We’re rewarding the question askers & reputations are being recalculated! Read more.

# 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.

324 questions
Filter by
Sorted by
Tagged with
18 views

### Error distribution algorithms in performance attribution

Are there any known & generally accepted methods of scaling each return in a period such that the total cumulative return equals a more desired amount? For example, 0.5 and 0.3 have a total ...
14 views

I'm looking for a modern description of the linking algorithms used in industry arithmetic performance attribution across multiple periods. Since the sum of the active return components in arithmetic ...
139 views

151 views

### Rate of Return Required on Buying Stocks with Loan

A bank gives a loan $L$ for $m$ months and the monthly interest rate is $i$. The bank requires monthly installments - which I calculate is $I = \frac{L}{m} + Li$. I use this loan to buy stocks....
39 views

### How to deal with intermittent NA values in a price series when calculating returns

Let's say a have a price series for a share for the year 2000. On the 27th of July 2000, there is a missing value represented by NA. This was not a holiday or any other non trading day as other shares ...
82 views

### How are returns on Bond Funds (or ETFs) calculated?

For example, if we consider the fund "iShares Core U.S. Aggregate Bond ETF (AGG)", I am trying to figure out how the yearly/Monthly returns are being calculated. I extracted the historical NAV values ...
2k views

When it comes to foreign exchange carry trade strategy, the definition is straightforward: an investor borrows 1 US-\$in the US (low interest country) and invests that \$1 to AU (high interest ...
65 views

### Efficient Frontier Graph

I'm writing some C code to create different portfolios using a few stocks that are given as inputs. I am having some trouble trying to find if these results are correct. My biggest hesitation is that ...
36 views

### Convert arithmetic returns to log returns [closed]

I have a series of arithmetic returns and I need log returns. I do not have the underlying prices. How do I convert? All the posts I have found explain why using one versus the other is appropriate ...
66 views

### How to calculate standard deviation cone around expected returns?

I would like to evaluate the returns of an investment manager who has given me their return and volatility expectations for their fund. I would like to calculate both 1 and 2 standard deviations from ...
283 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 ...
62 views

### Portfolio & Asset Returns across Multiple Periods

The stocks of CK Tan's, Robertson's, and Tamashimaya are held by the hedge fund SSK. They hold an equally weighted portfolio. The end-of month prices of the stock during five months this year is given ...
219 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 =...
28 views

### Does Adjusted Closing Price take account the Expense Ratio?

first time posting at Quantitative Finance. I am trying to use the yfinance python library to load various ETF's data and compared the return. I understand the adjusted closing price handles the ...
45 views

### Autocorrelation in daily bond returns

I've been examining the returns of a few government bond series around the world. I found out that some have a positive daily autocorrelation. It's not big, but still seems at odds with efficiency. ...
147 views

### CAPM - Expected vs. actual returns

I'm trying to calculate alpha in excess of CAPM and have seen a few slightly different calculations for CAPM. The primary difference I am seeing is that some equations use expected market returns (e....
50 views

### EONIA capitalisé jour tr eur: can't find index data! Do you know what kind of index is?

To get EONIA capitalisé jour tr eur index returns (monthly returns from 01/2007 until the most recent) is challenging. First i googled the index name searching for the ISIN or the index provider ...
78 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 ...