004 *100 *252 = 1.008% OR 0.00004 * 100 *365 = 1.46%. What is considered the yearly alpha ...
53 views

### 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, ...
54 views

### Annualised returns and volatility for 3 month data

I have a portofolio with 30 indexes and I want to calculate the annulised returns and volatility because I want to compare it with another portofolio with different number of indexes (but same time ...
86 views

### Annualized Volatility with simple returns

I am aware of the way to annualize a volatility using log returns (stdev(daily log returns) * sqrt(252)). But how can I do the same if I have a time series of simple returns (price_t - price _t-1) / ...
142 views

### 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 ...
42 views

### Tracking a portfolio's annualized return

Sorry for this dumb amateur question, but looking for some help. I’ve created an Excel line chart that tracks a portfolio’s annualized rate of return. For example, a year ago the portfolio had an ...
76 views

### Understanding APR via programming [closed]

I am trying to better understand different types of interest rates. However, I am having difficulties complete, consistent and pedagogically-efficient explanations online. Thus, I have decided to ...
231 views

266 views

### Monte Carlo simulation based VaR: daily vs annual parameters

I am given the initial price, annualized return, and volatility of a security. I am trying to calculate annualized VaR using Monte Carlo simulation approach. To do this I will use the following ...
285 views

### Calculate Annualized Return / Annualized Sharpe From Portfolio

If I have a portfolio of stocks that I invest in and out of at different holding periods and different times of the year. How would one calculate the annualized returns and annualized sharpe ratio of ...
268 views

### Annualization of coskewness and cokurtosis

I am constructing a mean-variance-skewness-kurtosis portfolio based on monthly data with a holding period of one year. Meucci describes how to annualize higher order moments in general, but not how to ...
4k views

### Calculating annualized volatility of stock returns

Suppose I have a sequence of monthly returns of a stock, $r_1,r_2,\ldots$. Suppose further that this is an i.i.d. sequence with with finite second moments. In every paper, report, lecture note etc. ...
209 views

### What is the industry standard for annualizing returns over non-contiguous time periods?

Suppose I am invested in the same fund for the first 200 days in 2013, some combination of 150 days in 2014, and the last 100 days in 2015. Further suppose that geometrically linking the daily returns ...
1k views

### Annualized Log Returns

I backtested an investment strategy over ten years (521 weeks to be specific) and calculated the weekly return using log returns. The sum of all weekly returns added up to 145%. How do I annualize ...
148 views

### How to calculate interest rate in this problem?

Problem: A loan of £12,000 is issued and is repaid in instalments of £300 at the end of each month for 4 years. Calculate the effective annual rate of interest for this loan. What I tried- But ...
296 views

### What does continuously payable annuity mean?

I am preparing for F< exam but I am unable to understand the meaning of continuously payable annuity. What does it mean? An example would be great.
483 views

### Calculating Net Annualized Return on LendingClub historical data

I am interested in the formula LendingClub provides as their measure of "Net Annualized Return": \$\big(1 + \frac{\sum_{i=1}^N{((I_i + L_i - S_i - C_i + R_i) / P_i) P_i}}{\sum_{i=1}^N{P_i}}\big)^{12}-...
380 views

### Annualised Sharpe Ratio for Index vs Index Benchmarking

I am currently writing a paper about the performance characteristics of alternative energy equity indexes and am therefore comparing them to their benchmark indexes (msci world, etc). To calculate the ...
2k views

### How to annualise the volatility of non-iid returns?

I have a series of monthly log-returns; let's assume the log-returns are normally distributed, but exhibit significant serial correlation. In the case of normal, i.i.d. returns, I can annualize the ...
84 views

### PerformanceAnalytics and Annual Charting

I have seen a charts that look's like Is it possible to do something like this with PerformanceAnalytics or is there any other package for doing this? Thanks in advance
205 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 ...
10k views

### Sharpe Ratio, annualized monthly returns vs annual returns vs annual rolling returns?

I would like to calculate the Yearly Sharpe Ratio on MSCI World index I have monthly values of the index that falls back up to Jan/1970, hence about: 44 years, 528 months In order to calculate ...
3k views

### Calculating Geometric mean

I need to annualize daily returns for about 120 firms for over a period of 10 years. I chose to calculate the geometric return because 1) it is the actual return 2) to avoid the asymmetric effect of ...