Questions tagged [investing]

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4 votes
1 answer
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Should factor signals decay?

If the factors have information content, I expected factor portfolios constructed using recent financial statements should outperform portfolios using stale data. To test this, I used the Professor ...
Charles Fox's user avatar
3 votes
0 answers
171 views

In investing, the crowd is wrong much more often than right

I am reading Ken Fisher's Beat the Crowd, and the second sentence in the book is this: In investing, the crowd is wrong much more often than right. I was wondering if there is a way to define the ...
tchakravarty's user avatar
2 votes
0 answers
46 views

Extract Qualitative information from annual report commentary and disclosure

Can anyone give idea on the value of latent information in annual report commentary and disclosure. It would be interesting to hear from analyst on how much time they spend reading through annual ...
Jimboi's user avatar
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2 votes
0 answers
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What type of fund is this?

Is there a name for a fund or investment where many people all split the cost of the investment. For example with peer to peer lending many investors can loan 50 dollars or more to a 40,000 dollar ...
user41315's user avatar
2 votes
0 answers
74 views

Looking for: List of 30 top-performing value investors in the US (AUM 100USD mn+; 10 years)

we are currently looking to build another database sourced by crawling the SEC (freely available at SimFin). Our goal is to build a monthly updating database showing the holdings of the top value-...
MRC89's user avatar
  • 375
1 vote
0 answers
170 views

Question regarding loan tape data when thinking about providing credit facility to bank

I have few questions regarding loan tape data such as this one: Data Say that I as a fund want to provide a credit facility to this bank and am given this loan tape data. (1) What observations / ...
Gaia's user avatar
  • 11
1 vote
0 answers
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Which stock price to take for historical ratios in stock screener (EPS etc.)?

We are currently testing a stock screener that we built and want to implement historical ratios in there too - this is working already for all ratios that don't require stock prices (so all ...
HLus's user avatar
  • 81
1 vote
1 answer
451 views

What does NPV ASSENTED after stock name mean?

For a project, I have to quantitatively implement a strategy for value investing in EURO STOXX 50. I pulled the data from Datastream. When I was checking some data plots for dividend yields and total ...
Finance_Newbie's user avatar
0 votes
0 answers
32 views

Accuracy/Quality of financial data: revised financials or historical financials?

I am currently working on calculating financial metrics, particularly Free Cash Flow to Equity (FCFE) etc., for investment analysis. In the context of financial analysis, I'm wondering which set of ...
Dominik's user avatar
0 votes
0 answers
92 views

How do i use this formula to find the YTM of a step up bond?

I'm trying to find the YTM for a step up bond that trades at par value, how do I use this formula? Since the par value and sale price is the same, and coupon payment is different each payment.
user68809's user avatar
0 votes
0 answers
131 views

How to create Rolling Sortino Ratio?

There are two methods. Only the numerator the average realized return will be rolling (10 years) while the downside deviation is calculated from full time period. Both numerator and denominator are ...
Anon9001's user avatar
0 votes
0 answers
107 views

Momentum Indicators/Oscellators for Trading

The concept of momentum in trading is a bit weird to me. It seems to me to be measuring a first derivative or first difference of price, or something in that ballpark depending on the exact formulae ...
user61302's user avatar
0 votes
0 answers
59 views

Finding stock pairs whose spread is used for a risk neutral long-term investment

I am currently working on researching about ways to improve returns in pairs trading. I had previously posted a reference request here, where I had described a toy pair that seemed to be co-integrated....
TryingHardToBecomeAGoodPrSlvr's user avatar
0 votes
1 answer
422 views

Include Dollar Cost Averaging Strategy in BT python

I am using bt backtesting to test between an initial lump sum into 'ETH-USD' and a dollar cost average approach. I will then look into a different mix of equally weighted crypto. What I like about bt ...
Mike Sell's user avatar