finance

Question 1

Daily Portfolio Value

Answer 1

How much the portfolio is worth at the end of each day

Question 2

Daily Portfolio Value Formula

Answer 2

Normed Values = price[day x] / price [day 0]

Allocation = Normed * allocations

Position Value = Allocations * Start value

Port Value = position Value.sum(each column)

Question 3

Cumulative Return

Answer 3

Measure of change from beginning to end

Question 4

Cumulative Return Formula

Answer 4

(last value / first value) - 1

Question 5

Average Daily Return

Answer 5

Average of daily return

Question 6

Standard Deviation (Risk)

Answer 6

.std()

Question 7

Sharpe Ratio

Answer 7

Risk Adjusted Return

Lower risk and Higher return is better

Question 8

Risk Free Rate of Return

Answer 8

Interest rate on money in a risk free asset

Question 9

Sharpe Ratio Formula

Answer 9

k * (Mean(Portfolio return - risk free rate) / standard deviation(portfolio return - risk free rate))

where k=
sqrt(sampling rate)

sampling rate
daily = 252
weekly = 52
monthly = 12

Question 10

Rolling statistics

Answer 10

Computing statistic (mean / median /std dev etc) over a subset of the data (eg 20 days / 50 days etc)

Question 11

Bollinger Band

Answer 11

Rolling statistic measuring +/- 2 std. dev. from simple moving average.

Crossing - indicates buy, Crossing + indicates sell

Question 12

Daily Return

Answer 12

( Price [today] / Price [Day 1] )- 1

Question 13

Hedge Fund Computing

Answer 13

Place orders on the market to move current portfolio towards target portfolio based on a prediction of where the market is moving towards