# Questions tagged [ratio]

Financial ratio analysis

35 questions
Filter by
Sorted by
Tagged with
12 views

### Maximze sharp ratio from matlab to python

I know there matlab library funtion for Optimzing sharp ratio estimateMaxSharpeRatio, it mentioned it use direct method How can i do the same thing in python Is there any python libraries Or need ...
• 3
1 vote
47 views

### Scaling variables (Fraction vs % vs log) when regressing twelve month returns

Dear Stack community, My question is the following; If my dependent variable is twelve month returns. And as independent variables I have fiscal year variables like ROA and log variables like the log ...
• 155
1 vote
108 views

### Calculating Ex Post Sharp Ratio's for decile portfolios

Dear Stack community, I hereby would like to ask what the correct calculation is for calculating Ex Post Sharp Ratio's. If I am correct, I already know that I am supposed to divide the average excess ...
• 155
397 views

### Should I use common equity or total equity for book value? (when replicating Lewellen's 2015 paper on a cross section of expected stock returns)

I'd hereby would like to ask if any of you know whether I should use common equity or the total equity value, when computing monthly BM ratio's as done by Lewellen is his 2015 paper on a cross section ...
• 155
131 views

### Test significance for information ratio

Suppose that we have an estimated Information Ratio $IR^*$ calculated from the relative returns between a portfolio and a benchmark. I am looking for a way to quantify the uncertainty of this ...
1 vote
278 views

### Calculate PE ratio of equal-weighted index

I need to calculate Price-to-Earnings Ratio (PE Ratio) of an Equal-weighted index. ...
• 111
102 views

### How sector PB ratio is calculated on ticker tape?

I know what PB ratio is and I am looking forward to calculate the sector PB ratio. Here's the sector PB ratio of State Bank of India is 2.23. Link The names of companies and its corresponding details ...
923 views

### P/E Ratio of a stock index

I tried to find the P/E ratio of a stock index. Should I calculate the weighted harmonic mean of all constituents OR select the weighted median P/E ratio as the index's P/E? many thanks!
• 187
71 views

### Does the interval of a portfolio's returns affect Sharpe and Sortino? If so, what's the gold-standard interval?

I'm currently creating a backtesting script and I've got to the point of calculating risk metrics. It seems like the interval (daily, weekly, or monthly) I use for returns heavily changes the ...
• 101
412 views

• 531
1 vote
38 views

### From SEC Comprehensive Data Set to Clean Balance Sheets/Income Statements

I am looking for advice on how to smartly get from unstructured financial data to a clean summary of balance sheets. I think of this not as a coding problem but of a question how to approach the task -...
1 vote
495 views

• 1,022