# 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 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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### 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 ...
1answer
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### 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 ...
1answer
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### 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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### 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 ...
3answers
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### 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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### 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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### 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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### 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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### 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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### 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 ...
1answer
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### 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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### 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 ...
3answers
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### 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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### 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 ...
1answer
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### 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 ...
1answer
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### 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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### 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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### 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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### 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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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 $\... 0answers 57 views ### Please help me understand this dataset regarding stock prices I am supposed to predict column E but I cannot figure out what any of these columns mean. The information provided with the dataset is as follows: column A: past 28 week slope value column B: past 48 ... 0answers 40 views ### Relationship between risk and return for GBM and riskless bond Suppose we have$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$. In ... 0answers 31 views ### Estimating the XIRR of a very non uniform cash flows It's my second post, so please bear my lack of experience in this field. I've a very irregular cash flow (here you can see the set of date - cumulative cash flow) The XIRR, calculated with Excel, is ... 1answer 54 views ### Event study using sector indices Analyzing Covid-19's impact on different sectors I would like to use sector indices. Can you use CAPM or similar to calculate abnormal returns of indices or does it only work with stock prices? 0answers 31 views ### Performance return of holdings if you know the returns of top10 holdings? I think this is a simple question, but struggling to get my head around it. There is a fund that showcases its top 10 holdings and their respective weights. I want to infer the performance of the rest ... 1answer 77 views ### Which relation stands between IRR and the cumulative profits? In the graph below you can see an irregular Cash Flow. The graph is cumulative, on the y axes there are moneys, on the x the dates. In the second graph the IRR (... 0answers 187 views ### Does the Shannon entropy of stock returns change over time? Shannon entropy,$H(X) = -\sum_{i=1}^n p(x) \ln p(x)$is a probabilistic measure of randomness or disorder within a random variable's probability distribution or histogram. If we take rolling window ... 1answer 100 views ### How to calculate Money-weighted Rate of Return when there are multiple negative cash flows during investment period? I know that when there are multiple changes of sign in the sequence of cash flows of a project, the project may have multiple IRR, which render this criterion impractical. Therefore, in such ... 1answer 85 views ### Correlation sensitivity in multivariate$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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### 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 <- ...