I am often asked about linking Interactive Brokers quotes to Macroption calculators and to Excel in general. IB offers several ways to do that and although (or because) their documentation is very detailed, the task may be a bit overwhelming to a non-technical person.
Here is the simplest way you [more...]
In option pricing, volatility modeling, and quantitative finance in general, you often need the number of trading days per year as a parameter for your model. Which number to choose?
Trading Days per Year in US Markets
How many trading days per year are there in the US stock and [more...]
When you work with time series in Excel and import data from sources which use different date format than your operating system, Excel sometimes loads the dates incorrectly. It may swap day and month or not recognize the expression as date and treat it as text.
The first solution to [more...]
This page is a detailed guide to finding and downloading historical data such as daily stock prices or index values from Yahoo Finance.
Yahoo Finance Website
Go to Yahoo Finance homepage: finance.yahoo.com
At the moment and on my computer it looks like this. It may look a little [more...]
Sharpe Ratio Formula
Rp = expected return of the portfolio or investment
Rf = risk-free interest rate
σp = standard deviation of portfolio returns
Here you can see detailed explanation of the formula.
Sharpe Ratio Value Range
Sharpe ratio can theoretically reach any value - positive, negative, or zero.
Here you can [more...]
Value At Risk is a widely used risk management tool, popular especially with banks and big financial institutions. There are valid reasons for its popularity – using VAR has several advantages. But for using Value At Risk for effective risk management without unwillingly encouraging a future financial disaster, it is crucial [more...]
This page will discuss the strengths and advantages of Value at Risk (VAR) in risk management. Make sure you also understand the limitations and disadvantages of VAR.
Value At Risk interpretation
Value At Risk is a number, measured in price units or as percentage of portfolio value, which tells you [more...]
This page explains the concept of asset class and its use in asset allocation and portfolio management. We will discuss the characteristics of individual asset classes, such as risk, return, liquidity or correlations, and how they relate to economic cycle.
Asset Class Definition and Examples
Asset class is a group [more...]
Alternative Investments Characteristics and Issues
7 Common Characteristics of Alternative Investments - The common characteristics are: diversity (there are many kinds of alternative investments), non-normal and non-linear returns (especially skewness of returns), low liquidity, difficult valuation, limited availability of good benchmarks, legal restrictions and limited availability of alternative investments to [more...]
This page was published on the old Macroption blog on 26 July 2013 and may be outdated.
Performance by Day of Week
In the table below you can find average daily performance of S&P500 on individual weekdays over different periods in history. The end of data is always Thursday [more...]
There is a place on the internet where you can get a detailed portfolio snapshot from the world's greatest traders, fund managers, and investors - regularly and for free. The place is US SEC (Securities and Exchange Commission).
How the 13F Holdings Report Looks
According to Section 13(f) of the [more...]
This page explains how a value weighted stock index is constructed, the biases and practical problems this calculation method can cause, as well as possible adjustments to address these problems.
Stock index calculation methods
Value weighting (also known as market cap weighting or capitalization weighting) is one of the three [more...]
This page explains how a price weighted index works - how it is calculated and what implications the calculation method has on the relative effects of individial stock price moves on the index value.
Equity index weighting methods
Stock indices perform important functions in the global investing universe. They serve as [more...]