14 votes

Difference between S&P 500 index and S&P 500 Total Return index?

Basically the Total Return Index assumes reinvestments compared to "regular" indices. "A total return index is an index that measures the performance of a group of components by assuming that ...
  • 931
5 votes

Difference between S&P 500 index and S&P 500 Total Return index?

Vanguard S&P 500 index fund tracks the index and not the total return because it pays dividends out to the owners of the fund... some investors reinvest the dividends, some investors spend their ...
  • 59
4 votes

Calculating fund alpha using Fama-French 3 factor model?

In the long run, you'd probably be better off learning a real programming language like Python, R, or MATLAB. While you can do this in Excel using mmult, ...
  • 6,384
4 votes
Accepted

Pricing and hedging fund-linked derivatives

For Q1 in order to create a negative delta product you would have to offset it by selling a positive delta product to someone else, which is certainly possible. Q2 I agree with the proxy solution ,...
  • 14.3k
3 votes

Measuring alpha (Academia vs the Industry)

Both questions are not as straightforward as @Hui (and most academics and practitioners) would immediately think. I would try to put in my two cents to answering your question 1. Short answer: It ...
3 votes

Mutual Funds: NAV vs Price

To calculate the return of a mutual fund, you should use NAV prices. NAV prices represent the value of the fund divided by the outstanding number of shares. The NAV is calculated by the fund custodian ...
  • 289
3 votes

Difference between S&P 500 index and S&P 500 Total Return index?

I believe the exact answer to the question of what the S&P 500 price number assumes you do with the dividends is that you do NOT receive them at all. They are not included in the calculation AFAIK....
  • 31
2 votes

Difference between S&P 500 index and S&P 500 Total Return index?

"S&P Dow Jones Indices calculates a total return index for the S&P 500 that includes the impact of investing dividends back into the index itself. In the calculation, dividends are invested ...
  • 21
2 votes

Modelling fund positioning using fund returns and linear regression

That's a quite interesting problem, a few thoughts on how to attack it: Calculate the correlation and beta between the benchmark and the fund. If the above imply a link between these two then proceed ...
  • 441
2 votes

How to find funds with long history to use in backtest?

yahoo finance has a large set of historical data. it's available for free. There are a few libraries, to retrieve the data
  • 223
2 votes
Accepted

How can I compare two mutual funds' performance with a sparse set of data?

I think the only valid answer is you can't. The techniques you describe would work of the signal was much stronger than the noise but it seems that with your fund returns this is not the case. You ...
  • 7,711
2 votes
Accepted

Where to get master list of mutual funds?

There is little chance that you find a single database that holds all the mutual funds in the world, especially for free. Some companies made a business out of this, such as Morningstar. They will ...
  • 10.9k
2 votes
Accepted

Disadvantages of large panel

In general, more data is better than less data. On the topic of your specific scenario, you want to cluster by date or use some other procedure to produce consistent standard errors in the presence ...
  • 6,384
2 votes

Fund size and alpha

The main reason in the academic literature for alphas to decrease with fund size has to do with decreasing returns to ability. Think about it this way: Managers first allocate funds to the most ...
  • 6,923
2 votes

Fund size and alpha

Most of this will be the sheer nature of statistics. Big funds tend to have more average results, small funds have more variance and thus have more of the high returns, but also likely more of the ...
  • 3,619
2 votes

How do I officially track the performance of my quant strategy? Do I need to be GIPS compliant for my performance to be legitimate?

Put your 100k in an account. Do not run any other strategy in the account. Run the account the same exact way you would run investor capital--same leverage, same risk parameters, same products, etc. ...
  • 3,880
2 votes

Stressing liquidity (time to liquidate) of a long only equity fund using participation rate or bid ask

If you are concerned about how fast can you convert your equity holdings into cash, then you would care about the ADV (average daily volume) and cost would be a secondary issue. What you can do is ...
  • 1,708
2 votes
Accepted

Where do the zero returns in QMNIX (AQR Market Neutral) come from?

I think it's more than likely just rounding. The prices only go out to two places past the decimal, so a 1 cent change would be about a 0.1% daily return (with a \$10 average price). Looking at the ...
  • 1,111
2 votes
Accepted

Is it possible to short publicly traded mutual funds?

In principle yes, but there are some operational and legal details. The steps: Denote the mutual fund by $F$ (consisting of bonds, stocks, quantum gravity coins, etc) The crucial step is that the ...
1 vote

Geometric Sharpe ratio

Link to discussion in the other thread notwithstanding, calculating Sharpe ratio using arithmetic return is more 'classic' than using geometric return. To start, Sharpe himself used arithmetic ...
  • 1,608
1 vote

Why do some mutual funds or indexes have an average effective maturity that is way larger (2-4 times larger) than the average effective duration?

Assume there is no interest rate, you loan me 1 dollar and then I give you 0.5 dollar half year and then 1 year later. The duration of my payment is 0.75 years and maturity is 1 year. Duration is the ...
1 vote

Why do some mutual funds or indexes have an average effective maturity that is way larger (2-4 times larger) than the average effective duration?

Hard to be too specific when there’s a lot of caveats in both “effective” measures, and their definitions, above :-) This said, there are two complimentary reasons for maturity>>duration. The first ...
  • 4,936
1 vote
Accepted

Jensen alpha estimation

Note that both formulae for $\beta_j$ are the same since $\mathbb{V}\text{ar}[\tilde{X}+c]=\mathbb{V}\text{ar}[\tilde{X}]$ and $\mathbb{C}\text{ov}(\tilde{X}+c,\tilde{Y}+c)=\mathbb{C}\text{ov}(\tilde{...
  • 14k
1 vote

Pricing and hedging fund-linked derivatives

Q1: Correct. Q2: There are some variance / volatility swaps quoted in the IDB markets for major mutual funds. Some big hedge funds are also keen to sell volatility. Q3: Almost impossible. Q4: ...
1 vote

Disadvantages of large panel

See this comment from the wiki page on fixed effects models: In statistics, a fixed effects model is a statistical model in which the model parameters are fixed ... Such models assist in ...
  • 448
1 vote

Measuring alpha (Academia vs the Industry)

Normally, alpha is the excess return beyond the benchmark, meaning if the benchmark return is 0, your portfolio will still have a return of alpha - the easiest way to understand. However, your second ...
  • 382
1 vote

Fund size and alpha

I thought I'd contribute an answer that's more empirical and experience-based. I worked at an asset allocator earlier on in my career, and the company has a very strong bias toward NOT investing in ...
  • 10.9k
1 vote

Calculating 10-year Sharpe ratio for a mutual fund in excel?

So you have calclulated the Sharpe-ratio (SR) for 100+ funds and find it suprising that the SR is positiv for so many. SR compares excess return to risk. As risk is always positive we can focus on ...
  • 13.3k
1 vote

What is a good way to detect fund manager's active stock picks from his portfolio holdings?

I would like pile on with the recommendations for using activeshare.info. However, active share data is only available for mutual funds, so the use cases are limited. As your question title implies, ...
1 vote
Accepted

Calculating returns for a mutual fund with dividends

When we hear that the Dow is up for the day, it is not relative to the open, but rather to yesterday's close. Accordingly, I believe the yearly returns for 2013 are calculated, using the yearly ...
  • 344

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