user28909
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How to Calculate weekly Turnover
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Min (purchases or sales) / portfolio market value You would typically need quantity of shares held for each position so that you would be able to calculate the market value of purchases and sales. ...

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How can you use factor modelling to improve your current portfolio
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There are multiple ways to model portfolio factor exposure, for instance: 1- Return based approach: regressing returns of a portfolio vs several factors (similar to what your doing). 2- Holdings based ...

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Probability of a stock price using implied volatility
1 votes

Asset prices follow a random walk, so assuming probabilities and forecasting stock prices are not that accurate. Hence, investors try to project volatility rather than asset prices (i.e. implied vol) ...

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How to find/calculate daily S&P500 dividends?
1 votes

I would use the difference between simple return (price change) and total return gross of dividend withholding tax.

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Correlation or r-squared to determine if a stock has specific movement relative to an index?
1 votes

Company specific movement can be estimated as the standard deviation of monthly residuals. So, regress each firm with the index and estimate the monthly residuals. Calculate the standard deviation of ...

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Fama french model: Daily excess return calculation
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1 votes

By doing (2) you are technically calculating the residuals which you are proposing in (1). Be aware of look-ahead bias though, you could mitigate such bias by, say, estimating beta 1,2, and 3 ...

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Fama-French model interpretation of coefficients help
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0 votes

Your interpretation is correct. SMB - size premium - suggest that smaller companies outperform larger companies. HML - value premium - suggest that value stocks outperform growth stocks. Negative ...

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how to use factor models to construct a hedging portfolio?
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You can start by looking at the overall factor exposure of your portfolio (or fund of funds portfolio) and compare it with the index factor exposure. Factor exposure can be obtained using either ...

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Cross-listed stocks - how to get capital allocation per country?
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Look up the ownership of the company. I know there’s a tab in softwares such as FactSet and Bloomberg terminal that provides data about the ownership of any company broken down by institution or ...

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CAPM and Beta: problem with regression (Beta is too low yet statistically significant?)
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I would also add that daily data are too noisy given what mentioned in previous answers. Also, the time series isn’t long enough to make inference about portfolio performance. In practice, ...

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Daily to Monthly Performance Attribution - Getting Effects to equal the Excess Return
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I would convert all data from daily to monthly using the generic total return formula you specified. Then do the attribution. The issue is going to be with the weights of assets, sectors, and ...

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Equity risk factors with daily rebalancing
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The issue with daily data is that it is too noisy. The alternative is to use monthly data but there is a lag. Hence, using daily data might be ur best option.

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How to predict realised variance?
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You can use blackscholes, use option price and current price and solve for implied vol.

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