New answers tagged returns
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Welcome to Quantitative Finance!
I reckon the BHAR (Buy-and-Hold Abnormal Returns) formula you are referring to is
$$\text{BHAR}_{i,h} = \prod_{t=1}^{h}(1+R_{i,t}) - \prod_{t=1}^{h}(1+R_{m,t})$$
where $\text{BHAR}_{i,h}$ is the abnormal return of the asset $i$ over the period $h$, $R_{i,t}$ is the month $t$ simple return of the asset $i$, and $R_{m,t}$ is ...
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It is absolutely possible for an HFT to make those returns as a developer I am well aware of those methods. If the guy has the right background totally possible as I have built strategies in the proper language that have even exceeded that. His algorithm isn't as black box as most would expect you just have to know where to find the information and what is ...
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Assuming you aren't reinvesting the dividend in the stock, your YTD return would just be the price on date nplus the dividends received up to that date divided by the initial price:
ytd_return = (price_n + div_ytd) / price_0
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Yes.
Size, value, and momentum in international stock returns by Fama French states:
SMB is the equal-weight average of the returns on the three small stock portfolios for the region minus the average of
the returns on the three big stock portfolios.
HML is the difference between the returns on diversified portfolios of high book-to-market (value) stocks ...
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