# 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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375 views

### Granger causality with stocks and CDS

I would like to take a closer look at stock prices and CDS spreads of different entities. Because both of them are nonstationary in levels, I use log stock returns and the first difference of the CDS. ...
490 views

### Momentum strategy cumulation of K-monthly returns over multiple months [duplicate]

In a momentum strategy, every month you form a portfolio of winners. Each of these portfolio you hold for K months. So after K months you sell the 1st portfolio, after K+1 months you sell the next and ...
681 views

### Calculating Quarterly Returns using Daily Prices in R

I am trying to compute quarterly returns with daily stock prices. However, I don't want to use the quantmod function "quarterlyReturn(x)" for each single stock but instead for the whole list of stocks....
230 views

### Getting Returns from Local Currency to USD

I want to get the daily returns in USD given returns in local currency (say Japanese Yen). Say for example, on February 3rd according to Factset, the returns of Inpex Corp (Japan) are: In USD: 0....
344 views

### Regressing non-USD returns on FF 3-factor returns

I am analysing some portfolio returns from the perspective of a Danish investor, i.e. in the local currency, DKK. I want to regress portfolio returns in DKK on the returns of a 3 factor Fama & ...
140 views

### Is there a stochastic equation which can model returns according to its four moments?

The normal stochastic equation only models mean and standard deviation. For now, I'm randomly picking returns from a historical CDF of the returns. I'd like to have some flexibility when it comes to ...
347 views

### How do I estimate the volatiliy of my portfolio with an estimator that requires High, Low, Open, etc

I have obtained the daily returns of my portfolio $R^{port}_t$ using a certain strategy. Now I want to estimate the realized volatility $\sigma^{port}_t$ using the past 60 days. An obvious way to do ...
352 views

### Control for non-synchronous trading in correlations

I am trying to replicate some results from the Betting Against Beta paper by Frazzini & Pedersen. In section 3.1, Estimating Ex Ante Betas, they illustrate their approach to correlations: [we ...
87 views

### Converting international equity returns to USD

Background: I am trying to replicate some results from the Betting Against Beta paper by Frazzini & Pedersen (FP). (http://www.econ.yale.edu/~af227/pdf/Betting%20Against%20Beta%20-%20Frazzini%...
13k views

### Daily returns using adjusted close

I want to chart the daily returns of a stock, and I'm using Yahoo finance data to download historic data. I was told to use Adjusted Close, but there seems to be an issue with this. For ANTO.L, you ...
413 views

### R squared statistic in predictions of returns

My question is related to an article which use predictive linear regression for the stock returns. There is told that R squared statistic of 1.6% is high. How can we measure which R squared is high? I ...
5k views

### Calculating the returns of a long/short strategy

I feel like an idiot asking this but i haven't found the answer anywhere. I have backtestest a paris trading strategy, while calculating the returns of the strategy I run into some problems when the ...
157 views

### Return on investment in spreads

I have a hard time getting my head around this. Let's say you have a strategy that consists in buying one future spread, for instance CL Z7-Z8 (crude oil dec17 minus dec18). It's easy to calculate the ...
99 views

### Proof that linear returns aggregate across securities

I keep reading that linear returns aggregate across securities, but I'm having trouble proving it. I suspect there's some mistake in my approach; I'd appreciate some help in seeing it. Suppose we ...
157 views

### Adjusting a daily log return for a cash inflow/outflow [closed]

If I had a portfolio with one stock with an initial value of 100 and the next day the stock gained 5 and I added 50 too, would I adjust the log return this way: ln [(155-50)/100]?
187 views

### Comparing a money-weighted return of my own portfolio with a benchmark ETF/other portfolio that is subject to the same cashflows

I am able to calculate the money-weighted return (XIRR equivalent in Excel) of my portfolio. Whilst I can compare this with ‘headline’ returns of ETF’s, Mutual Funds etc, I want to isolate the timing ...
5k views

### Under the CAPM, how do I deal with market returns being below the risk-free rate?

Let's say I'm using CAPM to estimate the cost of equity, so I need expected market returns for the calculations. The standard approach is simply to compute arithmetic mean of an index (or rather its ...
3k views

### How to calculate annual returns from daily prices?

Suppose I have daily adjusted closing prices for SPY, for example from yahoo finance. How from this calculate annual return? Note: It's NOT about issues like 1.2 means 20% or 0.2 means 20%. The ...
996 views

### How to adjust regression for rolling returns?

I have a predictor variable (x) and dependent variable (y). Both are monthly rolling annualized returns, which naturally induces significant autocorrelation in x and y. They both also fail to be ...
4k views

### Calculating annualized volatility of stock returns

Suppose I have a sequence of monthly returns of a stock, $r_1,r_2,\ldots$. Suppose further that this is an i.i.d. sequence with with finite second moments. In every paper, report, lecture note etc. ...
434 views

### Sharpe ratio: discrete or continuous returns?

The Sharpe ratio is known as $$SR=\frac{\mu-r_f}{\sigma}$$ Are these values calculated from discrete or continuously compounded returns?
200 views

### What is the industry standard for annualizing returns over non-contiguous time periods?

Suppose I am invested in the same fund for the first 200 days in 2013, some combination of 150 days in 2014, and the last 100 days in 2015. Further suppose that geometrically linking the daily returns ...
77 views

### Price return or total return for GARCH models

Is there a problem in modeling total return rather than price return when using GARCH models? My line of thinking is that total return includes dividends, which is only a "pseudo-random variable" in ...
39 views

### any ideas how to get missing returns for german governement bonds, maturity bucket 10+

I am looking for a way to extrapolate monthly government bond returns (total return index) that are not available on datastream for the bucket of 10+ (maturities of 10 years and above). For the 4 ...
130 views

### How to calculate daily return including fees?

I have a trading strategy that closes one position on an asset and open a new position on a different asset every day at noon. No more than one position is open at a single time. Assets are crypto ...
5k views

### IRR of IRR or weighted average of IRR

I have a list of investments with their expected IRR(Internal Rate of Return). I'm confused about which is the right metric to depict for my population: IRR of IRR or weighted average of IRR. It's ...
2k views

### Trading days or Calendar days for Compound Annual Growth Rate?

When calculating CAGR for intervals shorter than a year (or intervals that are longer than, but not integer years in length), should you use the 252 trading days or the 365.25 calendar days? The ...
98 views

### s&p500 companies value vs growth

I was thinking of examining how the constituent companies of the s&p500 are affected by sentiment in crises. Is there any way to download stock prices for all the companies? Moreover how can I ...
5k views

### Why do two perfectly negatively correlated assets not return 0%? [closed]

So, per the title, why would a combination of two risky assets that have the same exact expected return and standard deviation while being perfectly negatively correlated not return 0%? Why do you ...
526 views

### R:log return calculation for panel data structure

I have a long form panel for hourly prices of stocks. I want to do log return calculation for this panel data structure. This is sample data: ...
720 views

### Calculating Portfolio Returns Across Sectors

I have a table of asset (mutual fund) returns and the percentage that each asset is in a particular stock sector: ...
2k views

### cumulative return calculation, disagreement

A friend of mine and myself are having an argument on how to correctly determine cumulative return. The dataset has monthly return data and we are trying to determine the 6-month cumulative return. ...
112 views

### student-t asset path

I am trying to simulate an asset path based on a t-distribution. I found a lot of ressources and the fact that it will be difficult to do a path. But now I changed my Geometric Brownian Motion ...
40 views

### Polynomial interpolation of corrected lognormal distribution

Can anyone provide a formula for a polynomial interpolation of the corrected lognormal distribution used to model returns traditionally resulting from the wrong Brownian motion generated model? ...
182 views

### Correlation between 2 stocks [closed]

If Stock A returns 5% on average in year Y And Stock B returns 2% on average in year Y Does this mean that correlation is 40%?
749 views

### Estimation of annualized volatility depending on data frequency - exceptions to the general rule?

From my understanding, the annualized standard deviation of daily returns is generally higher than of annualized standard deviation of weekly returns is generally higher than.... monthly...quarterly......
632 views

### Modelling log-returns and calculating the portfolio return

I know this might be a trivial question, however, I would be grateful for some clarification. I am working on weekly log-return data, doing volatility-foracasting using GARCH models and then using ...
1k views

### comparing total returns from various data vendors

I need to use various data sources to cover all of my data, and I am concerned by the discrepancies in total returns. Data vendors were helpful, but their simple documentation did not help resolve why ...
85 views

### Portfolio return for assets held for different lengths of time

How does one calculate the return on a portfolio if the assets in that portfolio were held for varying periods of time? For Example: $t_0$ Buy AAPL at 100 $t_5$ Buy MSFT at 20 $t_1$$_0$ Sell MSFT at ...
76 views

### Portfolio Theory: Must VarCovar Matrix be based on return var/covar?

I am trying to estimate the minimum variance portfolio where the assets are currency derivatives. In the specific case it does not make sense to base correlations or variance on asset returns. I am ...
51 views

I am learning the basics of portfolio management. I am confused about different ways to calculate rate of returns mentioned in the text investment and portfolio analysis. There are three methods to ...
6k views

65 views

### find the qth lower tail quantile

I have daily currency returns. For each month, I have to find the return associated to the 5% lower tail quantile for each currency (the lowest return or the second lowest return). Could you please ...
78 views

### Computing Overall Return for A Single Asset Given Inflows & Outflows

I am creating a portfolio tracking model in Excel and have run into difficulty on how to track the overall performance of a single asset, given that over time more and less capital (shares) has been ...
735 views

### Calculate total risk [closed]

I have a question regarding how the risk is calculated, if I have only the returns. I think the risk premium (rp) is just the average of the returns and the sharpe ratio is the risk premium divided by ...
718 views

### How to calculate cumulative returns with one lag in R

I have a huge data frame with over 1000 column, which are companies(column headers) and in each column I have their estimated return(monthly). The sample period of the data frame in 11 years. I want ...