This article summarizes several methods of calculating Value at Risk, and provides pricing spreadsheets. Value at Risk is an important tool for estimating capital requirements, and is now a standard risk-management tool.
This Excel spreadsheet demonstrates the classic mean-variance approach for portfolio optimization, but includes the added complication of transaction costs.
The Omega Ratio can be modified so that it favors return distributions that are skewed to the right with a positive mean, and an exponentially decreasing left-tail. This penalizes dangerous asset behavior which can potentially exist as an edge case.
Sharpe Ratios are equal to the effective return divided by the standard deviation. Commonly, Sharpe Ratios on a daily, weekly or monthly basis are annualized by multiplying by the square root of the higher frequency time period. This is because…
This Excel spreadsheet finds the investment weights that maximize the Omega Ratio of a portfolio. Under realistic conditions, this requires non-convex global optimizers – Excel’s optimizers are not robust enough. So consider the simplified problem in this spreadsheet as a learning…
Learn about the Calmar Ratio, and download an Excel spreadsheet to calculate this performance benchmark.
This article gives a simple introduction to GARCH, its fundamental principles, and offers an Excel spreadsheet for GARCH(1,1).
Download these exclusive Excel spreadsheets to explore various financial analysis and modeling concepts. All spreadsheets are professionally prepared and presented.
The Information Ratio is a risk-reward benchmark that is often used to quantify the performance of an investment (and specifically the effectivess of a fund manager).
This Mathcad worksheet automatically downloads historical forex (or foreign exchange rate) rates. It does this with a VBScript component that imports data from a web service.