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# Questions tagged [asset-returns]

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### How to calculate sharpe ratio

I have end of month Gold prices, Returns of treasury (in percentages) & end of day NASDAQ index over 20 years. I want to compute risk adjusted returns by finding sharpe ratio. Im confused how do i ...
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### Optimized Method to Calc Real Rates of Return From Monthly Nominal Rates

I wrote the following VBA code to calculate real rates of return using Robert Shiller's dataset: Note: This calculation is for forecasted returns so I have no prices available to do the calculation by ...
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### Calculation of daily dividends from total return index data

I have a question regarding the inclusion of dividend payments in total return indices, but I have no background in finance, so I'm hoping someone here can help me out - any help is highly appreciated!...
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### Cumulative returns when shorting with regards to variance drag

What is the convention when calculating/analyzing daily returns for a strategy when shorting is involved? I found the following answer regarding variance drag useful in understanding why there is a ...
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1 answer
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### Am I able to find individual returns from total weighted average of returns? [closed]

As titled states… I am trying to figure out how to solve for individual return given average weighted total return and weights of individual returns? For example: 2% = (r1 x 0.2) + (r2 x 0.5) + (r3 x ...
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2 answers
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3 answers
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### Why can we assume that asset return rates are normally (or lognormally) distributed?

In many theories of financial mathematics it is assumed that asset return rates are normally distributed (e.g. VaR models) or lognormally distributed (e.g. Black-Scholes model). In practice, asset ...
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### How to compare performance of a German stock

How would you compare the performance of a German stock listed in DAX? I heard many use Euro Stoxx 50. But wouldn’t be the obvious choice to use the DAX? Also, would you use DAX INDEX or DAX FUTURES?
• 109
3 votes
2 answers
661 views

### Distribution of simple returns vs logreturns

I understand that stock prices are conditionally modeled using a log normal distribution by the relationship $y_t/y_{t−1}∼logN(μ_{daily},σ^2_{daily})$ $y_t∼logN(log(y_{t-1})+μ_{daily},σ^2_{daily}))$ ...
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1 vote
0 answers
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### Fama-Macbeth with Liquidity Sorted Portfolios

I'm currently working on a paper in which I'm trying to see whether the liquidity premium is an observable phenomena when taken into the context of computer games. From my research online I've found ...