Rates and returns Flashcards

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1
Q

time/money weighted rr

A

Time-Weighted: Time-weighted rates of return do not take into account the impact of cash flows into and out of the portfolio.

Money-Weighted: Money-weighted rates of return do take into account the impact of cash flows into and out of the portfolio.

when more money will be invested in lower rate money weight will be smaller than time weight

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2
Q

Holding period return

A

Stopa zwrotu

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3
Q

Nominal return

A

Real rate + inflation or
(1+rr)(1i)-1

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4
Q

Geometric / arimetmic mean

A
  1. Geometric for mean rate of more than 1 period
    arithmetic mean for only 1 period
    2.Geometric always lower than arithmetic
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5
Q

Harmonic mean

A

N/suma(1/1+x)
1. Averaging costs (średnia cena akcji)
2. we use to minimalise wage of a big result
Ra*Rh=Rg^2

  1. most often used with rations ( amount/ unit np. p/e …) or when you buy stocks every period
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6
Q

Trimmed mean

A

Odejmujesz od wyników x% najwyższych i x % najniższych wyników ( x% trimmed)

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7
Q

Winsorised mean

A

To samo co trimmed tylko zastępuje się wartości graniczne tymi samymi wartościami (przykładowo pierwsze 8 to 1 i ostanie 8 to 8)

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8
Q

Money - weighted return

A

IRR lub YTM
What all my money earn but not what 1usd could earn

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9
Q

Time-weighted return

A

The growth of 1 USD over a given time
1. count the return for each period
2. make a geometrical mean for those
2.a if the returns are from less than a year we can do it without a (pierwiastek)

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10
Q

Rate

A
  1. Real risk free rate
  2. Inflation premium
  3. Default risk premium
  4. Liquidity premium
  5. Maturity premium
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11
Q

Geometric mean return

A

RG = -1+ ((1+R1)(1+Rn))^1/t

t = number of periods

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12
Q

annualized RR

A

ra=((1+rp)^(n))-1
n liczba okresów w roku

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13
Q

continuously to period RR

A

rc=ln(Pt/P0)
(e^rc)-1 = rroczne

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14
Q

Lump-Sum

A

single payment

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15
Q

gross return

A

return before taking managerial expenses and tax (trade expenses are included)

what a fund earns

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16
Q

net return

A

what you have from the whole investment = Gross + management (after or before tax)

17
Q

gross/net return

A

gross shows the skill of a manager

net shows how much a manager cost

18
Q

nominal/real return

A

nominal = real and inflation

(1+rr)=(1+rn)/(1+i)

19
Q

risk/risk free premium

A

(1+ risk premium)=(1+nom return on risky asset)/(1+risk free)

20
Q

after-tax real return

A

shows the purchasing power

21
Q

Leveraged return

A

RL = Rp + (D/E)*(Rp-Rd)
Rp = return on project
Rd - cost of debt

22
Q

Variability

A

how far the data points lie form each other

23
Q

Continuous capitalization

A

FV=PVe^(rn)

24
Q

T-note (treasury)

A

bon skarbowy

25
Q

portfolio return

A

(weightrA)+(weightrB)+…

26
Q

induce

A

skłaniać

27
Q
A