You're right: It's conventional (but not always a must) to annualize returns and standard deviations. For standard deviation, you can multiply the monthly standard deviation by the square root of 12 to get an annualized figure. And, for monthly returns, you can either multiply by 12 (that would ignore the effect of compounding) or compound for 12 months as follows: (1+return)^12 - 1.
hi there, we're planning to make a video about tracing the efficient frontier, but that'll be coming later on. the best thing to do is to turn notifications on so you'd know when it comes out.
The short answer is "yes". Especially if you're sample is large using var.p vs var.s would have little practical impact on your results. The reason to focus on var.s is that it gives an unbiased estimator if you're interested in forecasting variance.
Hi there, it depends on your objectives. For example, if you'd like to compute portfolio risk & return to evaluate performance over a specific period, you'd use daily returns covering that entire period. Or, if it's for forecasting future returns, you'd typically need at least one year's worth of daily data.
Daily returns are typically small. So, starting your sample period one day before or after would normally make very little practical difference in your results. Ideally, you'd like to use the price you paid as the starting point. So, if you bought your shares, say, on Jan 1 you can use either the closing price on that day or the exact price you paid during that day as your starting point.
Shouldn't the returns and standard deviation be annualized ?
You're right: It's conventional (but not always a must) to annualize returns and standard deviations. For standard deviation, you can multiply the monthly standard deviation by the square root of 12 to get an annualized figure. And, for monthly returns, you can either multiply by 12 (that would ignore the effect of compounding) or compound for 12 months as follows: (1+return)^12 - 1.
prof are you able to do this for 3 stocks and compute the matrices of returns and standard deviation to graph the efficient frontier please?thank you
hi there, we're planning to make a video about tracing the efficient frontier, but that'll be coming later on. the best thing to do is to turn notifications on so you'd know when it comes out.
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Can I use var.p?
The short answer is "yes". Especially if you're sample is large using var.p vs var.s would have little practical impact on your results. The reason to focus on var.s is that it gives an unbiased estimator if you're interested in forecasting variance.
Hi, how could i obtain stock returns data?
Hi there, we have a tutorial on that here: ruclips.net/video/ulYfFTBuEsQ/видео.html
HOW MANY DAYS DATA WE NEED TO TAKE ?
Hi there, it depends on your objectives. For example, if you'd like to compute portfolio risk & return to evaluate performance over a specific period, you'd use daily returns covering that entire period. Or, if it's for forecasting future returns, you'd typically need at least one year's worth of daily data.
Thank You so much for your response..
Can i take data from the day that i have made investment ??
Daily returns are typically small. So, starting your sample period one day before or after would normally make very little practical difference in your results. Ideally, you'd like to use the price you paid as the starting point. So, if you bought your shares, say, on Jan 1 you can use either the closing price on that day or the exact price you paid during that day as your starting point.
@@initialreturn 🙏🏻🙏🏻