The first video tutorial has five associated learning spreadsheets (1.a.1 - 1.a.5). I also wanted to share that I just uploaded a Practice Bag spreadsheet (1.a.6.)
What's a Practice Bag? It is just a very clean, single worksheet that summarizes key quantitative concepts. The idea is to condense the key formulas into rows and columns. If you like, you can use it is a practice ("punching") bag to test yourself. It's easy to do because all you need to do is: copy a column to the right and change the inputs! You can create virtually unlimited scenarios.
What did I put in this first Practice Bag (1.a.6)? Three groups:
1. Foundations. Jorion: Parametric VaR
2. Foundations. Amenc: CAPM
3. Foundations. Amenc: Portfolio RAPMs
In the Jorion parametric VaR, you can experiment with different (i) confidence levels and (ii) horizons. Please try to get familiar with the basic VaR. (Note also I've got expected return in there, so you can see how return impacts).
In the Amenc CAPM, please get familiar with beta = covariance()/variance(). Very useful!
In the Amenc, Portfolio RAPMs, I've got Treynor, Sharpe, Jenson, TE, and information ratio. Can I give you a quick homework assignment? I computed Tracking Error by using a variance property in the (assigned) Gujarati; I think it is instructive to see how my formula for tracking error merely "steals" a variance property from Gujarati.
If you don't have MS Excel, don't worry, we will soon have these enabled in their (free) online equivalents.
Thanks, David Harper
What's a Practice Bag? It is just a very clean, single worksheet that summarizes key quantitative concepts. The idea is to condense the key formulas into rows and columns. If you like, you can use it is a practice ("punching") bag to test yourself. It's easy to do because all you need to do is: copy a column to the right and change the inputs! You can create virtually unlimited scenarios.
What did I put in this first Practice Bag (1.a.6)? Three groups:
1. Foundations. Jorion: Parametric VaR
2. Foundations. Amenc: CAPM
3. Foundations. Amenc: Portfolio RAPMs
In the Jorion parametric VaR, you can experiment with different (i) confidence levels and (ii) horizons. Please try to get familiar with the basic VaR. (Note also I've got expected return in there, so you can see how return impacts).
In the Amenc CAPM, please get familiar with beta = covariance()/variance(). Very useful!
In the Amenc, Portfolio RAPMs, I've got Treynor, Sharpe, Jenson, TE, and information ratio. Can I give you a quick homework assignment? I computed Tracking Error by using a variance property in the (assigned) Gujarati; I think it is instructive to see how my formula for tracking error merely "steals" a variance property from Gujarati.
If you don't have MS Excel, don't worry, we will soon have these enabled in their (free) online equivalents.
Thanks, David Harper
