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Questions tagged [ratio]

Financial ratio analysis

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21 views

Distribution of the Information Ratio // Mean and Variance Product

We are investigating the distribtuion of the information ratio. However, instead of using the original information ratio defined as \begin{equation} IR=\frac{E(r_1)-E(r_2)}{\sqrt{Var(r_1-r_2)}}, \end{...
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1answer
42 views

Calculation of Information Ratio

When calculating an information ratio, should the average of monthly returns be used or the cumulative monthly returns be used? Thanks!
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1answer
67 views

Sharpe Ratio with Stochastic Interest Rate?

All versions of the Sharpe ratio that I've seen seem to assume that the risk-free rate is constant, and the standard deviation of the excess return in the denominator simplifies to the standard ...
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1answer
94 views

Calculating the Risk Free Rate [closed]

I have an assignment and I have to calculate the risk-free rate with the following data: Stock A: E(R) = 10% ; Standard Deviation = 5%. Stock B: E(R) = 20% ; Standard Deviation = 10%. I also ...
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2answers
141 views

About the number of independent forecasts in the Fundamental Law of Active Management

The original FLAM predicts the information ratio by $$ IR = IC \times \sqrt{N} $$ where $IR$ is the Information Ratio, $IC$ is the information Coefficient and $N$ is the number of independent ...
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2answers
143 views

Downside Market Capture Ratio: compute with sum or product?

I'm computing downside market capture ratio in R. The PerformanceAnalytics R package has a built-in UpDownRatios function which does this, but it computes the ratio using sums of returns, not ...
2
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1answer
1k views

Variance Ratio Test in R

I would like to conduct a variance ratio test for a financial time series in order to examine whether I can apply the square root rule for the variance with the software R. I used the Automatic ...
0
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1answer
188 views

How can I get all the financial ratios of all the companies listed on Nasdaq?

I hope the question is clear enough. I know of intrinio.com, which lets you get each datapoint at a time, but not all at once.
1
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1answer
133 views

How do I automatically graph S&P PE ratio moving average VS DOW

Obviously this is a rookie question, I'm simply looking to plot the S&P PE ratio moving averages over different periods of time and plot them vs the DOW. Ideally I would love like something that ...
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2answers
153 views

dollar neutral ratio vs beta hedged ratio

Hi guys i really hope you can help as i've been pulling out my hair for days on this!! OK so basically i understand the dollar neutral ratio, simply stocka/stockb = dollar neutral ratio. Works great ...
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1answer
670 views

What is type of Operating income to total assets ratio? [closed]

What is type of Operating income to total assets ratio? Leverage, Profitability, Asset composition or Liquidity? and why?
12
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4answers
6k views

Sharpe ratio and leverage

Does leverage affect the Sharpe ratio? If my Sharpe is 2 at no leverage, does it change, fall by half say, at a different leverage?
3
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1answer
614 views

Comparing the return of different roll strategies

I am interested in calculating the effect of the roll return using different roll strategies. In specific I want to mimic a long-only futures investments. I have historical data for several ...
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4answers
3k views

Credit Rating or Probability of Default from Financial Ratios

Does anyone know of any papers about credit rating development or probability of default estimation done based on financial ratios that also include methodology and maybe good/bad criteria? Something ...
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2answers
799 views

Historic Value at Risk - Ratios vs. Differences

Quick Summary on Historic VaR Let $S_0,...,S_n$ be the daily values of some stock (where $S_0$ is the current value). Then for $i=1,\ldots,n$ we let $$\hat r_i:=S_{i-1}/S_i \quad \text{and}\quad \hat ...
3
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1answer
433 views

How do i test the significance of Sharpe ratio of a strategy using bootstrap

How do i test the significance of Sharpe ratio of a strategy whether it is any different from another strategy ?? How do i get a p-value out of it ? What should be the H0 in the hypothesis testing ? ...