Questions tagged [return]

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How to calculate expected return on a loan while having probability of default

I have data on loans including: initial loan taken by each borrower, their probability of default. Is there a way to calculate VaR that would show potential loss of that asset? First what I need is ...
Jone's user avatar
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2 votes
2 answers
138 views

Comparison between Absolute return and Relative return

In typical VaR calculation, we need to calculate the time series of historical realised return. There are mainly 2 ways to calculate such returns viz. ...
Bogaso's user avatar
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1 answer
188 views

Single outsized daily return value creates substantive discrepancy between annualized variance calculated from daily vs monthly returns

I am new here, and to the field. I hope my clunkiness in expressing myself can be forgiven. My situation is as follows: I have around three years of daily return data for some financial asset. Out of ...
Tim Molendijk's user avatar
1 vote
1 answer
114 views

How do asset prices behave in a single-period and multi-period model?

When we talk about the single-period CAPM, the return in a particular period t can be defined as $(P_t - P_{t-1})/P_{t-1}$. Investors plan at t-1 and get a payoff at t. After this period, the same ...
lkonoplev's user avatar
0 votes
2 answers
47 views

Calculate combined return on corp. bond traded multiple times? [closed]

I hope this is an okay place to ask this: Case: Assume you find a corporate bond you want to invest in. You then invest in it below par several times over the years, and you also sell bits of your ...
dlnvtl's user avatar
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-1 votes
1 answer
56 views

Am I able to find individual returns from total weighted average of returns? [closed]

As titled states… I am trying to figure out how to solve for individual return given average weighted total return and weights of individual returns? For example: 2% = (r1 x 0.2) + (r2 x 0.5) + (r3 x ...
quant4u's user avatar
1 vote
0 answers
37 views

Inflation in wealth forecast [closed]

I am building a model to simulate people's wealth in the next years. Say Mr X has a portfolio with an expected return of 3% (annual). From this I can simulate the return of his portfolio in the next ...
savoga's user avatar
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0 votes
1 answer
347 views

How to calculate daily returns when the cumulative PnL can become negative?

I would like to know a way to compute returns when the total PnL of a strategy can become negative. For example: Total PnL day 1: 100 Total PnL on day 2: -20 Total PnL on day 3: 30 I have that kind of ...
Maxime Willemet's user avatar
1 vote
0 answers
62 views

Forward returns measurment?

Is there a common approach to measure how a forward contract is performing? Here's what I'm thinking, each day you would price your forward with the next formula. $$ F_t = S_0 e^{-r_f T}-Ke^{-r T} = (...
Aldo Shumway's user avatar
0 votes
1 answer
48 views

How to simply calculate future value of periodic contributions to an index fund account?

So, for the sake of simplicity, ignoring taxes, expense ratio, volatility or anything else other than known values for the following five variables: Starting contribution (dollars) Annual ...
recisuser's user avatar
5 votes
0 answers
408 views

CRSP: Return including dividends

Using CRSP data, I tried to compute the historical returns (including dividends) of stocks according to Total Return = (adjprc + (divamt / cumfacpr / facpr)) / prev_adjprc – 1, where divamt is the ...
LisaBinder's user avatar
0 votes
1 answer
398 views

What is a cumulative return series?

I guess this is pretty easy but I cannot find a definition anywhere. I am trying to reproduce a paper and they say they use a cumulative return series at some point. Does anyone know exactly what this ...
GC2023's user avatar
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1 vote
2 answers
197 views

best way to calculate the return

Suppose that you want to calculate the single period return. Let p0 be the initial price and p1 be the final price over the ...
HaroldFinch's user avatar
0 votes
0 answers
188 views

R studio yearly return from monthly stock file

I have merged Compustat and CRSP but I have been stuck on this issue for a long time. I wanted to create the variables: RET ="contemporaneous annual stock returns calculating using CRSP monthly ...
Maria Aguilera Garcia's user avatar
0 votes
0 answers
210 views

How is the total return of an alpha strategy being calculated during backtesting?

I am using a quant simulation platform and I have chosen a formulaic alpha to be used. Now the platform is backtesting and displaying the total return of the alpha strategy over 12 years. The trading ...
user123456's user avatar
1 vote
1 answer
274 views

Difference between returns

I have a monthly time series of monthly returns for a specific factor that I'm investigating, the Quality factor QMJ as proposed by Asness et al. (https://www.aqr.com/Insights/Datasets/Quality-Minus-...
statauser's user avatar
1 vote
1 answer
66 views

How to adjust a portfolio's rate of return for contributions and withdrawals?

Suppose we have a portfolio with many assets. Since this portfolio receives monthly contributions and withdrawals, what is the best method to evaluate its global rate of return and avoid computing ...
Vinícius Lopes Simões's user avatar
1 vote
0 answers
2k views

Beta Adjusted Return

I'm a bit confused about the definition of the 'Beta Adjusted Return', say I have benchmark whose return is $r$ and a stock whose return is $R$, the beta adjusted return is defined as $$ ...
mbz0's user avatar
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1 vote
1 answer
273 views

How to calculate IRR between 2 numbers

I want to consider 4 scenarios in google sheets. All deal with a periodic return over n periods Positive to Positive Positive to Negative Negative to Negative ...
JAM's user avatar
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0 votes
2 answers
127 views

How can I calculate returns for three investment strategy?

Assume that the price of DF stock went from a price of $104 on March 2 to 146 on April 1. With a current stock price of 146, there is a call option available on the DF stock with an exercise price ...
1190's user avatar
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1 answer
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Calculate 6 month- return for an investment [closed]

Assume that the price of DF stock went from a price of $104 on March 2 to 146 on April 1. With a current stock price of 146, Invest all of your amount 14,600 in the DF stock (buy 100 shares) ...
1190's user avatar
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1 vote
0 answers
1k views

Cumulative return calculation with monthly return [closed]

I am working on calculate the cumulative return and I have monthly return rate as input. So I found formula of cumulative return: $$ \text{cumulative} = (1 + r_1) (1 + r_2)(1 + r_3) - 1 $$ so I used <...
Shirley's user avatar
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0 votes
1 answer
1k views

Long Short excess returns?

When calculating the long-short excess returns for a portfolio. Do I have to first calculate the excess returns of the long and short leg and then add them together or first calculate the average long ...
thxclown's user avatar
7 votes
2 answers
437 views

CDS volatility: daily return calculated by simple substraction (Pt - Pt-1)?

I am working on validating the CDS volatility generated by a third party risk engine. It appears that returns are calculated with simple substractions and adjusted for the CS01: (Price of the CDS ...
tweedi's user avatar
  • 527
5 votes
2 answers
403 views

Currency Hedged Excess Return

In the famous article "Global portfolio optimisation" of Black and Litterman, the authors defined the excess return on currency-hedged assets as the following : $$ E_t = 100 \frac{P_{t+1}X_t}{P_tX_{...
JeanGuillaume's user avatar
1 vote
2 answers
628 views

Measuring returns

always come across the issue of which return to use. There a three types that I know about. The simple return, the log return and the geometric return. Now I wonder whether it depends on the subject ...
Chris H.'s user avatar
0 votes
2 answers
316 views

Calculate return for a set of securities downloaded using quantmod

I downloaded adjusted closing price using quantmod for a set of securities. I want to calculate daily/weekly/monthly return for all securities. Usual dailyReturn, weeklyReturn etc not working. What do ...
deb's user avatar
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1 vote
0 answers
27 views

Source for derivation of acquisition price for given IRR and cash flows

Does anyone know a quotable source - book/academic or practitioner's paper - that derives the acquisiton price for a target firm when the buyer's desired IRR and all cash flows over time of the target ...
LenaH's user avatar
  • 113
1 vote
1 answer
83 views

Which are the practical implications that the continuously compounded rate of return can be smaller than the expected rate of return?

I'm reading Hull's Options, Futures and other Derivatives and it intrigues me that the distribution of the continuously compounded rate of return x is: $x \sim \phi(\mu - \frac{\sigma^2}{2}, \frac{\...
Lay González's user avatar
0 votes
1 answer
53 views

Return on Investment for rolled options position on margin [duplicate]

I'm trying to calculate my return on investment (ROI) for an options position on margin that has been rolled. I'll give an example: Sell to Open (STO) a naked put position, for which I collect 100 ...
professorDante's user avatar
0 votes
1 answer
46 views

Most Recent Stock Return for a Machine Learning Project [duplicate]

I am doing a machine learning pet project that requires me to construct a column for stock return between Jan 1, 2018 and today (Dec 26, 2018). I am basically looking for the most recent annual return ...
ad1's user avatar
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3 votes
2 answers
870 views

Transform Fama French Returns to Euro

I constructed a global portfolio and calculate it's daily return in Euro. Now i want to do the regression with the Fama-French daily factor-returns (HML, SMB). However, these returns can only be ...
T. Becker's user avatar
2 votes
0 answers
74 views

Bond Index Return from Yield Curve Data [duplicate]

I am trying to compare fund returns with benchmark returns. I have some yield curve data (some of them calculated by Bloomberg) but not bond price or return data. Is there any way to get bond returns ...
TryingtobeQuant's user avatar
-2 votes
1 answer
215 views

Private Equity Fund Return (IRR)

Can anyone guide me that how to calculate IRR for Private Equity Fund. I have the following data. Capital Call with dates Management Fees with dates I used excel formula of XIRR, but I found that ...
Arfeen Zia's user avatar
1 vote
1 answer
127 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
  • 31
0 votes
1 answer
2k views

Javascript calculating IRR using Newton method

I leveraged the github code (https://gist.github.com/ghalimi/4591338) to compute IRR using Newton method. When I replicated the codes step by step in excel, I'm able to find the optimized resultRate ...
sl007's user avatar
  • 11
4 votes
1 answer
883 views

Discrepancy between total shareholder return and return calculated using adjusted share price?

I'm trying to understand a difference I'm seeing between the return I calculate using adjusted close price and the total shareholder return with dividends reinvested (TSR) I get from Bloomberg / this ...
Lakshay Akula's user avatar
0 votes
1 answer
61 views

Is my data fittet to be significant?

I am new to this forum and hope for some help. I have a dataset of returns. I cannot tell where these come from, but let's assume they come from a trading algorithm of stock prices. The returns are ...
Econ's user avatar
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1 vote
1 answer
3k views

variance of log return

Suppose $C_i$ is i-day's closed price, when drift is small, we have the close to close variance $$\sigma^2 =\dfrac{1}{n}\sum\limits^n_{i = 1}\left(\log\left(\dfrac{C_i}{C_{i-1}}\right)\right)^2.$$ If ...
A.Oreo's user avatar
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1 vote
0 answers
62 views

normalized 15-min absolute returns

I was reading an article today and I came across a new expression: "normalized 15-min absolute returns". I know what returns mean but I don't have any idea how I can normalize them ( I am not sure if ...
mawchne's user avatar
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0 votes
0 answers
88 views

Return on asset value for one company different on Yahoo Finance and on Market watch

I am wondering why the return on asset (ROA) is so much different for a company when reported on Yahoo finance and Market watch website. Here is Yahoo finance link: Yahoo Finance and here is ...
TJ1's user avatar
  • 121
0 votes
1 answer
189 views

What is the distribution of percentage return in general?

In finance, we often assume that the log-returns $\ln(1+R(t))$ follow a normal distribution. Since $\ln(1+R(t)) \approx R(t)$ when $R(t)$ is small, \begin{equation*} dS/S \sim \text{Normal}. \end{...
Jason chiu's user avatar
0 votes
1 answer
2k views

Orthogonal sources of risk and return

I am sorry for my incompetence. I am new in Quantitive Finance, so I read an article about the relationship between Alpha and Portfolio Risk and I can not understand what is the meaning behind the ...
quant_pandishpan's user avatar
3 votes
1 answer
208 views

Risk, required return and expected volatility - what is the relationship?

Return required from risk averse agents from risky investments are proportional to expected return variance. That is from the textbook, you take the portfolio with the highest return to standard ...
Mats Lind's user avatar
  • 1,352
1 vote
2 answers
807 views

Interpretation of Excess Return

How is excess return defined for a given asset? There are altogether two different definitions for excess return used in the calculation of alpha and beta and I'm unable to understand which one ...
Akshay Bansal's user avatar
1 vote
0 answers
2k views

How to calculate monthly Return from a Momentum Strategy with overlapping Holdingperiods?

I replicate a Momentum Strategy from Rey and Schmid (2007) "Feasible momentum strategies" based on the idea from Jegadeesh and Titman (1993). I only buy the single stock with the highest past return ...
Roma92's user avatar
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2 votes
2 answers
1k views

Correlation: Use Price or Return? Return doesn't make sense [closed]

I am trying to find the correlation between the returns of two indices over a long period of time (10 years+) . Should I be using the index daily price level or the index daily total return? Most ...
J Cummings's user avatar
1 vote
0 answers
39 views

What is the expected rate of return from paying 1 today for a 50/50 bet receiving either 2 in year 1 or 0.5 in year 2? [closed]

What do you think is the correct way to calculate expected return for this example? I think Method4 below is correct. Method1 35.4% = AVERAGE(1.0, 0.5^(1/2)-1) Incorrect, but some will argue that ...
user18095's user avatar
1 vote
1 answer
107 views

How can I compare two mutual funds' performance with a sparse set of data?

I want to compare the performance of two mutual funds. The only data I have is annual returns for the past 7 years. So I have 7 observations for Fund 1 and 7 observations for Fund 2. In addition, I ...
Neeraj's user avatar
  • 2,218
3 votes
0 answers
555 views

Calculating Net Annualized Return on LendingClub historical data

I am interested in the formula LendingClub provides as their measure of "Net Annualized Return": $\big(1 + \frac{\sum_{i=1}^N{((I_i + L_i - S_i - C_i + R_i) / P_i) P_i}}{\sum_{i=1}^N{P_i}}\big)^{12}-...
Robert K's user avatar
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