skoestlmeier
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How are Fama French Factor Returns for the last 3 and 12 months calculated?
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It is correct to use the geometric return. Calculating the factors for the last 3 months following $$r_{\mathrm{3month}} = \left( \prod_{1\le i \le3} \left(\frac{\mathrm{factor}_i}{100} + 1\right) - ...

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Average Return Differential Calculation - Newey West t-Statistic
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The values for $VaR$ and $CF-VaR$ are the time-series means for each cross-sectional values. As mentioned in the table description, you calculate both variables for each month from Jan. 1995 to Dec. ...

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Units of Modified Duration and Macauley Duration
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Short answer: Your conversion from Macaulay Duration $MacD$ to the mod. Duration $ModD$ is correct, but your statement [...] which is % as well. is incorrect. Continuous time $MacD$ is defined as $$...

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name of this portfolio optimization strategy
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Short answer: This 'portfolio sort' is rather a common approach in empirical finance research, than a portfolio strategy. Your mentioned strategy is called 'portfolio analysis' or in more detail a '...

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Log Differences vs Percentage returns
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A practical hint is given by Campbell/Lo/MacKinlay p. 11f.: When returns are measured over short intervals of time, and are therefore close to zero, the continuously compounded return on a ...

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How to handle Holidays in Time-Series Datasets?
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Preliminary: I assume from your previous post, that you are using Thomson Reuters Datastream. There are several additional parameters available on your Datatypes. Let's for example look at the ...

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Markowitz expected return time
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Time horizon The mean-variance framework is based on a single time period of investment, i.e. you assume the same investment horizon $T$ for all investors (which can be one year, or any other period ...

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Cash Flow News and Discount Rate News + Return
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Preliminary remarks: CF news is defined as the price change holding the implied cost of capital (ICC) constant DR news is defined as the price change holding the cash flow forecasts constant The ...

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Download bond yields R
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You can search for certain yield curves in the FRED database with the following query: require('Quandl') Quandl.search(query = 'yield') # searching for the term 'yield' You get the unique identifier ...

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