Comments on: Portfolio Performance Excel File

By: Frank Charleston

Frank Charleston — Fri, 12 Aug 2011 06:45:40 +0000

There’s an Excel spreadsheet to calculate the investment weights in Sharpe Optimal Portfolio at http://investexcel.net/216/calculating-a-sharpe-optimal-portfolio-with-excel/

By: Brett

Brett — Thu, 21 Jul 2011 15:39:06 +0000

Sorry Dan. Valiant effort, but these ratios aren’t correct. In fact, they aren’t even in the ballpark. For instance, the Sharpe Ratio is calculated using the ANNUALIZED returns and st. deviations. Thus, the formula in G8 should read;

=((C15*12)-$G$2)/(C16*(SQRT(12)))

By: Sim Con

Sim Con — Mon, 30 May 2011 01:20:02 +0000

Here’s an Excel spreadsheet that demonstrates how you can find the investment weights for a portfolio with the maximum Sharpe Ratio – otherwise known as the Sharpe Optimal Portfolio: http://optimizeyourportfolio.blogspot.com/2011/05/sharpe-optimal-portfolio-with-excel.html

By: Dan Hung

Dan Hung — Tue, 26 Apr 2011 19:05:40 +0000

Appreciate the many comments here. My apologies for not updating the sheet as I’ve been busy with many changes in my life since the days when I was writing in this blog more full time. If anyone has updated the excel file and would like to share with the rest of the community, I’d be happy to post it!

By: klbgplp

klbgplp — Tue, 26 Apr 2011 19:02:41 +0000

You also need to multiply your standard deviation figures by the square root of 12 in order to annualize the figure from monthly returns. For example, C16 should read:

=STDEV(C3:C14)*sqrt(12)