RSS feed
November 13th, 2007 | Category: Portfolio Management, Tutorials |
Just got a comment on my last post during the “Portfolio Performance Metrics” series. I realized that I never did get the final post with a portfolio performance Excel file online. Here it is! Here’s an Excel file which allows you to calculate Sortino and Sharpe Ratios as well as Beta and Jensen’s Alpha and correlation between a standardized index and a portfolio. I’ve set it up for the S&P 500, but the last few months are just filled in as 2.00%. Take a look and let me know if I can improve it.
1 Year Portfolio Performance Metrics (right click -> save as)
Bookmark to:
December 9th, 2007 at 5:43 am
thank you
February 12th, 2008 at 5:59 am
Nice spreadsheet
Is there any info about the kind of benchmarks one is looking for in terms of “good” and “bad” ratios. Terminology is awful but I hope you get the gist.
February 12th, 2008 at 2:14 pm
Hi there, I’m not sure exactly which ratios you’re referring to. But, I’m assuming its the portfolio performance ratios I’ve included in this sheet. If you check out the link I have for “Portfolio Performance Metrics” in the above post, you’ll find some posts on different performance ratios and I think that will help you get an idea of what you’re looking for as far as “good” or “bad”.
April 10th, 2008 at 12:09 am
Hi Dan, thx for the ss. was interested in the sortino ratio calcs.
Do you do any simulation of future performance to guide position sizing?
It seems many books, bloggers, and gurus are oblivious to the pitfalls of using excel stdev and mean for this purpose, as they are normal distro formulae.
I currently run my own Monte’s in excel using a lognormal freq dist random number generator.
formula is
=LOGINV(RAND(),mu,sigma)
However, based on readings of Taleb and Mandelbrot, I presume we would all be better off applying power-law FDs, or better still, parabolic fractal FDs.
any chance of a spreadsheet for that