Questions tagged [performance]

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1answer
54 views

How to calculate standard deviation cone around expected returns?

I would like to evaluate the returns of an investment manager who has given me their return and volatility expectations for their fund. I would like to calculate both 1 and 2 standard deviations from ...
1
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0answers
20 views

How to calculate interaction effect for my Performance Attribution?

I calculate the selection and allocation effect, i don't get my alpha yet, I think with the interaction effect I'd solve the problem. Can you help me with the selection effect method?
2
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1answer
30 views

Composite portfolio performance

I'm trying to calculate the combined performance of two portfolios, but keep getting a nonsensical result. I have a Fixed Income & Equity portfolio and the GIPS quarterly performance number from ...
1
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0answers
36 views

Problems with Performance Attribution Analysis

I am using the typical Brinson Model formula, but it doesn´t work, I think that is explained because of the compound effect and rebalancing... when I look my portfolio's YTD return and multiply by the ...
0
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0answers
42 views

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?
1
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0answers
34 views

Why can't I take the Value at Risk “VaR” as a a risk objective in PerformanceAnalytics? (it does work for "ES)

I am currently playing around with PortfolioAnalytics package in R and some data and I am aiming to create different portfolios with different VaR. However, I am struggling first of all, add.objective(...
1
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0answers
21 views

Indian Securities Sector and Industry performance history data [closed]

I am looking for data of Indian Industries and Sector's performance historical data for each and every date for over the last 10 years period of time. If it is not available, Could I get every month-...
2
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2answers
99 views

Multi Period Return Table

For performance presentation a multi period (or multi horizon) table is needed. What I mean is a table showing the trailing month, quarter, YTD, and other sub periods up to since inception. So I ...
1
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0answers
114 views

Contribution to Return - from security to portfolio

I have the Contribution to Return (CTR) of all securities in a portfolio for a number of days. I would like to compute the portfolio and securities total return over this period. The total return of ...
1
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0answers
11 views

Research on the performance of listed subsidiaries

Some countries (India, Pakistan, Nigeria, among others) seem to force multinational corporations that do business there to list the local operation on the national stock exchange and to let public ...
0
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2answers
444 views

Ways to calculate daily returns

A complete rookie here. I'm currently reading Ernie Chan's 'Algorithmic Trading' and trying to recreate his results with quantstrat in R. Everything seems to be fine except for portfolio return ...
3
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2answers
1k views

Ex-Ante Tracking Error : active strategies and the size of the covariance matrix

The most common formula for the ex-ante tracking error is $\sqrt{w^{T}Cw}$, where $w$ is a vector of excess weights relative to the benchmark and $C$ a forecast of covariance matrix. The sums of both $...
0
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1answer
313 views

Difference between Sharpe Ratio and Information Ratio when measuring Hedge Fund performance?

Here is an unpublished excerpt from Professor X: "Since Sharpe ratio uses standard deviation as a measure of risk, it assumes normal distribution of the underlying returns and it would therefore not ...
2
votes
1answer
226 views

Out-of-sample performance

I got a problem when calculating the out-of-sample performance of my model. I have the following settings: I have daily data. I use a rolling window of 1 week. I use the previous six months of data ...
2
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2answers
382 views

Sharpe ratio: discrete or continuous returns?

The Sharpe ratio is known as $$SR=\frac{\mu-r_f}{\sigma}$$ Are these values calculated from discrete or continuously compounded returns?
0
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1answer
319 views

Performance attribution for personal portfolio - weight attribution

i am building a platform for portfolio analytics, part of which is a performance attribution module. Given that most individual portfolio's can never have the same number of stocks as say, a mutual ...
1
vote
1answer
205 views

How to calculate Sharpe Ratio if there are gaps in returns?

I see a lot of examples, like "We hold long position during whole year, then we calculate daily sharpe ratio and multiply it by SQRT(252) to get the annual one". This example makes sense for me. ...
1
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2answers
1k views

Forex P&l Attribution on Physical Forward position

Please validate my unrealized Fx P&L calculation on the commodity forward contract e.g. consider i have bought 1 MT of wheat at 300 EURO my financial currency for company is USD. I am using below ...
4
votes
1answer
346 views

How to compute daily compounded backtest returns closer to real-world results?

I often run quick tests of trading strategies in my analytics suites by: multiplying a vector of signal (lagged, {-1,0,1}) with a time series of daily percentage returns doing a cumulative product of ...
8
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4answers
8k views

Calculate Average Price, Cost, (Un)Realized P&L of a position based on executed trades

We have built an algorithmic trading software and need to calculate the following parameters for each position in our portfolio. Average Price Cost Realized Profit & Loss Unrealized Profit & ...
2
votes
3answers
260 views

Industry convention to track trading performance against market indices?

I come from a programming background and not am no quant by career so this is probably a newbie question for you guys. I have written some code to pull daily closing values for market indices (DOW/...
3
votes
1answer
251 views

desk's performance

I need your point of view in evaluating the monthly performance of a desk. I have the daily credit risk capital requirement (A); the net banking income or GNP (B). What is the best measure of the ...
20
votes
6answers
25k views

How high of a Sharpe ratio is implausibly high for a low-frequency equity strategy?

I am looking to convince someone that an annualized Sharpe Ratio of 7 is 'extremely high' for a low frequency (daily rebalancing, say) long-short technical strategy on U.S. equities. I was hoping for ...
2
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3answers
1k views

How to annualize dividends paid at varying intervals?

I am attempting to write a function that will calculate the annualized rate of return for individual dividends made by illiquid investments. These dividends are paid at varying intervals and the ...
12
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2answers
1k views

How to compute performance attribution between daily rebalanced strategies?

I have a daily rebalanced portfolio of several strategies. After one month, I now want to attribute the performance to the different strategies. There are several ways to do it. For instance one ...
19
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3answers
7k views

How to combine multiple trading algorithms?

Is it possible to combine different algorithms so as to improve trading performance? In particular, I have read that social media sentiment tracking, digital signal processing and neural networks all ...
10
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1answer
1k views

What is the average Sharpe ratio of volatility arbitrage funds?

Where can I get data on performance metrics for volatility arbitrage funds? I am trying to compare the Sharpe ratio of my strategy to those of the major players.
1
vote
1answer
325 views

British hedge/mutual funds performance comparison website [closed]

Imagine a British investor with $10-100k in her pocket. She wants to see the previous performance of various British and overseas funds to choose the one to invest. And she wants to filter out the ...
23
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3answers
1k views

How can an ETF outperform its benchmark index?

Deutsche Bank’s ETF platform, db X-trackers, provides a rather remarkable ETF tracking Euro Stoxx 50 (which is the most widely used regional blue-chip index in Europe). What makes it remarkable is ...
75
votes
9answers
32k views

Efficiently storing real-time intraday data in an application agnostic way

What would be the best approach to handle real-time intraday data storage? For personal research I've always imported from flat files only into memory (historical EOD), so I don't have much ...
14
votes
2answers
1k views

What are some computational bottlenecks that quants face? [closed]

What are the current computational (non-network) bottlenecks now in a quant's workflow? What computational tasks would be revolutionary with a 10-100x improvement in performance using general purpose ...
20
votes
2answers
907 views

How do you correct Max Draw-Down for auto-correlation?

When returns are auto-correlated, calculating a Sharpe ratio := $\frac {mean(x)}{\sqrt{var(x)}}$, (where $x$ are the returns) is complicated, but basically solved (see, e.g. Lo (2005)). Without the ...