Questions tagged [investment]

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20 views

How do I invest an amount into different annuities that have different interest rates and different payment periods?

I have a fund of \$150,000 that I want to invest for the next year. I want to be paid a monthly income from this fund such that I end up using all of the money through these different monthly pay outs....
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33 views

For investment analysis, is it helpful to draw charts of present value (PV) against rate (%)

Background I prepared a prototype getting cash flow as input and drawing as output some charts like present value (PV) against rate (%). The points with big radius on chart of NPV against rate are IRR ...
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33 views

Calculation cash flows for NPV = 0: numerical solutions

I have two time series of cashflows, one for renting a building and one for buying it. Normally I calculate the net present value for both cashflows and then calculate their difference. I do this for ...
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33 views

Change weights of the portfolio [closed]

I have spent a lot of time finding some trading alphas. Now, I have about 10 alphas to trade Future, I also optimized the portfolio by using Markowitz's Modern Portfolio Theory (MPT) to get weights. ...
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38 views

Calculating Portfolio Visualizer's CASHX Risk-Free Return Benchmark

I would like to understand how to calculate Portfolio Visualizer's CASHX symbol for every month. This ticker is used as a risk-free rate, based on historical 3-month treasury bill rates published by ...
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12 views

Including lagged dependent in DOLS to estimate R&D effects

I have estimated a DOLS model which seems to have a good fit. My aim with the model is to test alternative scenario's where I change some of the parameters ceteris paribus and analyse the impact. The ...
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1answer
55 views

What is the duration of a rolling 5 year investment?

I have difficulty with the duration of a 5 year investment (like GIC). In such an investment, the investment (GIC) rate is reset as the current market rates. So the market value is equal to the face ...
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1answer
68 views

How much market data is required to confidently predict the yearly returns of a stock?

I am looking to passively/lump-sum invest stocks. If I averaged the yearly returns of a stock, how many years would I need before I could say with 95% confidence that the averaged value would ...
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55 views
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41 views

Performance Attribution - changing weights

I would appreciate it if someone could help me tackle this problem. I have daily data of returns for my portfolio, daily weights accounting for various portfolio changes. Could someone explain how I ...
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26 views

Choose an investment option only knowing the costs, cost of capital and lifetime

A question in my course hasn't given us much to go on. I'm not sure if there is a specific model I could use to determine which project is the better one. 1st option costs 350.000, has a life ...
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1answer
133 views

Fixed Income Index, ETF Replication

Can anyone please explain how fixed income index are actually replicated (in an ETF) by asset managers ? I looked online, everyone says they do sampling (stratified sampling) which makes sense but I ...
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2answers
168 views

The best "risk measure" for an investor who does not want to lose any of his seed money

Question There is an investor who is afraid of losing any of his seed money (initial investment). Variance of investment returns is not a problem to him. He is willing to take variance as long as he ...
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1answer
214 views

Optimal investment strategy problem with competing bet-sizing options and limited budget

Apologies for a potentially naive question and unusual wording. I am from another field and would be very grateful for help! I am looking for the optimal investment strategy that maximizes an overall ...
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2answers
342 views

Comparison of Carhart alphas (four-factor model)

I would like to compare two strategies through the alpha Carhart obtained. The idea is to find out which one is more profitable (or the least bad). For the first strategy, I obtained a significant ...
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1answer
29 views

Citation for the definition of Return on Investment

I am writing a paper in an area where the concept of Return on Investment may not be clear. Is there a definitive source for its definition I can cite?
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53 views

What share of the stock market is owned by whom

These days we were discussing whom you have to beat if you are trying to earn money in the stock market. I think the players are private stock holders actively managed investment funds ETFs maybe ...
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1answer
279 views

How to Calculate ROIC (Return on Invested Capital)

I am trying to calculate ROIC based on data I receive from Yahoo Financials. A comprehensive output of what I receive from the site is below, which elements of this can I put together to get ROIC? <...
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1answer
55 views

What is this chart showing?

I am a software engineer studying business finance for the first time. I am really struggling with this chart. It's supposed to be the "two period model" showing the complete consumption tastes and ...
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1answer
195 views

Constructing an arbitrage opportunity for a company involving Forwards

Let's say an investor enters a long forward contract on 100 units of underlying assets $S$ and maturity $T$ = 4 years. The asset $S$ pays no dividends and the spot price of one asset is $S_0$ = £5. ...
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1answer
108 views

Why are changes in stock market wealth considered permanent?

Assume stock prices follow a random walk. If my investments go up by 1,000 dollars on the stock market today and I keep that money invested, in expectation, how much are my investments worth 1 year ...
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1answer
54 views

Security Analysis By Benjamin Graham Example Doubt [closed]

So I was reading (trying to read) Security Analysis by Graham and I came across this example ("Example 1" in the image attached below) Being the noob at finance and quant that I am, I was unable to ...
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0answers
107 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 / ...
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2answers
270 views

NPV and efficient market hypothesis

If I have an opportunity of investment, let's call it investment (A), that costs $I$ in year 0 and gives me $CF_1$ in year 1, I will accept it only if $NPV>0$ $NPV = -I + \dfrac{CF_1}{1+k} > 0$ ...
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1answer
76 views

How to calculate performance of a private equity investment?

Say an investment fund puts \$1 million into private equity investment in 3 installments (\$500k, \$250k, \$250k). You're given a data table which shows the date, contributions (\$500k, \$250k, \$...
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2answers
1k views

How exactly are corporate bonds priced at issue

I am interested in Debt Capital Markets but I am struggling to understand how bonds, particularly corporate bonds, are priced initially. I know that a company will tap an investment bank as book ...
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0answers
108 views

What should I learn/know before reading Investments by Bodie Kane Marcus?

I hope this is the appropriate place to post this. If not, I would really appreciate if someone could redirect me to the right site. I've been seeing a lot of recommendations for the book, ...
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0answers
75 views

Logic behind calculating a Carry Multiple associated with Startup Valuation [closed]

I'm reading a book called "The #1 Guide to Startup Valuation: How to value your startup in 12 easy steps" (p. 22-23) by Joachim Blazer. As one of the building blocks, namely "Return&...
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1answer
175 views

IPO Valuation: Share Pricing and Number of Shares

Does the number of shares matter for a company to go public? Suppose a company ABC went public and the initial valuation of the company shares to be sold stands at \$5000. Now, it can sell 1000 ...
3
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1answer
107 views

Possible application of Polya's Urn on Portfolio's Investments?

I wanted to find some more information of this topic, but I found very little. I might be interested in optimizing a stock investment portfolio. Maybe I could use beta or some other common risk ...
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0answers
76 views

Quantitative model for investing in ETFs [closed]

I want to build a model for asset allocation of my own personal pension in ETFs across four main asset classes: equity, bonds, commodity and property. I am familiar with Python and the basics of risk ...
2
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2answers
189 views

Optimizing Investment Portfolio

I might be interested in optimizing an stock investment portfolio. With or without using programming, is there an article I should refer to optimize my portfolio and help me taking good investment ...
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1answer
70 views

Filter the NASDAQ stocks for investment [closed]

I manage an investment portfolio since 3 years now. It might be interesting to filter all the NASDAQ stocks to tell us which ones have the greatest profit potential. Is there an arxiv or whatever ...
2
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2answers
145 views

Estimating realised gains given growth rate and churn

If one can estimate that the value of an investment portfolio will grow at $g$% per annum, and can estimate that approximately $c$% of that portfolio will be churned each year (sold and reinvested), ...
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0answers
22 views

Is there a standard name for subtracting time dependent risk free rates from PnL(Equity) curve?

When we subtract the time dependent risk free rate (Federal funds rate) from an PnL (Equity) Curve, what is the curve called?
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1answer
138 views

Comparing values of indicator between different stocks

I would like to ask whether there is a good way of analysing stock indicators that have no value limitations. For indicators like RSI we have a closed range ( 0 - 100 ) but in case of indicators like ...
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1answer
127 views

How did Dimson, Marsh and Staunton (2002) computed the equity index annual real return?

I was trying to read the triumph of the optimist, but it was almost impossible to see a well-written formula to show how the returns have been computed. In a simple sense, I do not know how the annual ...
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1answer
294 views

Why should long-term investors care about flash crashes/ intra-daily volatility/HFT?

I am wondering about implications of the speed of intra-daily trading on the wealth of an long-term investor. I am not necessarily asking about the costs of HFT trading to society but instead I wonder ...
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1answer
66 views

How to determine how much a company can invest in M&A activity?

I am an engineer who is increasingly interested in business-related things, and I am reading and learning a lot about what you can derive e.g. from financial statements. One question I was wondering ...
4
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1answer
380 views

How to (efficiently) calculate the maximum possible return of a perfect "crystal ball" investment strategy?

I am new to the world of investing, so please excuse the clumsy wording of the question... there is probably a better term for what I am looking for or maybe this is even a known/classic problem. If ...
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1answer
231 views

Time-Value of money exercise problem. Any advice on how to solve?

Problem An investor will receive $365 at the end of each year for thirteen years. The first payment will be received four years from now. Given that the interest rate is 3%, the present value of this ...
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1answer
34 views

Choice between 2 investments that cost the same but offer different interest and face value [closed]

Assume, you have a choice between two investments that both cost \$1000 each, however investment A pays \$20 a year and \$950 at the end of year 5 but investment B pays \$10 a year and \$1000 at the ...
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5answers
4k views

Thoughts on how quantitative hedge funds use machine learning to invest in the stock market (algorithms, examples of data, etc.)

I believe there are several post on this general topic but I thought I would start my own thread. I'm a former fundamental hedge fund investor (i.e. modeling a company's financials, forecasting the ...
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0answers
53 views

Does the FF 3-Factor model work with unadjusted prices?

I am trying to investigate some trading strategies based on the Fama French 3-factor model, for which I assumed I need to use adjusted prices to account for dividends and splits. However, my ...
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1answer
3k views

ABS vs covered bonds vs CDO [closed]

What is the difference between asset-backed securities(ABS), covered bonds and collateralized debt obligations (CDO)?
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1answer
297 views

PPPN: participation rate, stocks and premium

I'm a student of financial engineering and am very new to all of this stuff. Now, I'm trying to make an "example of a beginners exercise", but alas, I don't have any clue on how to solve or even on ...
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1answer
2k views

Multi-year annualized Sharpe Ratio

I'm taking a quiz, and trying to calculate the annualized Sharpe ratio of 11 years' worth of SPY fund monthly returns vs. a risk free investment return of 1.5%. When I write the function in Excel as <...
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1answer
51 views

A citizen's life as an investment project (from the State's PoV)

An average citizen's life can be seen as an investment project: the State starts investing into prenatal care, the child's education etc., a young man starts making money and paying taxes (breaks even ...
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3answers
181 views

Buy side techniques

I was speaking with a friend of mine about what techniques are used for quantitative investment management, and he told me that, when assuming active positions on the market, even in high-frequency ...
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0answers
22 views

In what way are capital increases usually advertised?

I am currently trying to better understand capital increases and dilution. I came across a few presentations of companies. I am trying to find out, if there are any standards, which are commonly part ...