Jensen’s Alpha is a risk-adjusted performance benchmark that tells you how by much the returns of an actively managed portfolio are above or below market returns.
This article provides an Excel spreadsheet to calculate downside deviation (including VBA and a matrix formula). It also discusses why downside deviation is a better risk measure than the standard deviation.
Investors have a dazzling array of mutual funds to pick from. How can investors decide which fund to invest in?
This Mathcad worksheet automatically downloads historical stock quotes from Yahoo Finance with a VBScript button. You don’t need to manually import the data with text files.
This article explores what the Treynor Ratio means for investors, and provides an Excel spreadsheet.
This Excel spreadsheet calculates the beta of a stock, a widely used risk management tool that describes the risk of a single stock with respect to the risk of the overall market.
This Excel spreadsheet calculates the Modified Sharpe Ratio.
This Excel spreadsheet calculates Kappa, a generalized downside-risk adjusted performance measure.
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).
This Excel spreadsheet downloads historical Forex data from the Internet. You can ask for bid, ask and mid rates for a range of historical currencies.