Questions tagged [return]
The return tag has no usage guidance.
64
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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 ...
1
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0
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35
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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} = (...
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41
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TWR for portfolio with gaps
I need to calculate the Time-Weighted-Return for a situation where there is a "gap" in the holdings and I try to understand what the best practice here is.
Details:
Assume we buy the stock $...
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58
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How can i get sharpe ratios for each month?
I am currently trying to calculate Sharpe Ratios of each blockchain ETF and cryptocurrencies. So far I have taken annual returns and calculated the Sharpe Ratio from that. For the standard deviation, ...
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44
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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 ...
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0
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142
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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 ...
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144
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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 ...
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2
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175
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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 ...
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110
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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 ...
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0
answers
185
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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 ...
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1
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200
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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-...
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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 ...
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0
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1k
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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
$$ ...
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1
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136
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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
...
- 121
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2
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112
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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 ...
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1
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55
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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)
...
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897
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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 <...
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750
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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 ...
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2
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314
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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 ...
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5
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2
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349
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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_{...
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484
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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 ...
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53
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What 10 year bond data to use when making a risk/return scatter plot?
I am making a risk/return scatter plot (seen below) (from this site):
What data must be used for bonds (e.g. 3 month or 10 year US bonds)? I thought you would use this data, but if you take the years ...
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2
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245
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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 ...
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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 ...
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75
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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{\...
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1
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48
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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 ...
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44
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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 ...
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3
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2
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762
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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 ...
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2
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0
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64
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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 ...
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147
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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 ...
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1
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121
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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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1
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1k
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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 ...
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764
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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 ...
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1
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58
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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 ...
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1
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2k
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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 ...
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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 ...
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84
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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 ...
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160
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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{...
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2k
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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 ...
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1
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191
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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 ...
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2
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729
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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 ...
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0
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1k
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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 ...
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1k
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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 ...
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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 ...
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319
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Generalized method of moments concept in CAPM testing
In the course of my master thesis I’ve come across a paper by Carr and Wu (2009) where the authors evaluate whether returns on variance swaps can be explained by the simple CAPM. (really only market ...
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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 ...
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549
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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}-...
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Intrepreting the Capital Market Line plot
I am looking at plots of the Security Market (SML) line and Capital market line (CML).
The X axis is the beta for the SML and Standard deviation for CML; the y axis is labeled with excess return.
...
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2
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3k
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convert three months interbank rate into monthly rate
I have a time series of the three month interbank rate each month and I suppose that the rate is has yearly frequency.
I need these interbank rates to be on a monthly basis because I want to us these ...
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2k
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Calculate the total returns from the total return index [closed]
I have the Total Return Index(RI) for several companies.
I know that I can calculate the log retunrs with $ln(RI_t/RI_{t-1})$. Therefore my first guess would be to ...
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