Other Tutorials and Notes

Interactive Brokers Quotes in Excel, Made Simple

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…]

Number of Trading Days per Year

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…]

Excel Reverse Date Problem and How to Fix It

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…]

How to Download Historical Data from Yahoo Finance

This page is a detailed guide to finding and downloading historical data such as daily stock prices or index values from Yahoo Finance. Go to Yahoo Finance homepage: finance.yahoo.com At the moment and on my computer it looks like this. It may look a little different on your device, but [more…]

Sharpe Ratio

Sharpe Ratio Formula, Values, and Interpretation Sharpe Ratio Formula \[{Sharpe\:Ratio}={{\bar{r}_p\:-\:r_f}\over\sigma_p}\] \(\bar{r}_p\) = expected return of the portfolio or investment \(r_f\) = risk-free interest rate \(\sigma_p\) = standard deviation of portfolio returns Here you can see detailed explanation of the formula. Sharpe Ratio Value Range Sharpe ratio can theoretically reach any [more…]

Value At Risk (VAR) Limitations and Disadvantages

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 [more…]

Value At Risk Advantages: Why Use VAR in Risk Management

VAR is widely used and has both advantages and disadvantages Value At Risk, known as VAR, is a common tool for measuring and managing risk in the financial industry. While there are several advantages which have led to big popularity of VAR, anybody using it should also understand the limitations [more…]

Asset Classes: List, Characteristics, Asset Allocation

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

Alternative Investments Characteristics and Issues Characteristics 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 [more…]

Stock Market Seasonality

SEC 13F: How to Get and Use 13F Filings

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…]

Value Weighted Stock Index: Construction, Problems, and Adjustments

Value weighted indices: one of the 3 index construction methods Value weighting (also known as market cap weighting or capitalization weighting) is one of the three commonly used methods for stock index calculation (the other two methods are price weighting and equal weighting). Value weighted stock indices are currently the [more…]

Price Weighted Stock Index Calculation and Biases

Equity index weighting methods Stock indices perform important functions in the global investing universe. They serve as benchmarks of equity markets and therefore as good indicators of economic situation and investor sentiment. Stock indices are widely used in analyses and investment decision making. There are three common methods of stock [more…]

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