This link has been bookmarked by 7 people . It was first bookmarked on 29 Sep 2006, by someone privately.
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18 Aug 08
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26 Feb 08
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An Excel implementation of the Bayes-Stein shrinkage procedure
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Volatility calculations including confidence intervals.
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Risk, return and marginal risk, risk contributions for a long-short portfolio.
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In-sample style analysis using Excel's Solver.
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Example calculations.
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Example calculation illustrating the confusion about sums and products in internal performance analysis.
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Example calculations illustrating the Blundell/Ward filter.
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lower and upper bounds for volatility as a function of sample size and range.
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Fitting the Generalized Pareto Distribution to historical returns and calculating VaR, Expected Shortfall (expected loss beyond VaR). Contains other useful helper functions in the analysis of tail risk.
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a function to calculate maximum drawdown, 'time under water', 'under water' and 'drawdown' chart inputs from a vector of log returns
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VB functions for semi-, downside-volatilities and downside deviation.
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VB functions to calculate robust estimators for the 3rd and 4th moment.
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VB functions to calculate R2, sensitivities and t-values of the sensitivities for the four-moment index model (also known as four-moment CAPM, cubic model). Some observations about coskewness and cokurtosis of various hedge fund indices with MSCI World.
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Visual basic functions to calculate sample autocorrelation, sample partial autocorrelation, confidence bands, Ljung-Box statistics plus a helper function simulating an ARMA(2,2) process. Also included is an illustration on how return smoothing results in autocorrelations.
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Calculations for Calmar Ratio, Sterling Ratio, Burke Ratio, Excess Return on VaR, Modified Sharpe Ratio, Conditional Sharpe Ratio, Gain-Loss-Ratio, Sortino Ratio, Kappa, Omega and Upside-Potential-Ratio
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Z-Scores, Modified Z-Scores, Grubbs' Test (one-sided and double-sided versions) to detect outliers. Aggregate Z-Scores to aggregate time series and cross sectional features of observations in the context of composite or peer group analysis.
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VBA function to generate automated histograms.
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11 Oct 07
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