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 ...
Jeremy's user avatar
  • 59
4 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....
Christo's user avatar
  • 41
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, ...
Matthew Gunn's user avatar
  • 6,934
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 ,...
dm63's user avatar
  • 17k
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 ...
Peter's user avatar
  • 299
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 ...
Igor Pozdeev's user avatar
3 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 ...
Matthew Gunn's user avatar
  • 6,934
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 ...
sen_saven's user avatar
  • 441
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 ...
Steve's user avatar
  • 21
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 ...
phdstudent's user avatar
  • 8,143
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 ...
Phil H's user avatar
  • 3,669
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. ...
amdopt's user avatar
  • 4,738
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 ...
D Stanley's user avatar
  • 1,331
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 ...
AK88's user avatar
  • 1,840
1 vote

Mutual fund performance over time

My suggestion is the following: Build a value-weighted and equally weighted portfolio of mutual fund returns based on their style. Regress the returns on all portfolios against a factor model (...
phdstudent's user avatar
  • 8,143
1 vote
Accepted

Comparison of Carhart alphas (four-factor model)

Setup From your question, I assume you have two strategies $A$ and $B$ with excess returns $R_{A,t}, R_{B,t}$. You model these excess returns using the Carhart 4-factor models (FF3 factors + the ...
kurtosis's user avatar
  • 2,880
1 vote

Mutual fund rating predictions

To put it very bluntly: The requirements of ML models are irrelevant to the principles of financial analysis. Imputing the returns is fundamentally extremely unsound. The best you can do is trim ...
ahron's user avatar
  • 141
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 ...
Preston Lui's user avatar
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 ...
demully's user avatar
  • 5,071
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{...
Kevin's user avatar
  • 15.7k
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 ...
Chris's user avatar
  • 1,643
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: ...
user35722's user avatar
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 ...
Hui's user avatar
  • 402
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 ...
Helin's user avatar
  • 11.6k
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 ...
Richi Wa's user avatar
  • 13.7k
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 ...
jd8's user avatar
  • 468
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, ...
David Addison's user avatar
1 vote

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

Funds that pay dividends hold each companies dividend until the end of the quarter and pay it as a lump sum. Until this is done the fund has lost no value. But when paid drops the value of the payment....
Geoff's user avatar
  • 11

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