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If you compute total return as: $$R_{2009-12-31 \rightarrow 2020-3-31} = \frac{P_{2020-3-31} + D_{2020-3-31}}{P_{2009-12-31}}-1$$ Where $D_{2020-3-31}$ are all the dividend paid in that period. Then you can do the following: First note that your sample has $12 \times 10 + 3$ months; I.e. 123 months. So the average monthly return is: $$\bar{r}_{monthly} = (...


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It really depends on how much work and effort you want to put in. Is definitely not correct. Alphas regressed to different factors are not additive because you are not taking into account the correlation across factors in the two markets. Let's you have a 5% alpha against US factors and a 10% alpha against German factors. The combined alpha is not 50%. If ...


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Try Riskfolio-Lib http://riskfolio-lib.readthedocs.io/ It’s a open source python library that allows you to build optimal portfolio using 10 risk measures, black litterman model, build constraints, factor portfolios, robust covariance estimators, short weights, index tracking/replicating portfolios among others features.


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I assume you are researching how quantitative dividend based portfolios are constructed. One example is the ETF VYM (Vanguard High Dividend Yield ETF). It tracks the FTSE AW High Dividend Yield Index. The methodology document for this index shows that it is based on dividend forecasts (not actual dividends) provided by the company I.B.E.S.. These forecasts ...


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If you use Python one of the most complete library for doing backtest is "Backtrader". Have a look at the GitHub page: https://github.com/mementum/backtrader


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