# 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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### How to calculate annual returns from daily prices?

Suppose I have daily adjusted closing prices for SPY, for example from yahoo finance. How from this calculate annual return? Note: It's NOT about issues like 1.2 means 20% or 0.2 means 20%. The ...
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### How to adjust regression for rolling returns?

I have a predictor variable (x) and dependent variable (y). Both are monthly rolling annualized returns, which naturally induces significant autocorrelation in x and y. They both also fail to be ...
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### Calculating annualized volatility of stock returns

Suppose I have a sequence of monthly returns of a stock, $r_1,r_2,\ldots$. Suppose further that this is an i.i.d. sequence with with finite second moments. In every paper, report, lecture note etc. ...
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### Sharpe ratio: discrete or continuous returns?

The Sharpe ratio is known as $$SR=\frac{\mu-r_f}{\sigma}$$ Are these values calculated from discrete or continuously compounded returns?
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### What is the industry standard for annualizing returns over non-contiguous time periods?

Suppose I am invested in the same fund for the first 200 days in 2013, some combination of 150 days in 2014, and the last 100 days in 2015. Further suppose that geometrically linking the daily returns ...
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### Price return or total return for GARCH models

Is there a problem in modeling total return rather than price return when using GARCH models? My line of thinking is that total return includes dividends, which is only a "pseudo-random variable" in ...
35 views

### any ideas how to get missing returns for german governement bonds, maturity bucket 10+

I am looking for a way to extrapolate monthly government bond returns (total return index) that are not available on datastream for the bucket of 10+ (maturities of 10 years and above). For the 4 ...
111 views

### How to calculate daily return including fees?

I have a trading strategy that closes one position on an asset and open a new position on a different asset every day at noon. No more than one position is open at a single time. Assets are crypto ...
4k views

### IRR of IRR or weighted average of IRR

I have a list of investments with their expected IRR(Internal Rate of Return). I'm confused about which is the right metric to depict for my population: IRR of IRR or weighted average of IRR. It's ...
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### Trading days or Calendar days for Compound Annual Growth Rate?

When calculating CAGR for intervals shorter than a year (or intervals that are longer than, but not integer years in length), should you use the 252 trading days or the 365.25 calendar days? The ...
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### s&p500 companies value vs growth

I was thinking of examining how the constituent companies of the s&p500 are affected by sentiment in crises. Is there any way to download stock prices for all the companies? Moreover how can I ...
4k views

### Why do two perfectly negatively correlated assets not return 0%? [closed]

So, per the title, why would a combination of two risky assets that have the same exact expected return and standard deviation while being perfectly negatively correlated not return 0%? Why do you ...
382 views

### R:log return calculation for panel data structure

I have a long form panel for hourly prices of stocks. I want to do log return calculation for this panel data structure. This is sample data: ...
454 views

### Calculating Portfolio Returns Across Sectors

I have a table of asset (mutual fund) returns and the percentage that each asset is in a particular stock sector: ...
2k views

### cumulative return calculation, disagreement

A friend of mine and myself are having an argument on how to correctly determine cumulative return. The dataset has monthly return data and we are trying to determine the 6-month cumulative return. ...
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### student-t asset path

I am trying to simulate an asset path based on a t-distribution. I found a lot of ressources and the fact that it will be difficult to do a path. But now I changed my Geometric Brownian Motion ...
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### Polynomial interpolation of corrected lognormal distribution

Can anyone provide a formula for a polynomial interpolation of the corrected lognormal distribution used to model returns traditionally resulting from the wrong Brownian motion generated model? ...
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### Correlation between 2 stocks [closed]

If Stock A returns 5% on average in year Y And Stock B returns 2% on average in year Y Does this mean that correlation is 40%?
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### Estimation of annualized volatility depending on data frequency - exceptions to the general rule?

From my understanding, the annualized standard deviation of daily returns is generally higher than of annualized standard deviation of weekly returns is generally higher than.... monthly...quarterly......
547 views

### Modelling log-returns and calculating the portfolio return

I know this might be a trivial question, however, I would be grateful for some clarification. I am working on weekly log-return data, doing volatility-foracasting using GARCH models and then using ...
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### comparing total returns from various data vendors

I need to use various data sources to cover all of my data, and I am concerned by the discrepancies in total returns. Data vendors were helpful, but their simple documentation did not help resolve why ...
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### VaR interpretation for positive returns

I used Extreme Value Theory to separate extreme negative returns from extreme positive returns, then, I calculated the VaR for both. I need to know what could be the interpretation of VaR for ...
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### How to calculate annualised tracking error?

I have 36 months of relative returns and I need to calculate the annualised tracking error. So, using 36 months of returns is it simply like below: ...
549 views

### Interpretation of t-test in event study with dummy regression

I am not sure about my interpretation of the t-ratios in dummy regression models for event studies. I have the results for two different groups of models examining the impact of news on stock returns ...
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### Sharpe Ratio versus Cumulative Returns

I was asked whether Sharpe Ratio was a better measure than Cumulative Returns, in the context of hedge funds. To me, personally, Sharpe Ratio is a more important measure. By definition, it tells us ...
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### Annualized Sharpe Ratio calculation

I'm trying to replicate the annualized Sharpe ratio of an buy-and-hold strategy for the Dow Jones Industrial Average index for a period consisting of multiple years. I got the daily DJIA (closing) ...
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### How to compute returns and daily VaR of a currency position?

I have a Forex trading account with a base currency USD. I am holding a position in EUR/JPY and would like to estimate my daily VaR. If I compute the EUR/JPY returns using the historic prices this ...