Finance / Investing | Steven Engelhardt

Finance / Investing finance

Published: 2014-05-14

In Europe, the transformation in the sovereign debt market since Mario Draghi’s “whatever it takes” promise in July 2012 has been remarkable. Ireland, which just exited an IMF bailout program in December, can now issue 5-year debt at yields well below 5-year Treasuries.

Passive Indexing Wins Again

Finance / Investing finance indexing

Published: 2013-04-09

I’m a bit of a Boglehead, and the data appears to back me up. From http://www.cbsnews.com/8301-505123_162-57578430/active-managers-lost-again-in-2012/

In 2012, 63 percent of large-cap funds, 80 percent of mid-cap funds and 67 percent of small-cap funds underperformed [relative to their benchmark]. The only asset class to see the majority of active funds outperform was large-cap growth, with 54 percent beating their benchmarks. The worst performance came in mid-cap growth funds where 87 percent failed to outperform.
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Geometric Annual Return in SQL

Finance / Investing sql

Published: 2008-01-30

Here is some quick-and-dirty SQL to calculate an geometric annual return (as a percent) from a column of monthly returns (in percents).

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/* Convert the annualized number back to a percent */
SELECT (T3.AnnHPR - 1) * 100 AS GeomAnnRet
FROM
  (
  /* Annualize the holding period return */
  SELECT POWER(T2.HPR, 12.0 / T2.NumReturns) AS AnnHPR
  FROM
    (
    /* Calculate the holding period return over the time
       period.

       POWER(10, SUM(LOG10(n))) is a simulated PRODUCT(n)
       aggregate function.

       The precision of POWER is determined by the precision
        of the first argument, so use a lot of decimals. */
    SELECT POWER(10.0000000000000000,
                 SUM(LOG10(T.MonthReturn))) AS HPR,
           COUNT(*) AS NumReturns
    FROM
      (
      /* Convert all percent returns to multipliers (1% ->
         1.01) */
      SELECT 1 + MonthPctReturn / 100 AS MonthReturn
      FROM ...
      ) AS T
    ) AS T2
  ) AS T3

Update 2008-01-30 10:52PM: Here’s the equivalent “one-liner”: