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.
498
questions
1
vote
0
answers
57
views
Computing squared returns given differential equation for prices
I am looking for general advice on how to start tackling the problem below. My background in math is fairly bad when it comes to stochastic differential equations, but if you have any recommendations ...
-2
votes
1
answer
319
views
Variance covariance matrix - number of periods required
Hi I am reviewing the example of Barra risk model in the following document page 23 there is the statement:
"Estimating a covariance matrix for, say, 3,000 stocks requires data
for at least 3,...
0
votes
0
answers
431
views
Monte Carlo simulation based VaR: daily vs annual parameters
I am given the initial price, annualized return, and volatility of a security. I am trying to calculate annualized VaR using Monte Carlo simulation approach. To do this I will use the following ...
1
vote
0
answers
52
views
Bootstrapping to Judge the Fit of a Sampled Return Distribution
Consider the following: I have sampled yearly stock returns from a specified distribution.
What I want to do is compare how well my sampled distribution fits the empirical distribution of yearly ...
1
vote
1
answer
2k
views
Should log returns be used in multilinear regressions?
As the title already says, should log returns, instead of simple returns, be used in regression analysis? In this case, I want to analyse the impact of specific factors (Dividend yield etc.) on the ...
0
votes
2
answers
1k
views
question on XIRR (excel)
Let's say we have an initial investment of -10 on 1/1/2000, and from 1/1/2001 to 1/1/2018 (with annual payments on Jan-1 of each year for 18 years) we get a CF of +2 each year with a final payment of ...
1
vote
1
answer
1k
views
Pandas: Close-to-Open return on stocks
I am trying to daily calculate the close-to-open return for j stocks for t days. Is there anyway I can calculate without using a for loop? I have one Dataframe for daily close prices and one for daily ...
0
votes
2
answers
221
views
What returns to use?
I have monthly returns of my portfolio... I would like to summarize the performance over a longer period in one overall figure.
Should I use log returns per month then use geometric mean on the log ...
5
votes
2
answers
7k
views
What is the difference between squared returns and variance?
I am trying to calculate 1-day ahead volatility forecasts using the exponentially weighted moving average, however I am unsure on how to read the formula provided within Risk-Metrics Technical ...
2
votes
0
answers
934
views
Calculating realized volatility of high-frequency data
I am wondering how to calculate the realized volatility. Sources such as say that the realized volatility is the sum of squared log returns sampled at a given frequency. So using 30 minute frequency ...
4
votes
1
answer
439
views
Returns and Factors for European Market Kenneth French Database
I am planning to estimate Fama-French model for mutual funds with European equity scope. I am thinking about using the European factors from Kenneth French database, which are computed in USD.
The ...
1
vote
0
answers
73
views
Generate P Value from stationary bootstrap following Politis & Romano (1994)
For my master thesis I am analyzing the performance of trading strategies. For this I need to avoid data snooping by utilising the FDR approach. I follow closely the procedure presented by Bajgrowicz &...
2
votes
1
answer
3k
views
Total Return Swaps and Borrow Cost Relationship
If an investor is long a Total Return Swap (TRS), they get the total return (ie, including dividend) performance and usually pay LIBOR minus a spread. This spread should trade ...
-1
votes
1
answer
463
views
Calculating intraday returns from imperfect data in R [closed]
The aim is to calculate minute returns in R. Given is minute price data in a tbl_df. A row was only added if there actually were trades.
...
1
vote
1
answer
498
views
portfolio returns when portfolio value is negative
I am being very stupid probably but I don't understand the following.
Portfolio 1st Jan valued: -$100
A month later
Portfolio 1st Feb valued: -$45
I calculate the return of the portfolio as,
<...
1
vote
1
answer
2k
views
Empirical duration and convexity for bonds using linear regression
I have a given time series of bond yields from Quandl. From the time series, I have taken a sample to simulate a path of bond yields by Monte Carlo in Python.
I have to do the following task:
"...
4
votes
2
answers
307
views
Have any other factor "styles" which explain equity returns been uncovered?
I know this is an inherently broad question, so I will attempt to clarify what I mean by factor "styles". I am not looking for a compendium of "anomalies", per se, but rather for categorical themes ...
0
votes
1
answer
57
views
Portfolio return through beta [closed]
Considering the beta value of the three assets in my portfolio simulation and the weights of the assets, i have computed the beta of the portfolio itself.
How can i calculate the expected return of ...
2
votes
0
answers
1k
views
How does this return decomposition work?
http://image-src.bcg.com/Images/BCG-Value-Creators-2017-Appendix-July-2017_tcm9-166061.pdf
The paper here decomposes total shareholder return into different components. Here is my derivation of the ...
1
vote
2
answers
678
views
Ways to calculate daily returns
A complete rookie here.
I'm currently reading Ernie Chan's 'Algorithmic Trading' and trying to recreate his results with quantstrat in R. Everything seems to be fine except for portfolio return ...
-2
votes
1
answer
165
views
Problems with Money Weighted Rate of Return [closed]
The market value of a small pension fund’s assets was 2.7m on 1 January 2000 and 3.1 m
on 31 December 2000. During 2000 the only cash flows were:
Bank interest and dividends totalling 125,000 ...
3
votes
2
answers
1k
views
Estimation Risk-Neutral Variance of Returns
I am trying to find a method which allows me to estimate $Var_{\mathbb{Q}}\left(\frac{S_{t_{i+1}}}{S_{t_i}}\right)$ where $S$ denotes the price process of an underlying stock (which has to be assumed ...
1
vote
2
answers
479
views
Intuitive explanation of geometric mean
Suppose that the 10 Year Treasury Yield Rate varies every trading day during the year X1 (which in practice is accurate) what is the intuitive explanation behind calculating the geometric mean using ...
1
vote
2
answers
245
views
Price is Log-normal distributed, yet the return is non-normal
I have a price series. The natural logarithm of the price shows good normality. As shown in the standardized normal probability plot below:
However, by viewing the standardized normal probability ...
1
vote
2
answers
165
views
Does forecasting asset returns by default assumes non-stationarity of asset returns?
If we assume the assets returns are stationary then the best forecast can only be the mean of the distribution.
But if we assume non-stationarity we are forecasting the mean parameter (assuming ...
4
votes
1
answer
162
views
Is the Fama-French website data free of the serious selection bias pre-1962 where it's tilted toward big historically successful firms?
Fama and French use data starting in 1963 in both
1) "Common risk factors in the returns on stocks and bonds" (1993) and
2) "The cross-section of expected stock returns" (1992)
and mention in (2) ...
0
votes
1
answer
88
views
Why do Fama French's "Common risk factors in the returns on stocks and bonds" use data starting in 1963? Availability or convenience for results?
What is the reason Fama French's "Common risk factors in the returns on stocks and bonds" use data starting in 1963? Was it availability or convenience for results?
1
vote
0
answers
31
views
Is variation in price-dividend ratios that is attributable to excess returns due to variation in returns or variation in risk free rates?
Cochrane and Fama show that "all variation in price-dividend ratios corresponds to changes in expected excess returns -risk premiums- and none corresponds to news about future dividend growth". Is ...
2
votes
1
answer
482
views
Simple Compounding vs Continuous Compounding in return series
I'm creating a log price series in MATLAB. This is fairly easy to do using standard functions. Given a price series prices:
...
1
vote
0
answers
42
views
Average return per period for a total loss
Short version: Is there a meaningful notion of "average return per period" for an investment whose value falls to zero over time?
Long version:
Call the gross return on an investment the ratio $\...
2
votes
1
answer
714
views
How are Fama French Factor Returns for the last 3 and 12 months calculated?
In the Fama/French data library the monthly research factors for the Fama-French-3-Factor-Model and the Fama-French-5-Factor-Model are presented.
I don't see how they are calculating the factor ...
1
vote
1
answer
1k
views
What are necessary adjustments to returns in CRSP?
I guess this is a pretty straight forward and basic question.
I am using the entire CRSP universe from 1962-2016 and my goal is to replicate a research paper. However, I realized that the average (...
1
vote
1
answer
2k
views
Getting monthly return using quantmod, if input ticker is a variable
I am new to package quantmod and quandl. I encountered a problem while I was trying to fetch period return data. Below is my ...
1
vote
1
answer
4k
views
Definition of log return of an asset [closed]
What is the general usage of the term daily log returns $Y_t$ of an asset? (1) or (2)?
$$(1) \text{ } Y_t = log (\frac{p_t}{p_{t-1}})$$ OR
$$(2) \text{ } Y_t = log (\frac{p_t-p_{t-1}}{p_{t-1}})$$ for ...
1
vote
1
answer
178
views
Why should we care if the "squares of returns are independently distributed over time" to choose an adequate model of the distribution of returns?
In a Time Series Book by Hashem Pesaran, he mentions that there are a number of issues that need to be addressed in order to choose an adequate model for predicting asset returns.
I understand the ...
0
votes
1
answer
4k
views
How to calculate the annual contribution of a fund to a portfolio of funds?
let's assume I have a portfolio of two funds (call them F1 and F2), where, by convention, there is a monthly compounding of the returns.
On a monthly basis, the contribution of each fund will just be ...
0
votes
1
answer
135
views
Should the valuation decision of the following question be undervalued or overvalued?
The official solution to this question is B, but I don't understand that if the recommendation is given by the CAPM model, then the CAPM estimated return should be regarded as "fair" and benchmark for ...
1
vote
0
answers
174
views
Simulating asset returns: (Academia) state of the art
I want to run some simulation studies of (linear) factor models and for that reasons I am wondering about the features such a simulation should contain - every suggestion is welcome, I'll do my best ...
7
votes
2
answers
254
views
Portfolio returns with unequal asset return histories
Using the package PerformanceAnalytics in R, I am trying to calculate the return of an equal-weighted portfolio that contains 30 assets. However, these assets do not have the same starting point in ...
0
votes
1
answer
1k
views
Cumulative portfolio returns vs. product of cumulative asset returns
I wasn't able to find something that addressed this specifically with the search terms I was using, though I am sure an answer exists here.
[Please reference the image below]
Columns B & C are ...
2
votes
0
answers
54
views
Understanding pooled VAR model
I encountered a paper by Vuolteenaho (2002) in which he uses pooled VAR model. I have some troubles understanding the idea. He uses firm level variables (log returns, ROE, etc.) and ultimately he ...
1
vote
1
answer
1k
views
average return Vs cumulative return interpretation
I am looking for the interpretation which distinguishes between average return and cumulative return.
I have two portfolios : the average return of portfolio 2 = 3 10E-4 per day while the average ...
6
votes
0
answers
370
views
What are the essential characteristics of asset prices?
I think the question has already been asked about stylized facts of asset returns; this question regards the essential characteristics and normative assumptions used to evaluate asset prices. I.e., ...
1
vote
2
answers
291
views
Questions on continuously compounded return vs long term expected return
I have reading a paper from Oliver Grandville on long term expected return. I am trying to reconcile what I am reading in that paper vs what I see under "Application to Stock Market" in Kelly ...
2
votes
1
answer
234
views
Looking at distribution of yearly returns of time series
For S&P, or any time series for that matter. When doing analysis on the distribution of the yearly returns, should I be looking at 1) the daily year over year values, 2) pick some starting point ...
2
votes
1
answer
78
views
Aggregation to MSCI world return from subindicies
I have Bloomberg Data PX_LAST for the MSCI world (MXWO Index). I also have Bloomberg Data PX_LAST for all subindices for the ...
1
vote
1
answer
123
views
Ljung_Box Statistic of R and R^2 values in Return analysis
I have found a result that I find truly puzzling. Here is an extract from a GARCH-Analysis I have performed:
Test______________Statistic_______p-Value
Ljung-Box Test_____R Q(10)_____0.4047773
...
5
votes
1
answer
539
views
Predict probability of returns: How does changing volatility affect the return pdf?
I am trying to predict the future probability of stock returns based on the return distribution. Therefore I calculate the returns as $\frac{P(t)}{P(t-1)}$ for the whole daily data and fit a ...
2
votes
0
answers
495
views
kalman filter for a multifactor model in R
I am trying to set up a time varying factor model for the purpose of return decomposition via kalman filter.
Following this example and slightly modifying it so as to accommodate for more than one ...
1
vote
1
answer
3k
views
How does one create an alpha signal
I am curious and want to do some personal research into alpha signals, but I couldn't find much relevant information. What I think will be the way to is to start with a return series, build a long- ...