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 […]
Read More →Author: Jish Bhattacharya
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 […]
Read More →Conditional Value At Risk Calculator
Value At Risk Value at risk or VaR is a statistical measure of the amount of funds a investment, portfolio, or a company might expect to lose over a specified time horizon with a given probability. If you have a portfolio that is expected to lose no more than $100,000, 90% of the time (or 18 out […]
Read More →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 […]
Read More →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 […]
Read More →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 […]
Read More →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 […]
Read More →Williams R Indicator Excel
Named after Larry Williams, %R is a technical analysis indicator that shows current closing price in relation to the high and low for a given look-back period, N. N can be a given number of days, weeks, months, or an intraday time-frame. Williams R indicator is also referred to as the inverse of the Fast […]
Read More →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 […]
Read More →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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