Questions tagged [portfolio-management]
The professional management of an investment portfolio of various securities (shares, bonds and other securities) in order to meet specified investment goals. The process includes the specification of investment objectives and constraints, choice of asset mix, formulation of portfolio strategy, selection of securities, execution, revision, and evaluation.
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Can you still sum the weighted up betas to find portfolio up beta, or not?
The portfolio beta in the conventional sense is simply the sum of weighted beta coefficients for each holding in the portfolio.
Is it the same for portfolio up and down beta, where I can simply take ...
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How to calculate increases in equity of a valuing asset
I would like to know how to calculate equity of an owned asset.
My problem specifically is that I own a BTC wallet and have some family members contributing to that wallet as well.
Having person A B ...
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Difference between eurodollar and 2 year note futures
What's the difference between these instruments? I know that the Eurodollar is for dollars outside of the US, but is there any material difference other than contract size when it comes to trading ...
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Portfolio optimization with Python/CVXPY: DCPError
I'm trying to implement a script for portfolio optimization on a sample universe of 3 future contracts.
I have the following inputs:
current allocation --> number of contracts currently held for ...
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Easy, but doubts - Annualize daily turnover
I am fairly certain I am correct but I just want to double-check on portfolio turnover calculation. I need to annualize the daily turnover rate. To calculate, the daily turnover, I am using the ...
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backtesting guide for research
I am a master student in finance and I am working on my portfolio management thesis. Within my thesis I will have to backtest a portfolio strategy for a balanced portfolio.
I am looking for a guide/ ...
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Eurodollar futures volatility
Considering each point is 2500, how can I get the volatility of the jun 24 contract? On tastyworks I'm seeing a 0.7% iv for the contract, how can I translate it to standard deviation? Ex:sp500 15%...
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Shrinkage of the Sample Covariance matrix, theory
is there any theory behind the covariance matrix shrinkage paper, why it works?
I am talking about this stats exchange thread
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Why techniques for portfolio optimization do not take into account the non-fractionability of stock prices?
In a market with 3 stocks:
Stock A with price 25.00 USD;
Stock B with price 32.50 USD;
Stock C with price 50.75 USD;
Any portfolio optimization technique results in a vector of asset weights $\...
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Calculation of Fama-French risk factors
Background:
I am conducting some research on equity returns across Denmark, Finland, Norway and Sweden. The analysis is seen from a Danish investor’s point of view, and therefore I have currency ...
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how to do hedging in global market give the time zone issue [closed]
Hi I am considering a question:
Give you have a global portfolio, consisting of U.S stocks, Euro Stocks or even Japan stocks and you have to rebalance daily according to my calculated trading signals. ...
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CURRENCY ADJUSTED RETURNS: How to adjust stock returns in foreign currency (e.g., EUR) to local currency (USD)?
I have collected monthly stock returns (in %) denominated in EUR and exchange rate EUR/USD.
I am trying to adjust the monthly stock returns denominated in EUR to monthly stock returns denominated in ...
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Should I include zeros in downside beta calculation?
Downside beta is the beta coefficient for an asset and a benchmark restricting benchmark returns to be less than a given value. Let’s assume zero for simplicity.
We have:
If we have returns in period ...
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Why additivity assumption holds in CAPM and factor models? (Screenshot of a textbook included) [closed]
All the excerpts are from the book investment, written by Bodie. At the bottom of this post, I attached pages of the the book that show a related part of my question.
Question
1. Why the variance of ...
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Currency hedging 3 month sterling libor futures
Each libor contract is 500,000 gbp. Can I hedge it by going short 8 gbp/usd futures per libor to hedge out currency risk considering each gbp/usd futures is 62,500 British pounds?
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Long Breakeven inflation
I want to go long bei by going long individual 10 year tips and short individual 10 year treasuries. How do I calculate and match the duration?
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python portfolio tracker
any recommendations for a portfolio tracker that updates from csv ( or websocket but that would need to come with an active github and hopefully a man page).
New to python, mainly creating charts from ...
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Yield curve steepening/flattening using different duration treasury futures (TUT Spread) and volatility
Yield curve steepening: long 2 contracts 2 year (2 contracts due to contract size), short 1 contract 10 year
Vice versa for flattening.
If the 2 year note has a expected volatility of 2% per contract (...
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What is portfolio leverage?
The definition of leverage is:
$$L = \frac{\sum_i |H_i|}{C} $$
where $C$ is the amount of capital, $H_i$ is the size of holdings in asset $i$.
This strikes me as a weird definition for several reasons:...
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sizing fx futures trades by targeting volatility
If I lever up a JPY/USD futures with a 6% volatility/contract 2x to meet my 12% volatility target, how many contracts should I buy per $100,000 I have in liquidity? How do I size my position based on ...
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How do you hedge your inventory when doing arbitrage?
Say I want to do arbitrage between Exchange A and Exchange B on USD/AAPL. This requires that I hold equal parts USD and AAPL. I don't want exposure to the movement in AAPL. How do I hedge my AAPL ...
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Information Coefficient (IC) Formulae Differences
I am learning about Fundamental Law of Active Management, and there seems to be two different Information Coefficient (IC) formulae presented.
Though I myself am not a CFA candidate, these appear to ...
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What are some advanced portfolio rebalancing strategies?
Want to write some portfolio rebalancing code but have found only simple portfolio rebalancer strategies like calendar and threshold. I want to rebalance a portfolio with different asset groups (EQ, ...
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Calculation of Long-Short-Portfolio returns for different holding periods
I have monthly stock returns I want to invest in according to my trading signals. Now I want to figure out the optimal holding period of the long-short-positions. (The same time for both positions).
I ...
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structural model - exposure estimation
The following example is from the book Active Portfolio Management by Grinold and Kahn. Suppose we have the factor returns and want to estimate the exposures/factor loadings. Say the factor returns ...
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Volatility targeting / sizing for option strategies
I am trying to work out how to properly size an option strategy to a given target volatility.
Assuming I have \$100 capital and I would like to have a strategy's long-run daily volatility to be \$1 (e....
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Best books on portfolio construction?
I am a master of finance student and although I understand the basics and the theory of portfolio construction I am still struggling when it comes to the practical side of things, i.e. building a real-...
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Portfolio variance over time vs. Portfolio variance from mix of two assets
Here are two facts about finance:
1.
If stock returns are not independent, for example tomorrow's return equals today's return, then the variance over two days will be less than the variance of 1day*2....
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Correct way of making sharpe optimized portfolio?
I have monthly returns of about 977 securities of past 10 years.
If I keep the returns as it is i.e. I do not multiply by 100 and keep the returns as 0.1, 0.2 , -0.3, 1.2
then I get different results ...
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Consensus expected excess return from Active Portfolio Management
In the book Active Portfolio Management, when discussing components of expected return (page 92 in edition 2), the authors mention that the consensus expected excess return $\beta_n\mu_B$ is the ...
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OLPS in real conditions
The Online Portfolio Selection problem has been extensively researched over the years, and various models have been implemented in open-source projects on GitHub. However the theoretical frameworks of ...
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How to model when to buy and sell a stock? [closed]
Given a set of historical data and volatility of price in each day, how is it possible to determine a price to purchase a stock at each day? For example, I want to find a price like $125 and receive a ...
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Black-Litterman Weights Don't Change for Assets Without Views
I am using Idzorek 2002 (https://faculty.fuqua.duke.edu/~charvey/Teaching/BA453_2006/Idzorek_onBL.pdf) as a reference to implement the BL model in R.
I have specified the model in its standard form, ...
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Calendar time portfolio construction
I am writing my master's thesis about analyst star-rankings and whether their recommendations have investment value. For these purposes I am trying to construct calendar time portfolios as it was made ...
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Portfolio returns, volatility and weights of capital
I would just like to check if I've done these questions right, I feel like I might have used the complete wrong methods to get my answers.
I've been given information on 3 stocks:
I've filled in the ...
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replicating self-financing portfolio for risk neutral measure
Let the price process $S_{t}, 0 \leq t \leq T$, be a diffusion, and savings account be $\beta_{t}$ such that the Equivalent Martingale Measure $Q$ exists. Let $C_{T}=g\left(X_{T}\right)$ be the claim ...
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Sharpe ratio differs from Tradingview
I tried to backtest a simple strategy on TradingView, it made 6 trades with these results:
Now I want to calculate Sharpe ratio using definition provided by TradingView.
So, my daily returns(...
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Interpretation of holding lower beta assets leveraged to a beta of one and short high beta de-leveraged to a beta of one
I was reading the famous paper "Betting against Beta" by Frazzini et al. They created BAB factor in which a portfolio is created by holding low beta assets, leveraged to a beta of one" ...
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How to evaluate Asset Allocation skill?
There have been studies that show that Asset Allocation can explain 90% of the variance of returns on a portfolio. If true and Asset Allocation is the primary driver of return risk, how can you ...
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How do I have to calculate the risk free rate of my two asset portfolio?
Good afternoon everyone!
I have a question regarding the risk free rate of my two asset portfolio. For my course, we have to create a two asset portfolio with the time frame of 2015-2020 with monthly ...
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Do options have diversification benefit?
Imagine the universe where we have one investable volatile asset but with an available liquid options chain for it.
The question: can a portfolio consisted of this asset, and some options have any ...
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How to calculate if a portfolio has diversification
I writing a paper and wanted to know the best way, method or theory to know if a portfolio is diversified. To give you some context, I wanted to know if whether putting Bitcoin into a portfolio with ...
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Monthly rebalancing portfolio of daily returns
Tried to ask this already, but I am still a bit unsure on how to proceed. What I wonder is how to handle the returns and weights of the stocks in a portfolio after rebalancing monthly, so within the ...
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How to prove that the return criteria for adding an investment A to an existing portfolio can be represented using Sharpe Ratio Approach
How can I prove that the return criteria for adding an investment A to an existing portfolio can be represented as the below inequality using the Sharpe Ratio Approach for risk adjusted returns as ...
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Daily weights and returns of portfolio that rebalances monthly
I am to replicate the Betting against beta strategy by Pedersen and Frazzini. We use daily returns of the stocks and construct two portfolios based on their ranked betas. Weights is also based on the ...
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Best bibliography on the classic Merton portfolio problem
I am writing a small section on my thesis about the classic Merton portfolio problem.
I was wondering what are the best books on the subject.
I am looking for something from the beginner to the ...
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From annualized Sharpe Ratio to number of daily losses
I have seen a few statements that link a particular annualised Sharpe Ratio to the likely frequency of 'loss day' across a given period:
e.g. "A annualised Sharpe Ratio of X, implies the ...
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RIsk-retun of 2-asset portfolio with perfect negative correlation
Risk-retun of 2-asset portfolio with perfect negative correlation $(\rho=-1)$ is a straight line with slope of $\frac{|\mu_2 - \mu_1|}{\sigma_2+\sigma_1}$ since $\sigma_P=|\omega_1\sigma_1 -\omega_2\...
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global minimum variance portfolio vs all-bond portfolio
I'm leaning portfilio theory and have got some questions. global minimum variance portfolio is defined as the leftmost point on the efficient frontier which suggest it is a all-bond portfolio if risk ...
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Do equity mutual funds typically have industry-level diversification constraints? [closed]
For instance, are there limits to how concentrated a portfolio in terms of industry allocation?
If so, where can I find such information about the constraints each fund has?
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