Author: Jish Bhattacharya

Modified Sharpe Ratio

How Sharp is the Sharpe-Ratio? If popularity was the only measurement for risk metrics, the Sharpe ratio would tell us everything we need to know. Modified Sharpe Ratio covers further spectrum of risks in the field of investing. Any discussion on risk-adjusted performance is incomplete without touching on the topic of Sharpe ratio or Reward to Variability which […]

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Logistics Network Optimizing Warehouse Location

There are many factors to consider when building a new warehouse facility. Making the right decisions with regards to both warehousing and distribution methods could make all the difference for your firm. This can range from storage requirements, the level of automation in material handling, and workforce availability.  An important aspect among all is the […]

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Ulcer Index Indicator

Background on Ulcer Index Ulcer Index (UI) is a tool for measuring investment risk that addresses maximum drawdown of an asset value, unlike the commonly used standard deviation (SD) of return. UI measures the depth and duration of drawdowns in asset prices from earlier highs. The index was developed by Peter G. Martin in 1987 […]

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Garch Modeling in Excel and Matlab

Introduction to GARCH Modeling GARCH is a time series modeling technique that uses past variances to predict future variances. This post demonstrates how to do a simple  GARCH modeling Excel and Matlab. GARCH stands for Generalized Autoregressive Conditional Heteroskedasticity. The series is heteroskedastic when the time series is said to have GARCH effects i.e, when variances […]

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Commodities Trading Technical Indicators

Commodities Trading Technical Indicators This article is an extension of Calculate MACD in Excel and technical indicators covered in an earlier post. The same trend indicators have been applied towards Commodities and Precious Metals here. The idea behind investing in precious metals is that it protects your portfolio against high inflation. Historically, people look to commodities like […]

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Relative Strength Index Plot

Relative Strength Index Plot Relative Strength Index or RSI is a popular computer generated technical indicator. An oscillator, is a technical analysis that measures market price momentum such as overbought and oversold conditions. The purpose of Relative Strength Index (RSI) to study a market’s strength or weakness. A RSI reading above 70, is considered as […]

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Sharpe Ratio Calculator

Sharpe ratio is a measure of risk and it is named after Nobel Laureate William F. Sharpe. The Sharpe ratio simply stated is a ratio of return vs risk. Given a set of investment choices, Sharpe ratio can help you decide which investment makes the most money. It is defined as the ratio between effective return […]

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Plot Candlestick Chart Excel

A primer on Candlestick charts: A candlestick chart shows daily movements of stocks and shares. Candlestick charts are an intuitive way to perform technical analysis on a stock. A technical analyst can ask “how are the other traders viewing this stock, and how will that affect the price in the immediate future”.  One of the greatest […]

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