Questions tagged [investment]

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10
votes
1answer
63 views

What are useful indexes for rapid evaluation of country economic risk?

The World Economic Forum Global Competitiveness Report offers a comprehensive view of individual country risk/reward. There has been an explosion of these types of indexes over the past few years. ...
8
votes
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 ...
8
votes
5answers
3k 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 ...
7
votes
3answers
4k views

What is Quantitative Investing and how does it differ from Quantitative Trading?

I have worked in quantitative trading for a couple of years so I know what that space is about. I am curious to know what quantitative investing is all about. Based on what I have read and talked to ...
5
votes
1answer
227 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 ...
4
votes
0answers
242 views

How would it be possible to use Dynamic Programming to search a space of investment strategies to find an optimum?

As my question states, the problem I am having is finding a sensible way to search a large space. Any help or insight that could be provided would be hugely appreciated. Currently I am trying to ...
3
votes
3answers
158 views

Parameters variation in fundraising financial model

I have created quite a large financial model in Excel with lots of input parameters which (after all calculations) have an influence on the output business indicators. Among the input parameters are ...
3
votes
1answer
1k views

Risk-free rate for ex-post evaluation of investment strategy

When evaluating the strategy ex-post using e.g. Sharpe ratio, what should one use as the risk-free rate? Let's suppose I am using a 1Y sample of weekly returns, sampled between 2012-01-01 and 2012-12-...
2
votes
1answer
501 views

What are some “Must Know” investment/portfolio management theories out there?

What are the most important portfolio management theories you must know in order to competently manage an investment portfolio? In order to keep the topic focused, I would like to narrow down the set ...
2
votes
2answers
695 views

Proof showing that dollar cost averaging always worse than lump sum alternative

I am referring to the article here. In a nutshell the article says that using data based on S&P 500 index going back as far as to 1950, dollar cost averaging is performing worse than a lump sump ...
2
votes
2answers
156 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 ...
2
votes
2answers
141 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), ...
2
votes
2answers
505 views

Sharpe Ratio for strategies with different rebalancing period

Strategies published in journal papers like SMB, HML, UMD have annualized sharpe ratios around 0.5. These long-short portfolios are formed with monthly rebalance. People who backtest some daily ...
2
votes
1answer
110 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 ...
2
votes
0answers
48 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 ...
2
votes
0answers
153 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 ...
2
votes
0answers
61 views

Portfolio optimised for diversification and regular yield. How to hedge?

Here is a portfolio optimisation for equity dividend and yield designed to diversify holdings and produce regular monthly returns using only ETFs complete with R code. http://prescientmuse.blogspot....
2
votes
0answers
85 views

FRA-Strategy: Make 3-month and 1-year Excess returns comparable

I am trying to analyze an investment strategy that tries to exploit the empirical difference between forward interest rates and realized spot rates. I am using FRAs to capture the difference. I am ...
1
vote
3answers
163 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 ...
1
vote
1answer
190 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 ...
1
vote
1answer
49 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 ...
1
vote
1answer
169 views

Debt vs. Equity?

What determines whether an investment should be made using debt vs. equity? For example, startups are often financed with equity, while mortgages are always financed using debt. What characteristics ...
1
vote
1answer
180 views

Discount rate, convertible debt and the effect of time

The way I understand it is that there are three main parameters to a convertible debt investment. An investment amount A discount rate A trigger event Now under most of the examples I have seen, a ...
1
vote
0answers
47 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, ...
1
vote
0answers
66 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", the Carry ...
1
vote
0answers
52 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 ...
1
vote
0answers
21 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?
1
vote
1answer
206 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 ...
1
vote
0answers
50 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 ...
1
vote
0answers
21 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 ...
0
votes
1answer
30 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 ...
0
votes
1answer
2k views

ABS vs covered bonds vs CDO [closed]

What is the difference between asset-backed securities(ABS), covered bonds and collateralized debt obligations (CDO)?
0
votes
1answer
104 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 ...
0
votes
1answer
99 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 ...
0
votes
1answer
45 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 ...
0
votes
1answer
91 views

Calculate rate of return of a stock, if there is a buy transaction occurs during the middle of financial year

Currently, I'm implementing a feature of an open source project (https://github.com/yccheok/jstock/issues/7), which requires me to calculate the rate of return of a stock. Let's take the following ...
0
votes
0answers
41 views

Calculate best share based on return of investement and standard devation (Without risk free rate)

I have a microeconomics task in investment analysis. How do you pick the best share based on return of investment and standard deviations? The task is like this: 3 shares: Share A: 10% ROI & 20% ...
0
votes
0answers
34 views

Investment evaluation benchmarks

I am writing software to aid in the evaluation of investment projects. Specifically, property based as a first step. I know about NPV and IRR and IRR feels like the best measure. So it gives me a ...
0
votes
1answer
1k 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 <...
0
votes
1answer
64 views

Compute the (Net) Present Value

Let's have a project where we invest 1000 at the beginning of year 1 and 1000 at the beginning of year 2. At the end of year 2 the income is 2200 and the project is closed. Person A discounted with ...
-1
votes
1answer
36 views

What is wrong in my investment calculation [closed]

I am thinking to start investing monthly and i am trying to calculate my investment using excel with a compound interest of 5% monthly plus addition of certain amount. First month investment is 10000 ...
-3
votes
1answer
57 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 ...
-6
votes
5answers
12k views

True or False? An option's price will always be greater than or equal to its intrinsic value

Since if the option's price is lower than its intrinsic value (eg. strike price - current stock price for puts), then an arbitrage opportunity arises from buying the option at bargain and then ...