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 to interpret regression coefficients with dummy explanatory variables?

I am a bit confused about the interpretation of the regression coefficients in a regression model: $R_{t}=\beta_0+\beta_1R_{mt}+\beta_2D_{t}+\epsilon_t$ where $R_{t}$ is the log return of some stock,...
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Stocks' returns distribution

I understand that stocks' returns are not normally distributed. However, is there any method that we can rescale the stocks' returns so they look more like normal distributions? I managed to find a ...
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Total Return Swaps and Borrow Cost Relationship

If an investor is long a Total Return Swap (TRS), they get the total return (ie, including dividend) performance and usually pay LIBOR minus a spread. This spread should trade ...
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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 ...
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R: Calculating cumulative return of a portfolio

I've downloaded adjusted closing prices from Yahoo using the quantmod-package, and used that to create a portfolio consisting of 50% ...
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Calculating excess returns

I would like to know if I am calculating these excess returns correctly. I have here an R dataframe with weekly 3-month treasury bill rates, and the arithmetic ...
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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. ...
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how to chain monthly excess returns into annual?

I want to calculate annual excess returns on portfolios using monthly returns for a CAPM (for the assets in the portfolio as well as for the benchmark), in order to have more information on the ...
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Block Bootstrapping Relative Returns

I want to run a block bootstrap on the relative returns, but I'm not sure if subtracting the mean is important. A bootstrap sequence is a synthetic sequence generated using the original sequence. If ...
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How to deal with different amount of td's in computing Sharpe Ratio

In calculating the Sharpe Ratio, should I take into account the days were I have 0 return due to non-trading day? Another user posted a similar question but this was related to trading days with no ...
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How to group mutual funds by volatility?

I want to group Mutual Funds by their volatility. Ideally, I would like to end up with the mutual funds beings attached to different groups: High volatility Medium volatility Low Volatility My ...
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Covariance matrix for multiple assets - Second attempt

Ok, on the advice of administration I open a new question, hoping that in this way it becomes clearer. Like I said before, I am trying to understand how the authors of this (page 76) and this (page ...
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How to calculate monthly returns in R for every company in a dataset of 4000 companies?

I want to calculate monthly returns for a time series of 4000 companies between 2014 and 2019. This is how my dataset looks like I'm using the following code to calculate the returns nyseamex <- ...
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How can I convert rolling annual returns back to quarterly returns?

I have a series of rolling annual returns and would like to convert these back to quarterly returns, which have not been provided. Is this possible formulaically, or is something like Excel's solver ...
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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 ...
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Literature on return sensitivy in respect to: growth, risk and profitability

I am currently writing my master's thesis, wherein I am looking for supporting literature. Specifically, I wanted to know if there had been any research relating to how the: growth, risk and ...
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Are Kenneth French Research Returns log-Returns?

Does anyone know if Kenneth French's return data on his website is log returns?
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Aggregation to MSCI world return from subindicies

I have Bloomberg Data PX_LAST for the MSCI world (MXWO Index). I also have Bloomberg Data PX_LAST for all subindices for the ...
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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: ...
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Drivers of equity returns: dividend yield, change in P/E and dividend (or earnings) growth

In an NBIM paper I read the following: "... one can break down the total equity return into the dividend yield (the starting valuation), the change in the P/E ratio (the change in valuation) ...
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Sharpe Ratio versus Cumulative Returns

I was asked whether Sharpe Ratio was a better measure than Cumulative Returns, in the context of hedge funds. To me, personally, Sharpe Ratio is a more important measure. By definition, it tells us ...
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Multiperiod return formulae with dividends

I have a question about returns when dividends are 'paid'. Firstly, will write down some definitions: Let $P_t$ be the price of an asset at time t. Assuming no dividends the net return over the ...
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How to calculate annualised tracking error?

I have 36 months of relative returns and I need to calculate the annualised tracking error. So, using 36 months of returns is it simply like below: ...
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Pair trading based on cointegration - equity line

I'm preparing a project at my Uni where I have to make a simple pair trading strategy using cointegration between two stocks. I'm stuck on the equity line calculation. I have prepared opening and ...
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Portfolio Return Contribution by Sectors

I have a table containing the following fields: Date, PortfolioReturn, CashReturn, Sector1Return,...,Sector10Returns 'PortfolioReturn' is the sum of CashReturn + return contributed from 10 market ...
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How to deal with missing returns when creating value (equal) weighted returns

recently I am doing cross sectional regressions, and getting confused about missing returns. Suppose we have 100 stocks, then we want to construct a value weighted return (or equal weighted return). ...
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Log returns and GARCH models

I try to model currency rates volatility using GARCH models through the RUGARCH package in R. Starting from the observed currency rate series, I compute the log-return through: ...
I'm working on an empirical analysis where I try to predict stock returns using weekly data. Ideally, I would like to use a panel data model like the following: $$Y_{it}=X_{it}'\beta+\varepsilon_{it}... 1answer 67 views Attributing change in yield as a result of structural change Suppose your portfolio has w_0 amount of bonds with yield r_0. Now you buy additional w_1 amount of bonds with yield r_1, then buy additional w_2 amount of bonds with yield r_2. ... 4answers 4k views compute sharpe ratio for options? Calculating sharpe ratio for shares is a straight forward task: (average returns - risk free ) / standard deviation. However i remain baffled as to how to tackle the task for options, can someone ... 1answer 1k views annual excess returns from CAPM on monthly total returns I want to calculate annual excess returns on portfolios using monthly returns for a CAPM (for the assets in the portfolio as well as for the benchmark), in order to have more information on the ... 1answer 231 views T-statistics on monthly returns vs annualized monthly returns eqI am very confused about a very basic question. This is probably more statistics than quantitative finance, but still, should be useful for this stackexchange board as well. Let's assume I have ... 1answer 90 views Correlation sensitivity in multivariate t-copula for portfolio VaR of electricity futures using Kendall's tau-b correlation matrix My t-copula model captures the daily dollar returns of a portfolio of approximately 400 assets. I am curious if there's a generally accepted way to quantify the sensitivity of portfolio movements with ... 1answer 136 views Incremental/marginal contribution to VaR in a simulation setting Estimating marginal contributions to VaR in a simulation setting is apparently quite difficult (see e.g. this blog post) due to issues with sampling variability. My question is whether the following ... 1answer 61 views ETF performance/returns I was going over some ETF return data on yahoo finance and encountered some numbers that did not make sense to me. The image below shows a ytd return of 17.94% and 13.52%. I checked ETF.com and ETFdb ... 1answer 207 views Convert Geometric Direct Alpha PME to Arithmetic Excess IRR (PME Alpha / Implied Private Premium) As a followup to this old question, Private Equity: Direct Alpha vs Excess IRR, I have a new one. In automating PME calculations, the Direct Alpha (DA) approach is computationally simpler and ... 2answers 425 views Cumulative Return on Futures In my current backtesting, I am using log returns as a proxy for simple returns via the relationship \ln(1 + r) \approx r for small enough r. This gives me wonderful properties like time additivity, ... 1answer 329 views Simple Compounding vs Continuous Compounding in return series I'm creating a log price series in MATLAB. This is fairly easy to do using standard functions. Given a price series prices: ... 1answer 616 views How are Fama French Factor Returns for the last 3 and 12 months calculated? In the Fama/French data library the monthly research factors for the Fama-French-3-Factor-Model and the Fama-French-5-Factor-Model are presented. I don't see how they are calculating the factor ... 1answer 218 views Looking at distribution of yearly returns of time series For S&P, or any time series for that matter. When doing analysis on the distribution of the yearly returns, should I be looking at 1) the daily year over year values, 2) pick some starting point ... 1answer 839 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.... 1answer 6k views Computing Buy-and-hold abnormal returns (BHARs) = \prod_{t=\tau_1}^{\tau_2}(1+R_{i,t}) - \prod_{t=\tau_1}^{\tau_2}(1+R_{m,t}) I am doing an event study and wanted to know if was going about this correctly$$ \text{BHAR}_{i(\tau_1,\tau_2)}\quad=\quad\prod_{t=\tau_1}^{\tau_2}(1+R_{i,t})~-~\prod_{t=\tau_1}^{\tau_2}(1+R_{m,t})  ...
This may be the most stupid question ever asked here, so sorry in advance for asking it. Suppose we have a single period security which gives dividend $D_{t+1}$ and has current price $P_t$. By ...