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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Scaling variables (Fraction vs % vs log) when regressing twelve month returns

Dear Stack community, My question is the following; If my dependent variable is twelve month returns. And as independent variables I have fiscal year variables like ROA and log variables like the log ...
1 vote
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Compounding vs Annualizing Returns in a Portfolio Optimization Context

This might be a rather basic question that might be closed... but I can't for the life of me understand why in many Google search results the annualization of daily returns is done like this: r_yearly ...
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How to calculate weighted return of two stock prices? [closed]

I have 2 list of returns A = [0.00538467, 0.04701923, 0.00170811,...] B = [0.00299271, -0.0060228 , -0.07761099,...] I take long position in A and short in B. How to calculate the total return and ...
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1 vote
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Tricky question about returns [duplicate]

I have a list of monthly returns. -10% -20% -70% -30% -15% -60% The total end return is -94.859%. Because you calculate = 100 x (1+ -10%) x (1+ -20%) x ... Now I ...
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Calculating Portfolios Covariance via Bilinearity with Log or Simple Returns

I'm wanting to calculate the covariance between two portfolios $A$ and $B$ which are allocated to assets $X_i$ (where $i \in \left[1, 2, \cdots, N \right]$) with weights $\vec{w_A}$ and $\vec{w_B}$, ...
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Effect size for information coefficient

The information coefficient is the correlation between a signal $g(t)$ and returns $r(t)$. I’m hoping to build some practical intuition on the information coefficient. Similar to the notion of effect ...
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1 vote
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Total Return on Bond [closed]

I'm trying to calculate the total return (in %) on a 9% coupon 20-year bond with the following assumptions: reinvestment rate of 6% annually (3% every six months) terminal yield of 12% (semiannual ...
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1 vote
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Figuring out how TradingView calculates the Sharpe ratio [closed]

This is the simplest backtest I've come up with, yet I can't figure out how TradingView has calculated the Sharpe ratio to be 0.577. I've set the risk_free_rate=0. Is it possible to extract the ...
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Why can I use equilibrium asset pricing models to predict future returns?

This is a general question that applies to the CAPM and any version of the APT (e.g. the Fama & French three factor model). Speaking in terms of the APT: Assuming a simple one-index version of the ...
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Estimating Returns with the Non-Central t-distribution

The Boost C++ Libraries provide a set of statistical distributions in their Math Toolkit library. The best candidate I can find among those available that will capture skew and kurtosis typically ...
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Is there a formal notion of a "reward measure"?

A risk measure, as defined in the Wikipedia page, is a function that maps random variables to real numbers and satisfies the normalized, translative, and monotone properties. There are many other ...
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Does the expected return increase with variance for stocks? [duplicate]

I took a historical dataset of ~2600 stocks and computed the 30-day returns for non-overlapping windows, for a 9 year period. For the returns, I computed the mean and variance. Then I plotted the mean ...
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Intraday tick volatility between a time interval

I would like to calculate intraday tick volatility between a time interval A to B. E.g. If I have the quote and trade ticks for an instrument between 2023-02-17 10:00:02 to 2023-02-17 14:30:00, would ...
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Bias-Variance tradeoff for Covariance Estimation w/ Different Frequencies

In general, what does the bias-variance tradeoff look like when estimating covariance matrices with varying return frequencies (i.e. daily, weekly, monthly returns)? From my observations I've noticed ...
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How to identify daily returns as an unusual daily return given a dataset

I am currently calculating daily returns of a stock with the following formula: $$R_t = \frac{P_t - P_{t-1}}{P_{t-1}}$$ However, once I have the data, I am unable to establish a range to classify the ...
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Taking into account of transaction cost and initial margin into calculation of Returns and Sharpe Ratio

As a follow up question to this question How to take into account of transaction cost in return and Sharpe Ratio? I am thinking that if I need to take into account of transaction cost, and suppose I ...
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1 vote
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Trying to understand the notion of required return

I have been thinking about the notion of required return lately. I am not familiar with a formal definition, but I have tried to reason my way towards one. Please let me know if my approach makes ...
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1 vote
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How to derive the sharpe ratio for an intraday strategy

I have an intraday strategy, which will place 0-5 trades for each intraday trading session. (Note that some days it will not place any trades out). The average duration of a trade is around 33 minutes....
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