Thank you for the Video, And Specially for the Array Formula 💯
@smjforu
4 жыл бұрын
Fantastic do you have FRTB and New Margin rules too
@Niltzable
7 жыл бұрын
Do you know how to do this for a matrix were the columns are different fund returns in Matlab?, Would be really helpful...
@basi21
2 жыл бұрын
this array function thingy is only necessary if you don't create an extra column as you did for the portfolio return right?
@tankritkiddo8137
7 жыл бұрын
What is the difference from the sortino ratio or ulcer index? Which is better to use for optimization?
@dishydez
4 жыл бұрын
Hey, so quick question. Wanted to know how to calculate downside deviation of monthly from the daily data.
@SaifUllah271
2 жыл бұрын
I have tried to compute Downside Risk by using a different way. I will be thankful to you if you can share your feedback on my video. Thanks kzitem.info/news/bejne/2m9uln6imJaYqag
@5029rahul
4 жыл бұрын
sir, could you provide a link to the data used here? Thanks for the tut.
@SaifUllah271
2 жыл бұрын
I have tried to compute Downside Risk by using a different way. I will be thankful to you if you can share your feedback on my video. Thanks kzitem.info/news/bejne/2m9uln6imJaYqag
@norsa17
5 жыл бұрын
Hi, in the additional column of downside, the formula that you wrote is if the value of Rp is less than the average of the whole Rp than place it as value otherwise make it blank. My question is blank means zero? since i cannot find any covariance matrix from this downside. Thank you.
@mariusduleba8787
8 жыл бұрын
Hiya, are the portfolio returns excess return (i.e. minus Rf)? Why not then consider only the actual negative returns? If they are above rf but below the avrg you don't want them to consider in the downside risk?!
@James-xx8up
7 жыл бұрын
It means that the portfolio did not beat the "risk free" investment and therefore represents a poor investment decision vs the riskless asset.
@bwogisean
4 жыл бұрын
Economics explained !! recognize the voice !!
@fien99
3 жыл бұрын
no way is this him hahaha
@sulaiman.sjoheni5690
2 жыл бұрын
thx.
@SaifUllah271
2 жыл бұрын
I have tried to compute Downside Risk by using a different way. I will be thankful to you if you can share your feedback on my video. Thanks kzitem.info/news/bejne/2m9uln6imJaYqag
@jmajma1010
7 жыл бұрын
Thank you for this useful information, it helped me a lot to learn excel. But excel's formula for the standard deviation calculate automatically the mean of the cells you picked. But the downside risk is calculated with the mean of all the data so it won't give the same answer when you manually do it. The gaps won't be the same 'cause the mean aren't the same. Am i wrong? 'Cause when i do it by hand it doesn't give me the same answer and it's the only explanation i've found.
@SaifUllah271
2 жыл бұрын
I have tried to compute Downside Risk by using a different way. I will be thankful to you if you can share your feedback on my video. Thanks kzitem.info/news/bejne/2m9uln6imJaYqag
@annarutkowska-ziarko2905
2 жыл бұрын
The downside beta should be mentioned here
@hbahou
4 жыл бұрын
Hi, I believe your downside side risk calculation is wrong: in column 'G', you should have calculated the sum of the squared negative differences of the monthly returns with the mean return of the portfolio and then, take the square root of the result in order to properly calculate the downside risk of the portfolio. Instead, you only took the std deviation of the monthly returns below the average; which does not mean anything.
@haovan1674
2 жыл бұрын
You are correct. What he did was to indirectly create a new "mean" for the "below mean dataset" and calculated standard deviation around that "new mean" which was unfortunately wrong. Your method matches with what illustrates in CFA guide. I hope that someone spot your message.
@SaifUllah271
2 жыл бұрын
I have tried to compute Downside Risk by using a different way. I will be thankful to you if you can share your feedback on my video. Thanks kzitem.info/news/bejne/2m9uln6imJaYqag
@SaifUllah271
2 жыл бұрын
@@haovan1674 I have tried to compute Downside Risk by using a different way. I will be thankful to you if you can share your feedback on my video. Thanks kzitem.info/news/bejne/2m9uln6imJaYqag
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