# Tag Info

### 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 ...
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### 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....
• 41

### 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, ...
• 6,974
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 ,...
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### 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 ...
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### 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 ...
• 932
Accepted

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 ...
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### 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 ...
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### 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 ...
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### 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 ...
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### 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 ...
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### 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. ...
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Accepted

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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 ...
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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

### 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 ...
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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 ...
• 11.8k
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 ...
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1 vote

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 ...
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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, ...
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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....
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Only top scored, non community-wiki answers of a minimum length are eligible