Portfolio Analysis Archives - Page 4 of 6

Maximum Drawdown in VBA

This VBA function and the accompanying Excel spreadsheet calculate the maximum drawdown of a series of investment returns.

The maximum drawdown is the largest percentage drop in asset price over a specified time period.

Stutzer Index

This article introduces the Stutzer index and provides a calculation spreadsheet. The Stutzer index is an investment performance benchmark that penalizes underperformance against a benchmark.

Upside Potential Ratio – Spreadsheet and Guide

This article introduces the Upside Potential Ratio, a risk-adjusted investment performance benchmark.

Brent Oil Price History in Excel

This Excel spreadsheet downloads historical prices for Brent crude oil from a web service. Employing the same techniques as the …

Calculate Historical Volatility in Excel

This spreadsheet calculates the historical volatility of a stock. It uses returns data automatically downloaded from Yahoo.

Historical volatility is the standard deviation of an asset’s historical returns. The standard deviation is calculated over a moving time window.

Value at Risk of a Bond

This Excel spreadsheet calculates the value at risk for a bond.

Value at Risk – Methods and Free Spreadsheets

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.

Mean-Variance Optimization with Transaction Costs

This Excel spreadsheet demonstrates the classic mean-variance approach for portfolio optimization, but includes the added complication of transaction costs.

Modified Omega Ratio Favors Rewarding Asset Behavior

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.

How to Annualize a Sharpe Ratio

Sharpe Ratios are equal to the effective return divided by the standard deviation. Commonly, Sharpe Ratios on a daily, weekly …

Asset Allocation by Maximizing the Omega Ratio of a Portfolio

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 exercise.