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 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 ...
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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 ...
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Prices and returns

I want to convert the payoff of an Asian and a lookback Call option with prices in their corresponding with returns. Example: for an European Call $\varphi(S_T)=(S_T-K)^+$, so knowing that $S_T=S_0(1+...
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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 ...
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Cumulative returns from ROI of individual trades

I've a series of ROIs: $R(n) = [r_1, r_2, ... r_n]$ generated from taking $n$ trades. Each ROI value is in percent $[0, 1]$. How do I generate cumulative return $C(n)$ from this data? My understanding ...
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Inter-temporal structural stability of stock markets

For my bachelor thesis I am trying to determine structural stability of some stock market in the following way: Identify an ARMA model for the whole sample Split the sample in two parts, and estimate ...
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variance of asset returns linear for time

I am reading Wilmott's book, "Quantitative Finance" and try to understand the derivation that the variance of asset-returns, $V[\Delta S/S]$, is a linear function of the time step $\delta t$....
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internal rate of return ((M/X)IRR ?) of a fund

I have the following data for a fund. The contributions come from the LPs (i.e., the investors invest more in the fund, or withdraw money from the fund), MV stands for market value. The timing is not ...
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Excess Daily Returns to Excess Quarterly Returns

I am building a model which predicts the Excess Daily Returns over a time period. How do I convert these excess daily returns to excess quarterly returns? Should I just do an average of all the daily ...
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Volatility of multimodal distribution of returns

Take $x_1, x_2, \ldots, x_T$ to be the price of a stock, indexed by $t=1, 2, \ldots, T$. Define rate of return at time $t>W$ for a window size of $W$ to be $$r_t = \frac{x_t - x_{t-W}}{x_{t-W}}$$ ...
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Optimal predictors for 1-month returns

I am implementing a Random Forest classifier algorithm on Python for predicting future stock returns (one month). My goal is to foresee whether the cumulative returns in a month will be negative or ...
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Fama Foundations of Finance today

Which could be a recent equivalent of Fama's book Foundations of Finance? By "equivalent" I mean a book which is rigorous, but without being a book on stochastic calculus; which is focused on stock ...
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Modern Linking Algorithm for Multi Period Performance Attribution

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 ...
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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 ...
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Why do these Monthly vs. daily plots differ?

I got my data from Thomson Reuters Datastream. As an Input for my plot i calculated daily Returns based on the Return-Index provided by datastream. Then i plotted the Monthly and the daily Returns.(...
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Monte Carlo simulation based VaR: daily vs annual parameters

I am given the initial price, annualized return, and volatility of a security. I am trying to calculate annualized VaR using Monte Carlo simulation approach. To do this I will use the following ...
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dynamic programming with serially independent returns

Book suggests that "asset returns are assumed to be serially independent, so wealth is a single state connecting one period to the next". I understand path dependency is lost in case of serial ...
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what is a reasonable beta in CAPM?

I want to predict expected returns for assets using a CAPM, to calculate unexpected (unpredictable, idiosyncratic, non-systemic) returns in portfolios. My CAPM estimated on monthly total gross ...
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Estimating distribution of rate of return

Let $f[t]$ be the price of a stock at time $t$. We can calculate the rolling rate of return of the stock in a window of length $n$ by computing: $$r[t] = \frac{f[t] - f[t-n]}{f[t-n]}$$ $r[t]$ is ...
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Differences Between Portfolio Daily Average Returns

I have a doubt about the average daily return for a 2 stock porfolio. I have the data of both stock returns over a 1511 day period. I used 2 approachs to calculate the average return. In the first one,...
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