Questions tagged [annualized]

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Annualization of higher-order co-moments (coskewness and cokurtosis arrays)

I'm developing a dynamic portfolio optimization procedure based on the implementation of the Modified sharpe ratio. The mentioned ratio depends, among other factors, on the skewness and kurtosis of ...
3
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0answers
278 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 ...
3
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0answers
519 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}-...
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100 views

How to properly annualize portfolio volatility

I have a portfolio consisting of several assets and I'm using daily data to calculate various portfolio metrics, including historical returns and volatility. In order to compare portfolio performance ...
1
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1answer
76 views

annualized vs annual returns

For the purposes of MPT, to compute return of an asset, one typically uses the daily log return of the assets and then anualizes it and the same goes for stddev ...
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2answers
313 views

How to obtain annualized IR from t-monthly IC?

When we checking the relation between some factors and Stock price, we could use Information Coefficient(IC) to meausre. And then I already have t-monthly IC for each factor, and I need to calculate ...
1
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0answers
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
0
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0answers
62 views

How to annualise hourly returns?

I have hourly open,high,low,close candles data for a particular asset. I wrote my own algo and some back testing code that replays the data from the past hourly candles to calculate the total return ...
0
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0answers
44 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 ...
0
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0answers
314 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 ...