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Questions tagged [ratio]

Financial ratio analysis

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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 ...
andy's user avatar
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1 vote
1 answer
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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 ...
Julien Maas's user avatar
1 vote
1 answer
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 ...
Julien Maas's user avatar
3 votes
1 answer
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 ...
Julien Maas's user avatar
0 votes
1 answer
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 ...
mpqnt's user avatar
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1 vote
1 answer
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Calculate PE ratio of equal-weighted index

I need to calculate Price-to-Earnings Ratio (PE Ratio) of an Equal-weighted index. ...
Maddy's user avatar
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1 answer
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 ...
Girish Kumar Chandora's user avatar
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1 answer
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!
Stephen Ge's user avatar
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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 ...
Alex Vale's user avatar
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8 votes
1 answer
412 views

Why is it wrong to rank stocks by P/E ratio, sell the top quartile, and buy the bottom quartile?

I am reading Advances in Financial Machine Learning by Marcos López de Prado. In chapter 11 The Dangers of Backtesting, exercise 11.5 asks: We download P/E ratios from Bloomberg, rank stocks every ...
Flux's user avatar
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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 -...
Jan Felix's user avatar
1 vote
1 answer
495 views

Conversion factor for futures hedging?

I had a question regarding conversion factors and treasury futures in the context of hedging for DV01. In my textbook, in order to calculate the hedge ratio they give this formula: $$ HedgeRatio= \...
user54811's user avatar
2 votes
1 answer
460 views

Did I correctly calculate all the elements of the Sortino ratio?

I wish to verify my understanding and correctness of my methodology with this question, when calculating the sortino ratio for the SP500. My base data is the total returns SP500 index from Yahoo ...
Noir's user avatar
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2 votes
0 answers
262 views

Annualised Sharpe Ratio of a 24/7 Round-The-Clock High Frequency Trading Strategy

Consider a high frequency trading strategy that trades Bitcoin-USD round the clock 365 days of the year at 5-minute intervals. How would one calculate the annualised Sharpe ratio of such a trading ...
Faramarz's user avatar
1 vote
1 answer
125 views

How to calculate R for strategies with dynamic exit points

Calculating risk-reward ratio R is easy when trading a straight forward strategy which has its entry and exit points clear: ...
Sully Fischer's user avatar
2 votes
1 answer
593 views

Dupont analysis of banks

I've been analyzing banks balance sheet. However, I am getting confused regarding definition of ratios. For instance, some authors state Net Profit Margin = (Net profit)/Net interest income others as ...
Polar Bear's user avatar
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152 views

Sharpe Ratio and interest rate

The Sharpe ratio is calculated as the ratio between the return and the volatility. Now, when I have a trading strategy that requires to be invested sometimes and to be flat other times, I assume 0% ...
Chris H.'s user avatar
1 vote
0 answers
60 views

negative correlation between EBIT and sales in Altman's Z

In his 1968 paper, Altman found that sales volume (i.e., sales divided by total assets) is a useful predictor not by itself, but as a suppressor variable to improve the predictive power of EBIT/TA. ...
R. Dynszis's user avatar
2 votes
1 answer
218 views

Square Information Ratio

I have read the following sentence : " The information ratio measures the active management opportunities, and the square of the information ratio indicates our ability to add value " ( In the Grinold'...
JeanGuillaume's user avatar
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0 answers
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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{...
dsforecast's user avatar
0 votes
1 answer
87 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!
user36202's user avatar
1 vote
1 answer
128 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 ...
stilyo's user avatar
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-1 votes
1 answer
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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 ...
Lorenzo De Bernardi's user avatar
2 votes
3 answers
369 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 ...
Veliko's user avatar
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2 votes
2 answers
290 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 ...
lebelinoz's user avatar
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2 votes
1 answer
2k 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 ...
Mh Aztec's user avatar
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1 answer
261 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.
Lay González's user avatar
1 vote
1 answer
189 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 ...
user379468's user avatar
0 votes
2 answers
555 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 ...
anthony's user avatar
1 vote
1 answer
755 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?
user2991243's user avatar
19 votes
4 answers
12k 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?
ZoStone's user avatar
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3 votes
1 answer
959 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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5 votes
4 answers
4k 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 ...
BCLC's user avatar
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2 votes
2 answers
1k 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 ...
Phil-ZXX's user avatar
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3 votes
1 answer
773 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 ? ...
JSS's user avatar
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