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.
121
questions with no upvoted or accepted answers
1
vote
0
answers
64
views
Overnight and intraday returns of stock index and ETF seem inconsistent
Figure 2 of the 2019 paper "Celebrating Three Decades of Worldwide Stock Market Manipulation" shows that 29 Jan 1993 to 31 Oct 2019, overnight returns (from close to open) of SPY were 1232% while ...
- 25
1
vote
0
answers
45
views
Time and asset weighted rate of return of a portfolio
If I have a portfolio with 3 initial assets on day 1 (say, stock 1 with beginning market value of \$100, stock 2 \$150 and stock 3 \$175) and after 10 days the stock 2 is sold for \$200, how can I ...
- 11
1
vote
0
answers
449
views
Bloomberg Treasuries PX_Last and daily returns
I tried to search for this specific question, although I didn’t found a conclusive answer.
I have a dataset containing the yields of several T-Bills and T-Notes that were downloaded from a Bloomberg ...
- 11
1
vote
0
answers
430
views
Relationship between ROE and IRR
In the textbook I read the following:
We can increase the present value of a share of common stock with a new investment only if $ROE > r$ , where $r$ is a discount rate (capitalization rate). ...
- 159
1
vote
0
answers
86
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. ...
- 11
1
vote
0
answers
84
views
What's the interpretation behind this GARCH modeling?
I have an ARIMA model for monthly returns of the brazilian stock market index. Then I test the residuals of the model for ARCH effects. The ACF/PACF of squared residuals show that there are no ...
- 11
1
vote
0
answers
26
views
Source for derivation of acquisition price for given IRR and cash flows
Does anyone know a quotable source - book/academic or practitioner's paper - that derives the acquisiton price for a target firm when the buyer's desired IRR and all cash flows over time of the target ...
- 113
1
vote
0
answers
85
views
Predicting stock returns using principal components of macroeconomic variables
I'm trying to detect return predictability by regressing stock returns on the first couple of principal components of a set of macroeconomic variables. I'm doing this for different stock styles such ...
- 11
1
vote
0
answers
42
views
General to specific approach to modelling
I am trying to find the relationship of stock indices across the world. This has been done by the literature, however, I am wondering about the methods chosen.
I have decided to go with what I think ...
- 459
1
vote
0
answers
29
views
Sample distribution of cross-sectional statistics of returns
Currently doing an application of VaR on sample of industry portfolios in the US. I have a matrix of $n$ industry portfolios with $m$ time-series observations. I calculate cross-sectionally (for each ...
- 1,346
1
vote
1
answer
202
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 ...
- 141
1
vote
0
answers
162
views
Black Litterman - numerical instability
I am trying to work out the formula for the posterior mean in Black Litterman's model assuming 100% confidence :
Ref: https://corporate.morningstar.com/ib/documents/MethodologyDocuments/IBBAssociates/...
- 11
1
vote
0
answers
57
views
Computing squared returns given differential equation for prices
I am looking for general advice on how to start tackling the problem below. My background in math is fairly bad when it comes to stochastic differential equations, but if you have any recommendations ...
- 133
1
vote
0
answers
48
views
Bootstrapping to Judge the Fit of a Sampled Return Distribution
Consider the following: I have sampled yearly stock returns from a specified distribution.
What I want to do is compare how well my sampled distribution fits the empirical distribution of yearly ...
- 137
1
vote
0
answers
68
views
Generate P Value from stationary bootstrap following Politis & Romano (1994)
For my master thesis I am analyzing the performance of trading strategies. For this I need to avoid data snooping by utilising the FDR approach. I follow closely the procedure presented by Bajgrowicz &...
- 11
1
vote
0
answers
30
views
Is variation in price-dividend ratios that is attributable to excess returns due to variation in returns or variation in risk free rates?
Cochrane and Fama show that "all variation in price-dividend ratios corresponds to changes in expected excess returns -risk premiums- and none corresponds to news about future dividend growth". Is ...
- 283
1
vote
0
answers
41
views
Average return per period for a total loss
Short version: Is there a meaningful notion of "average return per period" for an investment whose value falls to zero over time?
Long version:
Call the gross return on an investment the ratio $\...
- 111
1
vote
0
answers
154
views
Simulating asset returns: (Academia) state of the art
I want to run some simulation studies of (linear) factor models and for that reasons I am wondering about the features such a simulation should contain - every suggestion is welcome, I'll do my best ...
- 1,446
1
vote
4
answers
401
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 ...
- 111
1
vote
0
answers
81
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 ...
- 11
1
vote
0
answers
2k
views
Calculating weekly portfolio returns for portfolios sorted by volatility
I am having some issues with finding the right code in STATA for sorting the data into portfolios by historical volatility (standard deviation) of returns and then calculating portfolio returns and ...
- 11
1
vote
0
answers
39
views
Are the returns in this regression signed returns?
In this paper about combining multiple alphas are the returns signed returns? if not wouldn't they be mean zero?
Also, it mentions "realized alpha returns" - does that just mean "realized" past alpha ...
- 1,347
1
vote
0
answers
273
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 ...
- 21
1
vote
0
answers
829
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:
...
- 221
1
vote
0
answers
85
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 ...
- 131
1
vote
0
answers
868
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 ...
- 83
1
vote
0
answers
105
views
Determining the investment strategy
I have the following problem:
Consider the 5 year investment strategy and given the yearly portfolio returns $S_{t+1}/S_t$ and dividends $D_{t+1}$ paid at $t+1$ which are modeled as:
$\frac{S_{t+1}}{...
- 427
1
vote
0
answers
138
views
Confused on interpretation of betas/alphas in regression in finance
I ran a regression on two stocks. I don't have the data in front of me, but it is a more conceptual question.
Let's say SP500 returned a total 23% return over this time period and MSFT returned 9%...
- 111
1
vote
0
answers
108
views
Calculating Asset Returns
The question pertains to a simple phenomenon.
There is gold futures listed on Exchange A and Exchange B.
Exchange A and Exchange B overlap times with A and B starting 8 hours later and A and B ...
- 171
1
vote
0
answers
83
views
Sampling and/or asymptotic distribution of a function
Assume we have the following function:
$$f(p) = \frac{1}{(1-p)d}\ln\left(\frac{1}{T}\sum_{t=1}^{T}\left[\frac{1+X_t}{1+Y_t} \right]^{1-p} \right)$$
where
$d$ is a constant
$T$ is a constant
$X_t$ ...
- 325
1
vote
0
answers
1k
views
Long/Short portfolio return
Suppose I have a Po with one long, one short positions and some cash (to balance the short + 50% margin) as shown below:
...
- 284
0
votes
0
answers
35
views
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 ...
- 1
0
votes
0
answers
25
views
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 ...
- 1
0
votes
0
answers
71
views
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 ...
- 93
0
votes
0
answers
47
views
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 ...
- 98
0
votes
0
answers
29
views
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 ...
- 133
0
votes
0
answers
47
views
How to calculate Quartile (or Decile) returns
I have split the following portfolio of 20 stocks into 4 quartiles by say market cap. My main question is how would you ...
- 111
0
votes
1
answer
78
views
Equity and Credit Portfolio Return
This might sound like a trivial question but would appreciate the answer.
How would you calculate the return of the portfolio consisting of only equity and credit instruments? For example, consider ...
- 3
0
votes
0
answers
129
views
combining forecasts at different time horizons
I define a prediction of return of an asset as the following: at time $t=0$, I use my data and output that I expect the asset to make the following returns (in expected value) in the next n intervals $...
- 121
0
votes
0
answers
24
views
How to calculate the portfolio risk and return if daily share prices, volume held on that day is given for all assets?
The problem is with the changing volume of assets which changes the weights. I want to use the formula for portfolio risk but cannot figure out the weights. Should taking average weight of an asset ...
0
votes
1
answer
88
views
Correlation between CDS return relevance
I see that there is much literature that uses the correlation notion in the equity returns to construct a graph or look into how they are related to one another. If we want to extend this to Credit ...
- 123
0
votes
0
answers
133
views
I.I.D log returns. What about their square?
If one assumes the underlying return process is I.I.D, is there a solution to the question of the autocorrelation of squared returns?
Thanks.
- 439
0
votes
0
answers
79
views
Theoretical returns are not matching empirical ones in my backtest
I'm trying to implement a Backtest for my quant strategy but the calculated theoretical returns are not matching the returns from my implementation. Here's the example:
On a given day I have 1 million ...
0
votes
0
answers
146
views
Correct return calculation if short position involved
I wanted to calculate the daily return for a long-short position. Say one has 1 unit of stock A (long) and alpha units of stock B short. How can one now calculate correctly the daily percentage return?...
- 13
0
votes
0
answers
161
views
Performance Attribution and FX positions
I'm currently reading the book "Mastering Attribution" from Andrew Colin.
He first explains that you can separate the FX returns from the security return if the returns are continous ...
- 165
0
votes
0
answers
59
views
What is higher order moment of firms?
Today I read a sentence that "in US, expected market excess returns can be predicted using average higher order moments of all firms". When I read further, "higher order moments" ...
- 123
0
votes
0
answers
99
views
What's the best proxy for a stock contribution to the portfolio returns?
I have a table of the weights of stocks in my portfolio for various periods and another with the returns that those stocks had for the same periods.
If I sum the product between the weights and the ...
- 101
0
votes
0
answers
94
views
Calculation of Long-Short-Portfolio returns for different holding periods
I have monthly stock returns I want to invest in according to my trading signals. Now I want to figure out the optimal holding period of the long-short-positions. (The same time for both positions).
I ...
0
votes
0
answers
86
views
Source for Intraday or High-frequency stock price data
I am in search for intraday (some observations per day would be fine) or high-frequency data for stock prices. I have for example 3.000 ISIN numbers of German companies and want to get the intraday/...
- 21
0
votes
0
answers
59
views
Proper way to measure portfolio returns
I have a peculiar trading strategy and I can't seem to be able to find a proper way to measure its performance.
Background:
The strategy consists of buying certain stocks and then selling them in ...
- 101