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Daily Factor

What is 'Daily Factor'

A decimal representing the portion of an annual yield earned in one day. Daily factors are often reported alongside current annualized yield figures, and can be translated back to the current yield by multiplying the number by 365.




Explaining 'Daily Factor'

For example, a certificate of deposit that trades for a current annual yield of 5.35% will show a daily factor of (.0535 / 365) or .000146575

Daily factors are small amounts to be sure, but many high-level banking and trust institutions will provide this daily interest calculation to their most important institutional accounts. The larger the pool of invested assets becomes, the more meaningful a daily factor calculation will be to the current account balances.

Daily factors are also frequently shown for Treasury bond quotes.


Further Reading


Should macroeconomic forecasters use daily financial data and how?
www.tandfonline.com [PDF]
… is more prone to specification errors as a full system of equations and latent factors are required … In particular, using a dynamic factor state-space model and the Kalman filter, one models the … However, given that the focus of this article is the high-frequency daily financial data, we …

A simple test of the Fama and French model using daily data: Australian evidenceA simple test of the Fama and French model using daily data: Australian evidence
www.tandfonline.com [PDF]
… is more prone to specification errors as a full system of equations and latent factors are required … In particular, using a dynamic factor state-space model and the Kalman filter, one models the … However, given that the focus of this article is the high-frequency daily financial data, we …

Daily weather effects on the returns of Australian stock indicesDaily weather effects on the returns of Australian stock indices
www.tandfonline.com [PDF]
… is more prone to specification errors as a full system of equations and latent factors are required … In particular, using a dynamic factor state-space model and the Kalman filter, one models the … However, given that the focus of this article is the high-frequency daily financial data, we …

Long run trends and volatility spillovers in daily exchange ratesLong run trends and volatility spillovers in daily exchange rates
www.tandfonline.com [PDF]
… is more prone to specification errors as a full system of equations and latent factors are required … In particular, using a dynamic factor state-space model and the Kalman filter, one models the … However, given that the focus of this article is the high-frequency daily financial data, we …

Using daily range data to calibrate volatility diffusions and extract the forward integrated varianceUsing daily range data to calibrate volatility diffusions and extract the forward integrated variance
www.mitpressjournals.org [PDF]
… is more prone to specification errors as a full system of equations and latent factors are required … In particular, using a dynamic factor state-space model and the Kalman filter, one models the … However, given that the focus of this article is the high-frequency daily financial data, we …

The economics of the daily newspaper industryThe economics of the daily newspaper industry
books.google.com [PDF]
… is more prone to specification errors as a full system of equations and latent factors are required … In particular, using a dynamic factor state-space model and the Kalman filter, one models the … However, given that the focus of this article is the high-frequency daily financial data, we …

Capital market efficiency and the predictability of daily returnsCapital market efficiency and the predictability of daily returns
www.tandfonline.com [PDF]
… is more prone to specification errors as a full system of equations and latent factors are required … In particular, using a dynamic factor state-space model and the Kalman filter, one models the … However, given that the focus of this article is the high-frequency daily financial data, we …

Seasonality, risk and return in daily COMEX gold and silver data 1982–2002Seasonality, risk and return in daily COMEX gold and silver data 1982–2002
www.tandfonline.com [PDF]
… is more prone to specification errors as a full system of equations and latent factors are required … In particular, using a dynamic factor state-space model and the Kalman filter, one models the … However, given that the focus of this article is the high-frequency daily financial data, we …

Daily momentum and contrarian behavior of index fund investorsDaily momentum and contrarian behavior of index fund investors
www.cambridge.org [PDF]
… is more prone to specification errors as a full system of equations and latent factors are required … In particular, using a dynamic factor state-space model and the Kalman filter, one models the … However, given that the focus of this article is the high-frequency daily financial data, we …


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