Questions tagged [asset-returns]
The asset-returns tag has no usage guidance.
84
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How to calculate sharpe ratio
I have end of month Gold prices, Returns of treasury (in percentages) & end of day NASDAQ index over 20 years. I want to compute risk adjusted returns by finding sharpe ratio. Im confused how do i ...
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Optimized Method to Calc Real Rates of Return From Monthly Nominal Rates
I wrote the following VBA code to calculate real rates of return using Robert Shiller's dataset:
Note: This calculation is for forecasted returns so I have no prices available to do the calculation by ...
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33
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Calculation of daily dividends from total return index data
I have a question regarding the inclusion of dividend payments in total return indices, but I have no background in finance, so I'm hoping someone here can help me out - any help is highly appreciated!...
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48
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Cumulative returns when shorting with regards to variance drag
What is the convention when calculating/analyzing daily returns for a strategy when shorting is involved? I found the following answer regarding variance drag useful in understanding why there is a ...
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Am I able to find individual returns from total weighted average of returns? [closed]
As titled states… I am trying to figure out how to solve for individual return given average weighted total return and weights of individual returns?
For example:
2% = (r1 x 0.2) + (r2 x 0.5) + (r3 x ...
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How to calculate the log return of portfolio?
Suppose that we have five trades each day with these returns ($R_{day,trade}$) and we have 300 days in total:
$R_{1,1}$, $R_{1,2}$, $R_{1,3}$, $R_{1,4}$, $R_{1,5}$
$R_{2,1}$, $R_{2,2}$, $R_{2,3}$, $R_{...
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259
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What are the most common methods to model fat tails in the changes of asset prices?
I was wondering what the most common, or most popular, ways - in both academia, and industry - there were to model the fat tails of volatility in asset prices changes.
I am presuming a basic Brownian ...
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445
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How to calculate return on a series of long position for each price point
The return between two price points can be calculated as Price(present)/Price(previous) -1
Or, it can be expressed as ...
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74
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Does the interval of a portfolio's returns affect Sharpe and Sortino? If so, what's the gold-standard interval?
I'm currently creating a backtesting script and I've got to the point of calculating risk metrics.
It seems like the interval (daily, weekly, or monthly) I use for returns heavily changes the ...
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413
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Fat tailed can be estimated through a t-distributions?
I have a simple question that makes me doubt a bit.
In a multiple choise exam I ecountered this question:
"if the stocks returns are not normally distributed, the fat tail effect can be estimated ...
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Measuring extra return investors demand for a stock which cannot be sold?
How to roughly measure how much premium investors would demand if a stock could not be sold and its investors had to stick with it permanently using just dividends not capital gain as return?
I am not ...
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107
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Expense ratio over time
I'm trying to reproduce the results in the table below from this article of Investopedia, but none of my calculations match. What is the correct way to calculate the expense ratio in this case?
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470
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Why in Fama-French factor model relative market capitalization and book-to-market aren't used directly for predicting return rate?
Fama and French use the following formula for predicting stock returns
\begin{align*}
r=r_{riskfree} + \beta_1(r_{market}-r_{riskfree})+\beta_2(SMB)+\beta_3(HML)
\end{align*}
which basically means ...
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51
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Real domestic return
I would like to calculate the real domestic return of a foreign asset
What I know
Real price is $$P_{Real, t} = \frac{P_{Nominal, t}}{CPI_t}$$
where CPI is consumer price index.
And I know that the ...
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Calculating returns from transactions
I have a collection of client transactions representing the trades of a single portfolio across multiple securities. What I'd like to do is the calculate the accurate ROI of each security and of the ...
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