Calculate the Modified Sharpe Ratio with Excel

This Excel spreadsheet calculates the Modified Sharpe Ratio.

Modified Value at Risk

This Excel spreadsheet implements a Modified Value at Risk (or MVaR) calculation, which adjusts the standard deviation to account for skew and kurtosis in the returns distribution (greater negative skew and kurtosis act to increase VaR).

Value at Risk with Monte Carlo Simulation

This Excel spreadsheet calculates Value at Risk through the Monte Carlo simulation of geometrical brownian motion in VBA.

Calculate Value At Risk in Excel

Today I’d like to clarify the concept of Value At Risk.  I’ll demonstrate how you can calculate VAR in Excel, but I’ll also discuss some of its limitations.

Calculate the Omega Ratio with Excel

This Excel spreadsheet helps you calculate the Omega Ratio, a financial benchmark created by Shadwick and Keating in 2002.

Importing Historical Stock Prices from Yahoo into Excel

This Excel spreadsheet imports historical stock prices from Yahoo Finance (http://finance.yahoo.com).

Calculate the Sortino Ratio with Excel

This Excel spreadsheet calculates the Sortino Ratio for an investment, a measure of risk-adjusted return. Investments that emphasize their Sortino Ratio often try to minimize their losses as a part of their trading strategy.

Calculating a Sharpe Optimal Portfolio with Excel

This Excel spreadsheet will calculate the optimum investment weights in a portfolio of three stocks by maximizing the Sharpe Ratio of the portfolio.