6 votes

Cross Currency Swap Attribution

As for the book, the best one I have come across is Pricing and Trading Interest Rate Derivatives by Darbyshire, although it's a bit pricey (indeed as most finance books are) (https://www.amazon.com/...
Jan Stuller's user avatar
  • 6,108
5 votes
Accepted

Sharpe ratio: discrete or continuous returns?

For client reporting purposes, it is customary to use discrete returns. For backtesting, it pretty much make no difference.
Helin's user avatar
  • 11.6k
5 votes

Calculate Average Price, Cost, (Un)Realized P&L of a position based on executed trades

Using Andy Flury answer and bit polishing it gives following Python class for PnL calculator: ...
mde's user avatar
  • 221
5 votes
Accepted

best way to calculate the return

The language would matter but if performance is an issue you would want to make sure that the code is optimal. Optimized assembly code for a single return calculation looks like this (on Godbolt): <...
Bob Jansen's user avatar
  • 8,543
4 votes

Multi-Period Contribution

Thanks for the example. It is exactly like my comment. Look at your weights after the first period. Are they really 80% and 20%? Lets say you have £100 to invest. £80 is invested in product A. That ...
AKdemy's user avatar
  • 9,059
3 votes

How to calculate performance of a private equity investment?

I am not an expert on GIPS, with its many pages of rules, but I do remember that under GIPS Private Equity results are to be given in terms of IRR (Internal Rate of Return). In most other cases (stock/...
Alex C's user avatar
  • 9,372
3 votes

Calculate Average Price, Cost, (Un)Realized P&L of a position based on executed trades

Using @mde answer's for the average price method and developing it for Fifo method: ...
Sebapi's user avatar
  • 461
2 votes
Accepted

How to calculate Sharpe Ratio if there are gaps in returns?

You actually need to consider a 0 return on the periods with no holdings (during that period volatility is 0 and you have a negative return due to the opportunity cost of not holding risk free debt). ...
phdstudent's user avatar
  • 8,061
2 votes
Accepted

Ex-Ante Tracking Error : active strategies and the size of the covariance matrix

There's nothing in the math that says a portfolio can only put non-zero weights on securities where the benchmark puts positive weights. So I'm not sure I understand your problem? Quick math review ...
Matthew Gunn's user avatar
  • 6,934
2 votes

Cross Currency Swap Attribution

I believe that cross currency basis swaps are marked to market always. The issue is that theoretical value for an xccy swap is always 0. but they don't trade at 0, that's why there is a premium for ...
JoshK's user avatar
  • 2,613
2 votes

Can alpha be positive if cumulative returns underperform the benchmark?

The best example of an underperforming strategy with big alpha, is insurance. Every year you pay a premium to insure your house. That strategy has negative expected return, negative beta, but super ...
phdstudent's user avatar
  • 8,061
2 votes

Can alpha be positive if cumulative returns underperform the benchmark?

Yes, this is absolutely possible. Here is a simple thought experiment to show how. We want to benchmark to the S&P 500. We allocate 90% of our capital to an index tracking strategy and 10% to some ...
kurtosis's user avatar
  • 2,880
2 votes

Regression based performance attribution with dummy variables

You are right that if you use binary dummy variables for $n$ possible values of some feature (the country in your case) you need only $n-1$ variables because the last (or first) country is indicated ...
Martin Vesely's user avatar
2 votes
Accepted

How to calculate standard deviation cone around expected returns?

The returns (or rather alphas, i.e. returns relative to the benchmark) plotted are logarithmic returns, not the simple returns usually reported by investment managers. This makes them additive over ...
nbbo2's user avatar
  • 11.2k
2 votes

Multi-Period Contribution

If you use geometric period returns (aka "continous", "exponential"), you can calculate an arithmetic average and this will give you the same result as if you would calculate this ...
ds_col's user avatar
  • 61
1 vote

best way to calculate the return

Any difference would be negligible. On the other hand, there are statistical advantages when calculating the log return. Remember that the log return is simply the log difference of the value / price ...
IHonda's user avatar
  • 21
1 vote

Cross Currency Swap Attribution

The question is subjective. Suppose you have a USD based accounting framework and an interest rate swap in NOK. At the accounting period 1 the USDNOK is 10, and the IRS is worth 100 NOK (10 USD). At ...
Attack68's user avatar
  • 9,939
1 vote

Composite portfolio performance

It depends what you assume as to rebalancing between the portfolios. Unless these portfolios are being actively rebalanced each quarter to bring them back to exactly 32/68 allocation you should not ...
Alex C's user avatar
  • 9,372
1 vote

Ways to calculate daily returns

the initial_account_equity might refer to the base capital amount. in this case, it will not be "yesterdays" value... you need to check the packs help docs.
Giladbi's user avatar
  • 172
1 vote

Ex-Ante Tracking Error : active strategies and the size of the covariance matrix

As a simple answer, the covariance matrix should not represent only assets in the benchmark. It should include the universe of assets. As an example, a benchmark might be 60% US Large Stocks and 40% ...
rmacey's user avatar
  • 196
1 vote

Difference between Sharpe Ratio and Information Ratio when measuring Hedge Fund performance?

Sharpe is (Portfolio Return - RFR) / Standard Deviation. Information Ratio is (Portfolio Return - Benchmark Return) / Tracking Error, where tracking error is the standard deviation of the active ...
Logic9's user avatar
  • 29
1 vote

Out-of-sample performance

Holding period return would be more appropriate. Calculate your one week return by using your ending portfolio NAV. The easiest way to do this would to be to store number of shares in each position ...
milkmotel's user avatar
  • 376
1 vote

Sharpe ratio: discrete or continuous returns?

These are the realized return and standard deviation for the portfolio over the period. Source: Paul Wilmott on Quantitative Finance, sec. ed., p. 329-330
vonjd's user avatar
  • 27.4k
1 vote

Performance attribution for personal portfolio - weight attribution

Effective PA is dependent on the correct description of the investment process. I am not sure, from what you say, what exactly is your investment process. But let me presume that it is the following: ...
Andre Mirabelli's user avatar
1 vote

Efficiently storing real-time intraday data in an application agnostic way

Regarding storage, I stream real-time updates for exchange listed contracts (outright + exchange listed calendar spreads) to InfluxDB. Its a time-series database, mostly geared towards IT Ops for ...
omencat's user avatar
  • 161
1 vote

Efficiently storing real-time intraday data in an application agnostic way

Apache Cassandra would be a good fit for storing real-time intraday data. It's a partitioned row store, where rows are organized into table using a partition key. It you use a schema where you store ...
relativeview's user avatar

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