# Questions tagged [returns]

The asset rate of returns is the profit on a particular investment; it includes any change in the asset value, interest, commission or dividends and so, all other cash-flows which an investors receive or pays due to the investment.

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### Calculate daily account value & returns on trading system backtest

Quick question, I'm having a brain freeze. I've done a simple system to practice array based backtesting. I was able to calculate my PnL by subtracting the "close" from the "buyPrice&...
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I am supposed to predict column E but I cannot figure out what any of these columns mean. The information provided with the dataset is as follows: column A: past 28 week slope value column B: past 48 ...
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### Relationship between risk and return for GBM and riskless bond

Suppose we have $S$, a stock following geometric Brownian motion ($dS_t = S_t (\mu dt + \sigma dZ_t)$ for $Z =$ Brownian motion) and $B$, a zero coupon bond with rate $r$, i.e. $dB_t = rB_t dt$. In ...
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### Estimating the XIRR of a very non uniform cash flows

It's my second post, so please bear my lack of experience in this field. I've a very irregular cash flow (here you can see the set of date - cumulative cash flow) The XIRR, calculated with Excel, is ...
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### Performance return of holdings if you know the returns of top10 holdings?

I think this is a simple question, but struggling to get my head around it. There is a fund that showcases its top 10 holdings and their respective weights. I want to infer the performance of the rest ...
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### Event study using sector indices

Analyzing Covid-19's impact on different sectors I would like to use sector indices. Can you use CAPM or similar to calculate abnormal returns of indices or does it only work with stock prices?
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### Does the Shannon entropy of stock returns change over time?

Shannon entropy, $H(X) = -\sum_{i=1}^n p(x) \ln p(x)$ is a probabilistic measure of randomness or disorder within a random variable's probability distribution or histogram. If we take rolling window ...
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### Using Taylor formula with logarithmic returns

I would like to calculate PnL scenarios for an FX portfolio using Taylor series approximation: \begin{align} \text{PnL} \approx \delta \Delta r + \frac{1}{2} (\Delta r)^2 \Gamma \end{align} I ...
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### How to calculate monthly returns in R for every company in a dataset of 4000 companies?

I want to calculate monthly returns for a time series of 4000 companies between 2014 and 2019. This is how my dataset looks like I'm using the following code to calculate the returns nyseamex <- ...
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### Correlation sensitivity in multivariate $t$-copula for portfolio VaR of electricity futures using Kendall's tau-$b$ correlation matrix

My t-copula model captures the daily dollar returns of a portfolio of approximately 400 assets. I am curious if there's a generally accepted way to quantify the sensitivity of portfolio movements with ...
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### How to up-sample monthly returns into daily returns?

I know how to down-sample daily returns (large-sample data) to monthly returns (small-sample data) by using rolling windows, which feels like estimating a sub-sample from the population (something ...
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### Cumulative returns from ROI of individual trades

I've a series of ROIs: $R(n) = [r_1, r_2, ... r_n]$ generated from taking $n$ trades. Each ROI value is in percent $[0, 1]$. How do I generate cumulative return $C(n)$ from this data? My understanding ...
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### Calculating Dollar-Neutral Strategy Net Return

An example in the book, Quantiative Trading, the net return of a dollar neutral strategy of IGE and SPY is calculated. ...
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### Inter-temporal structural stability of stock markets

For my bachelor thesis I am trying to determine structural stability of some stock market in the following way: Identify an ARMA model for the whole sample Split the sample in two parts, and estimate ...
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### variance of asset returns linear for time

I am reading Wilmott's book, "Quantitative Finance" and try to understand the derivation that the variance of asset-returns, $V[\Delta S/S]$, is a linear function of the time step $\delta t$....
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### internal rate of return ((M/X)IRR ?) of a fund

I have the following data for a fund. The contributions come from the LPs (i.e., the investors invest more in the fund, or withdraw money from the fund), MV stands for market value. The timing is not ...
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### Calculation of 5-minute returns

My goal is time series clustering, I would like to compare 5 minute returns, liquidity seems to be very low sometimes, so is it better idea to calculate average volume weighted price in 5 minute ...
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### Do EWMA weights remove autocorrelation in asset returns?

I know that the exponentially weighted moving average (EWMA) volatility estimator drapes a decaying weight function over historical returns in order to weight the past according to the decay of their ...
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### Volatility of multimodal distribution of returns

Take $x_1, x_2, \ldots, x_T$ to be the price of a stock, indexed by $t=1, 2, \ldots, T$. Define rate of return at time $t>W$ for a window size of $W$ to be $$r_t = \frac{x_t - x_{t-W}}{x_{t-W}}$$ ...
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### Portfolio models that maximize cumulative returns

Portfolio optimization typically looks at minimizing portfolio volatility, or maximizing the portfolio's Sharpe ratio (risk-adjusted return), but are there any recent, reasonable approaches to ...
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### Why do cumulative returns have a bimodal distribution?

Regular returns (log-differenced prices) have statistical distributions that are bell-shaped and unimodal (one mode/peak) despite being non-normal and fat-tailed. Cumulative returns, on the other hand,...
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### How to compute portfolio returns when constructing a dollar-neutral portfolio

I am trying to wrap my head around this statement: dollar-neutral portfolios are built: dollar amounts of both long and short positions are equal. Furthermore, it is also true at the stock level: ...
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### How to annualize skewness and kurtosis of a forecasted distribution

I have a (non-normal) distribution of expected cumulative returns 10 quarters in the future, from which I have calculated mean, standard deviation, skewness and kurtosis. I would like to annualize ...
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### Cumulative returns are more correlated than non-cumulative

I was just comparing two daily returns series and noted that the correlation between them is a lot higher if they are cumulated (about .95 for cumulative returns, vs .15 for non-cumulative). I feel ...
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### Predict Log Stock Return Direction and Trading Strategy

The $k$ period log return is defined as $$r_{t}(k)=log(S_{t}/S_{t-k}),$$ Where $S_{t}$ is the stock closing price at time $t$. For argument sake, assume that by time I mean a stock trading day and ...
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### Annualised returns and volatility for 3 month data

I have a portofolio with 30 indexes and I want to calculate the annulised returns and volatility because I want to compare it with another portofolio with different number of indexes (but same time ...
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### Normality or Log-Normality of Regular Returns

Another old question on this site (How to simulate stock prices with a Geometric Brownian Motion?) inspired me to ask the following question: if we assume that regular returns could be normally ...
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### Mutual fund performance over time

I am a little bit stuck with my dissertation thesis, so help will be greatly appreciated. I am trying to analyze the performance of different mutual funds, which I have classified according to ...
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### How to simulate the cross-section

I am looking to simulate the whole cross-section of daily return series for 20 to 60 days. The purpose is to test some risk measures based no maximum drawdown. Thus, it needs the whole time series. ...
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### Optimal predictors for 1-month returns

I am implementing a Random Forest classifier algorithm on Python for predicting future stock returns (one month). My goal is to foresee whether the cumulative returns in a month will be negative or ...
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### Constructing a replicating portfolio of a long-only strategy using long-short factors

Lets say I want to estimate a replicating portfolio by doing a linear regression between the returns of a long-only portfolio and several long-short factors like Fama-French 5-factor or Betting ...
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### PanelOLS or simple OLS?

It is probably a silly question but please assume the following. I gather hedge funds returns and I want to do a regression against few dependent variables (FF factors, etc.). In essence, I get a ...