Connect Mathcad to a Forex Web Service

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.

Calculate Jensen’s Alpha with Excel

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.

Downside Deviation as a Risk Measure

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.

Calculate Stock Beta with Excel

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.

Modified Value at Risk

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).

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.