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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25 views

How to Calculate monthly excess returns from 3-Month Treasury Bill: Secondary Market Rate

I'm using portfoliovisualizer with their "dual momentum" function, I have selected out of market asset as cash, and left everything else as default - hopefully this link takes you straight ...
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48 views

How skewed are FX returns? Does this look like a plausible histogram of EURUSD?

I'm reading about volatility. I've charted the histogram of EURUSD and I am wondering if this looks plausible? What I've charted are the 1-hour percent change returns (not log returns). I've removed 0 ...
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1answer
125 views

Backshifting Price Timeseries with Memory Preservation

In Advances in Financial Machine Learning the author makes a case for fractionally differentiated price returns in chapter 5. The reason is to both maintain memory and to generate a stationary time ...
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121 views

How to apply derived beta to daily change?

I've taken three months of price return data for two instruments and calculated a $\beta$ between the two using the formula $\beta = \frac{Cov(x,y}{Var(y)}$ with the goal of estimating what the ...
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22 views

Buy-and-hold raw and abnormal returns

This may seem like a silly question, but I have trouble understanding the concept. I am performing regressions where the dependent variables are raw buy-and-hold returns and abnormal buy-and-hold ...
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3answers
385 views

Daily to Monthly Performance Attribution - Getting Effects to equal the Excess Return

I am building a performance attribution tool on Python to help us understand the asset allocation, stock selection effects of our fund. We are using daily price data for each component within the ...
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26 views

Novy-Marx Profitability “Excess” returns - What does Excess mean here?

I am reading Novy-Marx's paper titled "The other side of value: The gross profitability premium". Throughout the paper, he mentions excess returns in several tables, but I cannot find any ...
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30 views

Matching periodicity Fama-French Factors, Portfolio Return and Risk Free rate

I am trying to replicate certain aspects of the following paper: "Does the stock market fully value intangibles? Employee satisfaction and equity prices" - Alex Edmans (2011) for three ...
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27 views

Confusion regarding hedge calculation

this might not be the most advanced question, but hopefully this is the right community. Suppose that we have an asset with return $R_a$, a respective benchmark with return $R_b$ and the risk-free ...
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28 views

weekly returns and the daily returns scaled to weekly

I am new in this blog and first of all I want to apologise for my english. I have to calculate, for a university project, the weekly returns and daily scaled returns to weekly for few stocks For ...
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46 views

Log excess returns calculation

I need to calculate log excess returns. I'm given market level monthly total return index, price index and a risk-free rate (from Fama/French 3/5/etc. factors). I'm not sure whether I'm calculating ...
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1answer
55 views

Covariance Matrix for asset returns [closed]

Hey guys I'm pretty new here, not sure how to code my question so I'll include a picture reference instead. I'm a bit confused on how the standard deviation of F (commodity price) would affect the ...
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29 views

Scale price and returns

Through Bloomberg I have downloaded some data related to the Bloomberg Euro Aggregate Bond Index, however I think I am wrong. I was convinced to have taken the historical prices of the index (in ...
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3answers
272 views

Why can we assume that asset return rates are normally (or lognormally) distributed?

In many theories of financial mathematics it is assumed that asset return rates are normally distributed (e.g. VaR models) or lognormally distributed (e.g. Black-Scholes model). In practice, asset ...
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Is Total Return data for mutual funds on Bloomberg adjusted for fees/expense ratio?

I'm comparing the performance of mutual funds using monthly returns data from Bloomberg. I use the Day to Day Total Returns (Gross Dividends) field represented in Excel by ...
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45 views

How to annualise hourly returns?

I have hourly open,high,low,close candles data for a particular asset. I wrote my own algo and some back testing code that replays the data from the past hourly candles to calculate the total return ...
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1answer
57 views

How to compute returns of a Pairs Trading Strategy with different holding periods?

I am currently working on a project where I am testing a Pairs Trading Strategy based on Cointegration. In this strategy I am considering to trade a couple of hundred stock pairs every day over a time ...
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1answer
113 views

T-statistics on monthly returns vs annualized monthly returns

eqI am very confused about a very basic question. This is probably more statistics than quantitative finance, but still, should be useful for this stackexchange board as well. Let's assume I have ...
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82 views

How to calculate a Corporate Bond Transaction Price (Bond returns?)?

I am struggling with the concepts and variables of corporate bonds returns. Bai, Bali and Wen (2019) define monthly corporate bond returns as: Where where is transaction price, , is accrued ...
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4answers
7k views

Calculate weekly returns from daily stock prices?

If I have log returns for a specific stock, then the weekly log return is the log of Friday's closing price minus the log of Monday's closing price, i.e. $R_{weekly} = log(Price_{Friday}) - log(Price_{...
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171 views

Calculating returns from transactions

I have a collection of client transactions representing the trades of a single portfolio across multiple securities. What I'd like to do is the calculate the accurate ROI of each security and of the ...
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49 views

What is the name of this concept/formula?

I stumbled on this not so complicated concept and couldn't figure out what it's called. I want to buy something that costs $M$ units of money, and have to pay it in $n$ months at a rate of $\frac M n$ ...
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76 views

How can a stock have negative returns but positive 3-factor alpha?

I've come across a research paper where for a specific period of time, the portfolio has negative returns (or roughly flat returns). During this same period of time, the portfolio's Fama-French 3-...
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29 views

Compute 6 Month Returns using Monthly Returns data

I have data containing 6 months returns of a stock. ...
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1answer
67 views

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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37 views

Bonds portfolio - total return

TRICKY QUESTION ON BOND PF RETURNS I am working on a bond portfolio, so for each line i have a monthly price change (equal weighted by the numebr of bonds in the portfolio this month) then the return ...
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136 views

pairs trading algorithm with returns

I'm having a difficulty grasping how to write a pair algorithm using returns instead of prices. With price differences, I have the mean difference over a long time period. When the current price ...
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4answers
317 views

How to calculate return on investment for an adjustment to a complex options position?

Say I currently hold a set of options positions with the same symbol/expiry that collectively have a net present value based on the estimated value at expiration of +10. I could also liquidate the ...
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1answer
632 views

How do you define returns when price may be negative (electricity price)?

I'm trying to model GARCH volatility on electricity prices. Typically the first step is to use prices to obtain log returns to make them stationary. I have encountered a small problem however: ...
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51 views

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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1answer
414 views

Return Contribution for Annual Returns

I have a portfolio $p$ made up of a bunch of assets $i$ where the weights change slowly over time. The returns over each period $j$ composed of the weighted returns of the asset $r^j_p$ $$ r^j_p =...
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203 views

How does one calculate carry-roll-down theoretically assuming expectations of short-term rates are realised

I am not asking for an explanation that is hugely quantitative, but rather one that is more intuitive. I am aware that there are different assumptions that one could take when it comes to carry-roll-...
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36 views

Return of a bond held to maturity and realised forward rates

Let's assume that forward rates are realised as part of a carry-roll-down scenario. The gross return of a bond under the realised forward assumption to maturity is: $\frac{c(1+f(2))(1+f(3))...(1+f(T))}...
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111 views

Covariance matrix for multiple assets - Second attempt

Ok, on the advice of administration I open a new question, hoping that in this way it becomes clearer. Like I said before, I am trying to understand how the authors of this (page 76) and this (page ...
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39 views

Prices and returns

I want to convert the payoff of an Asian and a lookback Call option with prices in their corresponding with returns. Example: for an European Call $\varphi(S_T)=(S_T-K)^+$, so knowing that $S_T=S_0(1+...
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56 views

How to calculate portfolio returns from assets with different valuation frequencies and return methdologies?

I have a situation in which I'd like to calculate a total portfolio return for a portfolio made up of funds with different valuation frequencies and return methodologies. As an example, say I have a ...
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34 views

Boundaries on the single-period returns

I know that $e^{t\mu_{\operatorname{log}}-\Gamma\sqrt{t}\sigma_{\operatorname{log}}}\leq \widetilde{R}_t^S \leq e^{t\mu_{\operatorname{log}}+\Gamma\sqrt{t}\sigma_{\operatorname{log}}}$, with $\mu_{\...
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Calculate Average Price, Cost, (Un)Realized P&L of a position based on executed trades

We have built an algorithmic trading software and need to calculate the following parameters for each position in our portfolio. Average Price Cost Realized Profit & Loss Unrealized Profit & ...
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1answer
167 views

Is it always better to use the entire distribution of a financial returns series, not just $\mu$ and $\sigma$?

In finance models that use historical returns for inputs, including option pricing models, forecasting and portfolio optimization, only the statistical moments of the returns distribution, $\mu$ and $\...
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57 views

Please help me understand this dataset regarding stock prices

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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40 views

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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31 views

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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1answer
54 views

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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31 views

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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77 views

Which relation stands between IRR and the cumulative profits?

In the graph below you can see an irregular Cash Flow. The graph is cumulative, on the y axes there are moneys, on the x the dates. In the second graph the IRR (...
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187 views

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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100 views

How to calculate Money-weighted Rate of Return when there are multiple negative cash flows during investment period?

I know that when there are multiple changes of sign in the sequence of cash flows of a project, the project may have multiple IRR, which render this criterion impractical. Therefore, in such ...
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1answer
85 views

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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140 views

Modelling NPV with negative cashflows?

When making capital investment decisions that have cost saving implications instead of cash flow generation, is NPV still valid? For example: A state wishes to decide whether to replace a section of ...
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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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