Explained it so much better than my professor, Thank you so much!
@DavidJohnk
2 жыл бұрын
Glad it helped, thanks for the positive feedback.
@danielborer6540
2 жыл бұрын
Thank you. Though Excel has the "covariance" command in data analysis which creates a var-cov matrix from the table of profit/loss with one click. With three assets maybe doing manually is ok. But I have 22 assets and I am incredibly grateful for that covariance command
@DavidJohnk
Жыл бұрын
I'll have to check that out, didn't know that you could do the varcovar there. Thanks!
@Hi_howrudoin
4 ай бұрын
hi! i have a question. why sometimes people want arithmetric return of say 5 HPR sometimes they want geometric? (twr vs mwr)
@jhalaksinghmohnot9335
Жыл бұрын
Professor its beautifully explained and I really appreciate your efforts in posting this helpful content. I had one question in the Var- covariance table have you misplaced the sign of standard deviation where you should be putting the sign of Variance.
@DavidJohnk
Жыл бұрын
Thanks for your comment, could you let me know the time in the video where I made the error?
@aliasad628
Жыл бұрын
Thank dear professor I really needed that
@learning_with_irving4266
10 ай бұрын
Thank you sir, is this for portfolio optimization? What is rhe purpose of this exercise?
@DavidJohnk
10 ай бұрын
Yes, you could use Solver to vary the weights. Check out my efficient frontier video.
@aborucu
2 жыл бұрын
If we had daily returns of assets. Do we calculate daily variance and sd, then rescale it to annual varaince and sd. Then use these in the portfolio variance calculation ?
@DavidJohnk
2 жыл бұрын
I would just keep everything daily. No need to change units. Of course your daily return will be smaller.
@shaelah.mcgilton
2 жыл бұрын
very helpful thank you!
@DavidJohnk
2 жыл бұрын
You're welcome, glad to hear it helped!
@Flyingcabbage101
3 ай бұрын
how to import data into excel?
@DavidJohnk
3 ай бұрын
Finance.yahoo.com or bulk stock downloader
@manangoyal3896
2 жыл бұрын
thank you so much
@DavidJohnk
2 жыл бұрын
glad it was of use!
@matthewrusso5326
2 жыл бұрын
whats the standard deviation
@DavidJohnk
2 жыл бұрын
That's the portfolio standard deviation because I took the square root. If you don't take the square root its the variance.
@stefanslab
4 ай бұрын
helped!
@kadnfildnsflisfilsdn
5 ай бұрын
For those with Lambda: =LET( RetAverage, BYCOL(Return_Array, LAMBDA(x, AVERAGE(x))), VarCov, MMULT(TRANSPOSE(Return_Array - RetAverage), Return_Array - RetAverage) / (ROWS(Return_Array) - 1), StDev, SQRT(MMULT(Asset_Weights, MMULT(VarCov, TRANSPOSE(Asset_Weights)))), Return, SUMPRODUCT(Asset_Weights, RetAverage), Sharpe_Ratio, (Return - Risk_Free_Rate) / StDev, IFS(Type = 1, Return, Type = 2, StDev, Type = 3, Sharpe_Ratio)
@DavidJohnk
5 ай бұрын
thanks, I also wrote some Lambdas for this in another KZitem: kzitem.info/news/bejne/mHl_0Z5vh3uEY6g
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