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Good morning i’ve recently made a backtesting with our universe of 400 latam stocks, using PBV and ROE 12 month forward, from 2002 to 2013. I’ve notice that the portfolio simulation has constructed, first years, many portfolios with lots of stocks so iliquid. I’d like to know if you think there...

Thanks a lot again Shakti for your very accurate answer! It helps a lot to me so i can understand deeply how this tool works so i can use it in my work. You've been really helpful, Thanks a iagn. Kind regards.

Here i go again. Attached you'll find an excel with two sheets. One named "Data" which contains monthly returns for the benchmark MN40LAU, and 4 stocks (which represents almost 20% of the benchmark). So i did Regression with excel and obtained data you'll see in Sheet called "Regression". I...

Hello again. Attached you'll find an excel with the calculate of alpha (using CAPM) for a given stock related to the benchmark: - Columns B C, and D are the Weekly total return for the benchmark, stock and repo - Columns I and J are benchmark and Stock returns adjusted by repo - Then i...

Wow, first thanks a lot for taking your time analyzing data, very kind of you. As i expected this is not what i was looking for. I think i should do the regresion for each fund with the benchmark individually. But i wanted to do it as a whole. What i am going to try is do this and then come back...

Good morning, I am trying to compare and do an analysis of 13 different funds with an index. All of them belong to latam markets. What i did is obtain different price returns from each month since 2010 and then execute Data Analysis from Excel, so i obtained, from Regression analysis different...

Could yo please tell me the name of that chapter so i can find it in google books please? Thanks once again

About this book....it is too expensive for now to buy it. Chapter 15 is the only one which at the moment is interesting for me. Any chance to adquire just that one? thanks,

Well, thanks both for these great arguments. Finally, i would like you both to give me your opinion. As my portfolio is based on low value and high growth, i definitely think i should use the 3FM. Please correct me if my thoughts are wrong. Thanks for these great explanation, moreover thanks to...

Ok i am finishing asking! Last question. I am not agree about tracking error. I calculate it measuring the std deviation of the diferrence of the returns between portfolio and benchmark... You agree? For your previous explanation,if i have a portfolio full of smallcaps... Do i need to use...

Hello again, So as I have collected these past days I’d say that: 1.- Alpha is the result of substracting the portfolio’s return from benchmark’s return. 2.- Also we can use the simple factor model (through CAPM formula) to obtain the alpha for a portfolio, which it would be the difference...

Well first of all let me thanks your very nice explanation, and then for taking off your time¡ I would try both, capm and 3fm, and see what i get, having in mind that 3fm is more accurate than capm but also more messi to compute. In a simple answer, wouls you use intercept formula in excel to...

no, sorry, i mean that, with the CAPM the alpha = 0.46, with 3FM = 0.22 But the intercept of the CAPM-based regression indicates the incremental performance of the asset relative to the CAPM benchmark return. BUT, when applied to portfolios, the alpha measures the return attributable to skill...

Let me please quote this: " Fund Evaluation in Practice (1) – Legg Mason (using CAPM) The Legg Mason Value Prim fund returned 27.3% annually from September 1982 to December 1986 while the market only returned 21.6%. The fund manager might claim the excess returns were due to her exceptional...

Good morning, As i am studying for CAIA exam, now i am in the part of statistics. Moreover in the part of hypothesis. I’ve been looking through many youtube videos to learn the meaning of the results from ANOVA in excel. Now I have it much more clear, but not crystal clear. I’d like to see a...

Hello everyone. As i’ve recently discovered bionicturtle, very great help for me, i’ve been watching some videos which helped me a lot. Last one was :”Alpha (hedge fund alpha)”. I think that fits very much what I was looking for. Let me explain: I have a portfolio of 40 different stocks. I...