# Questions tagged [return]

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### Do you annualize returns before computing Treynor ratio?

There is a lot of information out there on how to arrive at Sharpe ratio, but less on how to arrive at Treynor ratio. Assuming we have quarterly returns, would we first annualize each quarterly return ...
88 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 ...
151 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 ...
72 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 ...
131 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 ...
137 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-...
59 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 ...
563 views

305 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 ...
52 views

### 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 ...
145 views

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 ...
24 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 ...
64 views

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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. ...
3k views

### 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 ...
2k views

### 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 ...
318 views

### ITM Puts under negatively skewed return distribution (volatility skew)

I read Hull (2009) on implied volatilies. I understand that (given a negatively skewed return distribution) an OTM-Put is more worth than under a normal distribution and that a OTM-Call is worth less ...
118 views

### decoding this formula about nominal and real return [closed]

I am sorry if the following question is not quantitative finance. I am reading this thing badly written lecture notes, which says $W^r_1 \equiv W_1/P_1^g = (W_0^rP_0^g)(1+R)=/P_1^g$ \$(1+R^r)\equiv ...
236 views

### Bond duration as estimation to holding return

I am really struggling to prove to myself that when we can estimate the one-year holding period return for a three-year zero by using the following estimation: S3 - Duration2*(f1,3- S3) Where Sn is ...