Calculating Historical Price Volatility (with Python)

Hist Vol

The following python script is used to automatically pull stock prices for a given company and compute its historical volatility over 1, 3, and 12 months. The volatility calculations can then be compared to the implied volatility of an option for the same stock. Histograms showing the frequency of returns are also plotted.

Let me know in the comments what other automated programs you’d like to see in the future (or improvements on existing ones)! Continue reading “Calculating Historical Price Volatility (with Python)”

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Sourcing Investment Ideas

Quick Summary
1. Read what other investors are recommending and buying
2. Identify countries, industries and companies that are currently out of favor
3. Focus on your niche area of expertise
4. Run a quantitative screen to filter the investable universe down to a more manageable list
5. Maintain a watch list of companies that you would like to own at the right price Continue reading “Sourcing Investment Ideas”

Free Cash Flow to Equity Valuation

Quick Summary
1. Calculate historical free cash flow to equity from accounting data
2. Calculate the historical debt ratio
3. Estimate the short-term growth rate
4. Estimate the long-term, sustainable growth rate
5. Project how long the initial period of high growth will last before transitioning to the final stable growth phase
6. Forecast future free cash flows to equity
7. Determine the firm equity value by discounting future cash flows at the cost of equity Continue reading “Free Cash Flow to Equity Valuation”

What Works on Wall Street

Stock Investment Strategies
WWoWJames O’Shaughnessy’s What Works on Wall Street looks at the most effective long-term investment strategies on Wall Street. It shows that selecting stocks using rational methods can beat the simple strategy of indexing to the S&P 500. Empirical evidence reveals that stocks selling at deep discounts to cash flow, sales, and earnings consistently beat the market in the long run. Few investors however are capable of rigorously sticking with such a strategy during market turmoil. The key to long-term success is an unwavering disciplined implementation of an investment strategy. That is why the S&P 500 consistently beats 70% of traditionally managed funds. While managers change their style over time and rotate between funds, the S&P 500 never varies from its systematic bet on large capitalization stocks. Continue reading “What Works on Wall Street”