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Home Insert Draw Page Layout Formulas Data DS 1 2 Paste 3 4 5 6 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 70 X Lia - g Calibri (Body) Ready B 1 x fx A datetime -Asset1 2016/1/4 0.003365 2016/1/5 -0.010061 2016/1/6 -0.000565 2016/1/7 -0.005085 2016/1/8 0.000568 2016/1/11 -0.013053 2016/1/12 0.004025 2016/1/13 0.005155 2016/1/14 0.013675 2016/1/15 0.024733 2016/1/18 0.005485 2016/1/19 -0.012548 2016/1/20 -0.001105 2016/1/21 0.017146 2016/1/22 -0.001088 2016/1/25 0.006532 2016/1/26 0.005949 2016/1/27 0.022581 2016/1/28 0.00165 2016/1/29 0 2016/2/1 0.001647 2016/2/2 0.003289 2016/2/3 0.015301 2016/2/4 -0.008073 2016/2/5 0.016278 B 2016/2/15 -0.00267 2016/27/160 009141 Project1 P1 Hint By # 11 & A Benchmark 0.006099933 -0.0073464 -0.000951533 -2.21333E-05 -0.0086694 -0.007659067 0.0008878 0.001515467 -0.0034874 0.014609733 0.010062467 -0.006824533 -0.0003182 0.0099872 -0.0051692 0.005685733 0.0043758 -0.004081067 -0.001238133 -0.0009624 0.0041846 0.0022276 0.007432667 0.000125067 0.007592933 -0.0011522 003704767 Project2 E A A D Review View Project3 E D E Annualized Return Standard Deviation Downside Deviation Tracking Error VaR(5%) CVaR(5%) Tell me MaxDrawDown Sharpe Ratio Sortino Ratio Information Ratio Calmar Ratio Alpha Beta ab, Wrap Text 2 Merge & Center Calculate folllowing statistics of Asset1 and the Portfolio * Assume risk free rate to be 0 * Assume 240 trading days in a year F Project4 Daily Return_small Asset1 32.9% 27% -2.5% 0.32 1.23 : 0.00 1.63 General [0% 9 Benchmark 8.3% 10% -1.1% Daily Return_large + 58 09 H D.D. Conditional Format) Cell Formatting as Table Styles T Cummulative Return 0.003365 -0.006696 -0.007261 -0.012346 -0.011778 -0.024831 -0.020806 -0.015651 -0.001976 0.022757 0.028242 0.015694 0.014589 0.031735 0.030647 0.037179 0.043128 0.020547 0.022197 0.022197 0.023844 0.027133 0.042434 0.034361 0.050639 0.047969 0.015878 Insert v Delete v Format Su N J High Water Mark Sort & Ov Filter 0.003365 0.003365 0.003365 0.003365 0.003365 0.003365 0.003365 0.003365 0.003365 0.022757 0.028242 0.028242 0.028242 0.031735 0.031735 0.037179 0.043128 0.043128 0.043128 0.043128 0.043128 0.043128 0.043128 0.043128 0.050639 0.050639 0050630 47 161 E E V Share Find & Select K DrawDown 0 0.010061 0.010626 0.015711 0.015143 0.028196 0.024171 0.019016 0.005341 0 0 0.012548 0.013653 0 0.001088 0 0 0.022581 0.020931 0.020931 0.019284 0.015995 0.000694 0.008767 0 0.00267 000111 Comments KEDD) m Analyze Data L + T SUMM Multip R Squa Adjust Sit Interce X Varia 130% ... AutoSave OFF A. C.... Home Insert Draw Page Layout Formulas Data Review B12 1 2 Paste 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 V 22 23 24 X Lia- p A Calibri (Body) BIU 25 26 27 Project1 Ready x Xfx Max Sharpe Ratio B 11 Min Standard Deviation Min Downside Deviation Min MaxDraw Down Min VaR Min CVaR ce Max Sharpe Ratio Max Sortino Ratio Max Calmar Ratio A A A Y Make following portfolio, based on data from 2016 to 2020 CF M P1 Hint Project2 Project3 D = M Project4 View EE E Asset Weights au 2 Wrap Text F Tell me cu Merge & Center Daily Return small G rb v General [0% 9 H Daily Return_large + 1 0.00 1 Conditional Format) Cell Formatting as Table Styles K L Insert v Delete Format M Su +V D N m E E 47 v Share Sort & Find & Filter Select Comments P KGD) M Analyze Data + Q 140% ... AutoSave OFF ABD. C. Home Insert Draw Page Layout Formulas Data Review View M27 Paste 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 V Ready X g A x Calibri (Body) B 1 U Project1 By # 11 P1 Hint a Av A A B Make following portfolio, based on data from 2016 to 2020 Risk Parity (MaxDrawDown ) Risk Parity (VaR) Risk Parity (CVaR) Corr Parity Project2 Risk Parity (Standard Deviation) Risk Parity (Downside Deviation) E Project3 = Project4 EE Tell me ab, Wrap Text CF Merge & Center Daily Return small D TA General [0% 9 E Asset Weights au Daily Return_large + 003 F cu B. D.D. Conditional Format Cell Formatting as Table Styles G rb H Insert v Delete Format m E Sv Du I E Share 47 Sort & Find & Filter Select v J Comments KGD) M Analyze Data K + 140% ... AutoSave OFF ABD. C. Home Insert Draw Page Layout Formulas Data Review View Paste 117 1 2 3 4 5 6 7 8 9 10 11 12 13 14 11 15 16 17 18 19 20 21 22 23 24 25 26 77 Ready X Lia- g A Calibri (Body) BI x fx B By # Annualized Return Standard Deviation Downside Deviation. Project1 VaR CVaR Maximum Drawdown Sharpe Ratio Sortino Ratio Calmar Ratio 11 A A ch a Av V D E P1 Hint Project2 Project3 = Min Standard Deviation. Changing out-of-sample statistics of different portfolios, based on data of 2021 EE Project4 Tell me ab, Wrap Text E Merge & Center wi Max Sharpe Ratio Daily Return small General [0% 9 0.00 Daily Return_large + F Conditional Format) Cell Formatting as Table Styles Risk Parity (Standard Deviation) G Corr Parity Insert v Delete Format H *** m E Su +V Sort & Find & Du Filter Select E 47 Share v J Comments KGD) M Analyze Data + 140% T K ... AutoSave OFF ABD. C.... Home Insert Draw Page Layout J18 Paste A 1 datetime 2 3 10 11 X Lia - P 12 13 14 15 x OF Calibri (Body) BI 1 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 Project1 Ready B TA 0 C # 0 au V D 11 & Formulas Data Review A A 0 CU Au 2010/1/5 0.0117 0.01122 2010/1/6 -0.024954 -0.031634 0.011921 0.034943 0.010009 -0.016297 -0.028508 -0.033175 4 2010/1/7 0.006552 0.007801 0.029701 0.019572 0.000446 2010/1/8 0.003254 -0.007741 5 -0.00504 -0.009486 0.001782 6 2010/1/11 -0.025351 -0.013896 -0.026535 -0.037981 -0.020231 7 2010/1/12 0.004236 2010/1/13 -0.00934 0.001205 0.025958 0.013889 0.029595 0.008523 -0.00079 -0.004096 -0.004499 8 9 2010/1/14 -0.009428 -0.017088 -0.012248 -0.010201 -0.019209 2010/1/15 0.009211 0.024241 0.00908 0.019761 0.017051 2010/1/18 -0.005172 0.004303 0.005272 0.008631 -0.006797 2010/1/19 -0.020489 -0.016187 -0.023738 -0.019051 -0.007755 2010/1/20 0.013113 -0.001418 -0.016237 -0.013825 -0.005287 2010/1/21 -0.000616 -0.018703 -0.000862 -0.008178 -0.010862 2010/1/22 -0.006167 0.009158 0.008917 0.014303 0.001869 -0.002566 -0.009788 -0.002799 2010/1/25 -0.010549 -0.015539 2010/1/26 -0.005958 -0.020398 -0.014047 -0.031999 0.002105 0.0014 0.001875 -0.026803 0.00839 2010/1/27 0.007256 -0.008924 -0.005798 -0.018519 2010/1/28 -0.003758 0.003252 2010/1/29 -0.000314 -0.000499 0.016507 -0.000906 -0.004522 2010/2/1 0.001258 0.010476 0.009244 0.001088 -0.033434 2010/2/2 0.004397 0.000247 -0.007012 -0.025362 -0.005044 2010/2/3 0.007484 0.003405 0.009697 2010/2/4 -0.010044 -0.005429 -0.032776 -0.019145 2010/2/5 0.009159 -0.00794 -0.002616 -0.009475 2010/2/8 0.013784 0.022011 0.012481 0.02908 2010/2/9 0.002472 0.007097 0.002215 0.026771 2010/2/10 -0.001541 0.009235 0.009674 0.023357 0.008323 0.032507 0.03027 0.051486 0.027358 0.015392 0.010782 0.012956 0.025941 0.009504 2010/2/11 0.048472 2010/2/12 -0.008539 2010/2/22 0.004158 0.000711 0.006807 0.016706 0.006835 2010/2/23 -0.00686 0.01114 -0.004937 0.018371 0.002809 2010/2/24 0.003303 0.012189 0.006273 0.003744 0.011502 2010/2/25 0.014656 0.004993 0.011205 0.044585 0.005937 2010/2/20 -0.012684 -0.018182 -0.002861 -0.017171 0.009915 2010/3/1 -0.006274 -0.003848 0.014345 -0.005158 0.008584 2010/3/2 0.012928 -0.00169 0.003546 -0.000167 -0.00457 2010/3/3 -0.00653 -0.008222 -0.005438 -0.004517 0.008960 P1 Hint. Project2 Project3 E rb 0 F E WWW 0 E G Project4 View EE H I Tell me ab, Wrap Text Merge & Center Daily Return small J K : General [0% 9 L Daily Return_large M + 5009 N Conditional Format) Cell Formatting as Table Styles 0 P V Q R Insert v Delete v Format S T E Su N Du 47 U E V Sort & Filter Share Find & Select V W Comments KLD) m Analyze Data + X 100% Y Y 1 ... AutoSave OFF ADO.... Home Insert Draw Page Layout B1 1 2 2 Paste 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 V X Lia- p A datetime Calibri (Body) OF B 1 X fx CF B Project1 Ready SP 0 C By # D TA D 11 Formulas Data Review A A ci Av al 0 E 20 0 F E WWW = C 0 0 View EE cu H Tell me 0 1 Wrap Text v Merge & Center w m 0 1 P 0 General [0% 9 K 2010/1/5 0.034943 0.005915 0.011528 0.010009 0.028698 0.000548 0.010202 0.041029 3 4 5 7 8 9 0.0117 0.010348 0.01122 0.048953 0.011921 0.012156 0.012012 2010/1/6 -0.024954 -0.035594 -0.031634 -0.043162 -0.016297 -0.009922 -0.028508 -0.033712 -0.030935 -0.040734 -0.033175 -0.010413 -0.01943 -0.033251 -0.038521 2010/1/7 0.006552 -0.029944 0.007801 0.009022 0.029701 0.015823 0.019672 0.005085 0.005376 0.006187 0.000446 0.018066 -0.004624 0.002293 0.002316 2010/1/8 0.003254 -0.000179 -0.007741 0.013691 -0.00504 -0.006231 -0.009485 -0.000806 -0.011698 -0.015651 0.001782 0.007605 -0.009954 -0.018302 -0.006932 6 2010/1/11 -0.025351 -0.007719 -0.013896 -0.049063 -0.026535 -0.014107 -0.037981 -0.05004 -0.029422 -0.037763 -0.020231 -0.027869 -0.022788 -0.031072 -0.046999 2010/1/12 0.004236 -0.02026 0.025958 0.026667 0.013889 0.00371 0.029695 0.01147 0.007666 0.014459 0.008623 0.033446 0 0.011758 0.019531 2010/1/13 -0.00934 0.008853 0.001205 -0.001976 -0.00079 -0.000528 -0.004095 0.0063 -0.004495 0.002618. -0.004499 -0.019071 0.008317 -0.00317 -0.010057 2010/1/14) -0.009428 -0.01336 -0.017088 -0.010467 -0.012248 0.000528 0.010201 -0.017529 0.009378 -0.015086 -0.019209 -0.031815 -0.017766 -0.017488 -0.013304 10 2010/1/15 0.009211 0.012428 0.024241 0.011721 0.00908 0.002112 0.019761 0.020391 0.003097 0.013255 0.017051 0.018053 0.011628 0.012575 0.011522 11 2010/1/18 -0.005172 0.014291 0.004303 0.000283 0.005272 -0.001581 0.008631 0.008743 -0.003774 -0.003198 -0.006797 0.015939 -0.00447 -0.003462 0.023752 12 2010/1/19 -0.020489 -0.007587 -0.016187 -0.018362 -0.023738 -0.002639 -0.019051 0.007016 -0.01343 -0.022164 -0.007755 -0.010198 -0.007056 -0.017103 -0.028136 13 2010/1/20 0.013113 0.030033 -0.001418 -0.006266 -0.016237 0.000529 -0.013825 0.003279 0.003839 0.012228 -0.005287 -0.007133 -0.002584 0.006525 -0.011339 14 2010/1/21 -0.000616 -0.008659 -0.018703 -0.012611 -0.000862 -0.009519 -0.008178 -0.019199 -0.002782 0.002357 -0.010862 -0.026342 0.005673 -0.028062 15 2010/1/22 -0.006167 0.010339 0.009168 0.008999 0.008917 -0.003203 0.014303 0.001249 -0.000349 0.004409 0.001869 0.018651 0.001295 -0.002686 0.00477 16 2010/1/25 -0.010549 -0.001941 -0.015539 -0.011507 -0.007566 -0.004285 -0.009788 -0.019135 -0.003488 -0.012584 -0.002799 -0.025956 -0.012937 -0.007541 -0.022489 17 2010/1/26 -0.005958 -0.028637 -0.020398 -0.02537 -0.014047 -0.007152 -0.031999 -0.03011 -0.011551 -0.008002 0.002105 -0.030159 -0.017038 -0.004347 -0.03911 18 2010/1/27 0.007256 -0.012557 -0.008924 -0.030457 -0.005718 -0.004313 -0.018519 0.004373 -0.004249 0.005079 0.0014 -0.007455 -0.017 -0.000273 -0.031125 2010/1/28 -0.003758 0.003317 0.003252 0.002464 0.001875 0.002165 -0.026808 -0.001306 -0.015647 -0.009215 0.00839 -0.008584 -0.006073 -0.00527 -0.026085 2010/1/29 -0.000314 -0.001837 -0.000499 0.003587 0.016507 -0.001621 -0.000905 0.005231 -0.014812 -0.007501 -0.004622 0.010606 -0.003394 -0.007582 -0.002537 2010/2/1 0.001258 0.023555 0.010476 0.01255 0.009244 0.006494 0.001088 -0.00954 -0.0022 0.006953 -0.033434 -0.000643 0.002725 0.007188 -0.009327 2010/2/2 0.004397 0.00036 0.000247 -0.01058 -0.007012 -0.005376 -0.025362 -0.003508 -0.008453 -0.003603 -0.005044 -0.008787 0.008152 -0.006039 -0.00485 2010/2/3 2010/2/4 -0.010044 -0.014558 -0.005429 -0.001528 0.032776 0.000541 -0.019145 -0.003515 0.019274 0.017776 -0.007484 -0.038703 -0.008086 0.013532 -0.007167 2010/2/5 0.009159 0.010943 -0.00794 -0.003366 0.002516 -0.00108 -0.009475 0.002646 0.001818 0.003848 0.003405 -0.015744 0.009511 0.005177 -0.008374 2010/2/8 0.013784 0.006495 0.022011 0.01658 0.012481 -0.000541 0.02908 0.01803 -0.001089 -0.00059 0.009697 0.032221 0.006057 0.001355 0.023005 2010/2/9 0.002472 0.039075 0.007097 0.006342 0.002215 0.006494 0.026771 0.012095 0.005451 0.008852 0.009604 0.042285 0.007358 0.004331 0.015087 2010/2/10 -0.001541 0.008798 0.009235 0.007803 0.009574 0.002151 0.023357 -0.002134 0.003253 0.004972 0.008323 0.018904 0.001992 -0.00027 0.027482 2010/2/11 0.048472 0.014354 0.032507 0.020548 0.03027 0.005388 0.051485 0.033362 0.009006 0.012934 0.027358 0.046904 0.025182 0.009706 0.044487 2010/2/12 -0.008539 0.045853 -0.015392 0.006128 0.010782 0.001072 0.012955 0.002483 0.008925 0.009286 0.025941 0.018319 -0.005818 0.005874 0.020904 2010/2/22 0.004158 0.011837 0.000711 0.009982 0.006807 0.002677 0.016705 0.000415 0.010616 D 0.006835 0.005882 0.002601 0.003451 -0.019215 2010/2/23 -0.00686 0.014318 0.01114 0.002966 0.004937 0.001602 0.018371 0.005642 0.0007 0.006038 0.002809 0.019359 0.003259 0.008791 0.00898 2010/2/24 0.003303 -0.008779 0.012189 0.004687 0.006273 0.002132 0.003744 0.019381 0.011547 -0.012289 -0.011502 0.015826 0.009747 0.012575 0.012286 2010/2/25 0.014656 0.007458 0.004983 0.0103 0.011205 0.001068 0.044585 0.010093 0.007788 0.008102 0.005937 0.016884 0.001312 0.009093 D.028664 2010/2/26 -0.012684 -0.016894 -0.018182 -0.011943 0.002961 0.000534 0.017171 0.012073 0.001405 -0.00775 -0.009915 -0.035185 0.01114 -0.009011 0.01735 2010/3/1 -0.006274 0.000701 -0.003848 -0.005896 0.014845 -0.000533 -0.005158 -0.014328 0.003166 0.00405 -0.008584 0.018034 0.000663 0.005-984 0.021402 2010/3/2 0.012928 -0.008236 0.00169 0.001779 0.003546 -0.002668 -0.000167 0.00342 0.005646 0.002593 -0.00457 0.005159 0.003316 0.001064 0.003827 2010/3/3 -0.00653 -0.00477 -0.008222 0.005438 -0.00535 -0.004517 0.017469 -0.019517 0.012059 -0.008956 -0.020735 -0.015202 -0.012483 -0.000545 P1 Hint Project2 Project3 Project4 Daily Return_small Daily Return_large. + 0 rb D L D ru M 03 V 0 Conditional Format Cell Formatting as Table Styles N 0 0 0 201 0 P 0 Insert v Delete Format Q m K WBO E S E v Share Sort & Find & Filter Select T U Comments KLD) M Analyze Data V 1 + 100% T W 1 ... 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Home Insert Draw Page Layout Formulas Data DS 1 2 Paste 3 4 5 6 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 70 X Lia - g Calibri (Body) Ready B 1 x fx A datetime -Asset1 2016/1/4 0.003365 2016/1/5 -0.010061 2016/1/6 -0.000565 2016/1/7 -0.005085 2016/1/8 0.000568 2016/1/11 -0.013053 2016/1/12 0.004025 2016/1/13 0.005155 2016/1/14 0.013675 2016/1/15 0.024733 2016/1/18 0.005485 2016/1/19 -0.012548 2016/1/20 -0.001105 2016/1/21 0.017146 2016/1/22 -0.001088 2016/1/25 0.006532 2016/1/26 0.005949 2016/1/27 0.022581 2016/1/28 0.00165 2016/1/29 0 2016/2/1 0.001647 2016/2/2 0.003289 2016/2/3 0.015301 2016/2/4 -0.008073 2016/2/5 0.016278 B 2016/2/15 -0.00267 2016/27/160 009141 Project1 P1 Hint By # 11 & A Benchmark 0.006099933 -0.0073464 -0.000951533 -2.21333E-05 -0.0086694 -0.007659067 0.0008878 0.001515467 -0.0034874 0.014609733 0.010062467 -0.006824533 -0.0003182 0.0099872 -0.0051692 0.005685733 0.0043758 -0.004081067 -0.001238133 -0.0009624 0.0041846 0.0022276 0.007432667 0.000125067 0.007592933 -0.0011522 003704767 Project2 E A A D Review View Project3 E D E Annualized Return Standard Deviation Downside Deviation Tracking Error VaR(5%) CVaR(5%) Tell me MaxDrawDown Sharpe Ratio Sortino Ratio Information Ratio Calmar Ratio Alpha Beta ab, Wrap Text 2 Merge & Center Calculate folllowing statistics of Asset1 and the Portfolio * Assume risk free rate to be 0 * Assume 240 trading days in a year F Project4 Daily Return_small Asset1 32.9% 27% -2.5% 0.32 1.23 : 0.00 1.63 General [0% 9 Benchmark 8.3% 10% -1.1% Daily Return_large + 58 09 H D.D. Conditional Format) Cell Formatting as Table Styles T Cummulative Return 0.003365 -0.006696 -0.007261 -0.012346 -0.011778 -0.024831 -0.020806 -0.015651 -0.001976 0.022757 0.028242 0.015694 0.014589 0.031735 0.030647 0.037179 0.043128 0.020547 0.022197 0.022197 0.023844 0.027133 0.042434 0.034361 0.050639 0.047969 0.015878 Insert v Delete v Format Su N J High Water Mark Sort & Ov Filter 0.003365 0.003365 0.003365 0.003365 0.003365 0.003365 0.003365 0.003365 0.003365 0.022757 0.028242 0.028242 0.028242 0.031735 0.031735 0.037179 0.043128 0.043128 0.043128 0.043128 0.043128 0.043128 0.043128 0.043128 0.050639 0.050639 0050630 47 161 E E V Share Find & Select K DrawDown 0 0.010061 0.010626 0.015711 0.015143 0.028196 0.024171 0.019016 0.005341 0 0 0.012548 0.013653 0 0.001088 0 0 0.022581 0.020931 0.020931 0.019284 0.015995 0.000694 0.008767 0 0.00267 000111 Comments KEDD) m Analyze Data L + T SUMM Multip R Squa Adjust Sit Interce X Varia 130% ... AutoSave OFF A. C.... Home Insert Draw Page Layout Formulas Data Review B12 1 2 Paste 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 V 22 23 24 X Lia- p A Calibri (Body) BIU 25 26 27 Project1 Ready x Xfx Max Sharpe Ratio B 11 Min Standard Deviation Min Downside Deviation Min MaxDraw Down Min VaR Min CVaR ce Max Sharpe Ratio Max Sortino Ratio Max Calmar Ratio A A A Y Make following portfolio, based on data from 2016 to 2020 CF M P1 Hint Project2 Project3 D = M Project4 View EE E Asset Weights au 2 Wrap Text F Tell me cu Merge & Center Daily Return small G rb v General [0% 9 H Daily Return_large + 1 0.00 1 Conditional Format) Cell Formatting as Table Styles K L Insert v Delete Format M Su +V D N m E E 47 v Share Sort & Find & Filter Select Comments P KGD) M Analyze Data + Q 140% ... AutoSave OFF ABD. C. Home Insert Draw Page Layout Formulas Data Review View M27 Paste 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 V Ready X g A x Calibri (Body) B 1 U Project1 By # 11 P1 Hint a Av A A B Make following portfolio, based on data from 2016 to 2020 Risk Parity (MaxDrawDown ) Risk Parity (VaR) Risk Parity (CVaR) Corr Parity Project2 Risk Parity (Standard Deviation) Risk Parity (Downside Deviation) E Project3 = Project4 EE Tell me ab, Wrap Text CF Merge & Center Daily Return small D TA General [0% 9 E Asset Weights au Daily Return_large + 003 F cu B. D.D. Conditional Format Cell Formatting as Table Styles G rb H Insert v Delete Format m E Sv Du I E Share 47 Sort & Find & Filter Select v J Comments KGD) M Analyze Data K + 140% ... AutoSave OFF ABD. C. Home Insert Draw Page Layout Formulas Data Review View Paste 117 1 2 3 4 5 6 7 8 9 10 11 12 13 14 11 15 16 17 18 19 20 21 22 23 24 25 26 77 Ready X Lia- g A Calibri (Body) BI x fx B By # Annualized Return Standard Deviation Downside Deviation. Project1 VaR CVaR Maximum Drawdown Sharpe Ratio Sortino Ratio Calmar Ratio 11 A A ch a Av V D E P1 Hint Project2 Project3 = Min Standard Deviation. Changing out-of-sample statistics of different portfolios, based on data of 2021 EE Project4 Tell me ab, Wrap Text E Merge & Center wi Max Sharpe Ratio Daily Return small General [0% 9 0.00 Daily Return_large + F Conditional Format) Cell Formatting as Table Styles Risk Parity (Standard Deviation) G Corr Parity Insert v Delete Format H *** m E Su +V Sort & Find & Du Filter Select E 47 Share v J Comments KGD) M Analyze Data + 140% T K ... AutoSave OFF ABD. C.... Home Insert Draw Page Layout J18 Paste A 1 datetime 2 3 10 11 X Lia - P 12 13 14 15 x OF Calibri (Body) BI 1 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 Project1 Ready B TA 0 C # 0 au V D 11 & Formulas Data Review A A 0 CU Au 2010/1/5 0.0117 0.01122 2010/1/6 -0.024954 -0.031634 0.011921 0.034943 0.010009 -0.016297 -0.028508 -0.033175 4 2010/1/7 0.006552 0.007801 0.029701 0.019572 0.000446 2010/1/8 0.003254 -0.007741 5 -0.00504 -0.009486 0.001782 6 2010/1/11 -0.025351 -0.013896 -0.026535 -0.037981 -0.020231 7 2010/1/12 0.004236 2010/1/13 -0.00934 0.001205 0.025958 0.013889 0.029595 0.008523 -0.00079 -0.004096 -0.004499 8 9 2010/1/14 -0.009428 -0.017088 -0.012248 -0.010201 -0.019209 2010/1/15 0.009211 0.024241 0.00908 0.019761 0.017051 2010/1/18 -0.005172 0.004303 0.005272 0.008631 -0.006797 2010/1/19 -0.020489 -0.016187 -0.023738 -0.019051 -0.007755 2010/1/20 0.013113 -0.001418 -0.016237 -0.013825 -0.005287 2010/1/21 -0.000616 -0.018703 -0.000862 -0.008178 -0.010862 2010/1/22 -0.006167 0.009158 0.008917 0.014303 0.001869 -0.002566 -0.009788 -0.002799 2010/1/25 -0.010549 -0.015539 2010/1/26 -0.005958 -0.020398 -0.014047 -0.031999 0.002105 0.0014 0.001875 -0.026803 0.00839 2010/1/27 0.007256 -0.008924 -0.005798 -0.018519 2010/1/28 -0.003758 0.003252 2010/1/29 -0.000314 -0.000499 0.016507 -0.000906 -0.004522 2010/2/1 0.001258 0.010476 0.009244 0.001088 -0.033434 2010/2/2 0.004397 0.000247 -0.007012 -0.025362 -0.005044 2010/2/3 0.007484 0.003405 0.009697 2010/2/4 -0.010044 -0.005429 -0.032776 -0.019145 2010/2/5 0.009159 -0.00794 -0.002616 -0.009475 2010/2/8 0.013784 0.022011 0.012481 0.02908 2010/2/9 0.002472 0.007097 0.002215 0.026771 2010/2/10 -0.001541 0.009235 0.009674 0.023357 0.008323 0.032507 0.03027 0.051486 0.027358 0.015392 0.010782 0.012956 0.025941 0.009504 2010/2/11 0.048472 2010/2/12 -0.008539 2010/2/22 0.004158 0.000711 0.006807 0.016706 0.006835 2010/2/23 -0.00686 0.01114 -0.004937 0.018371 0.002809 2010/2/24 0.003303 0.012189 0.006273 0.003744 0.011502 2010/2/25 0.014656 0.004993 0.011205 0.044585 0.005937 2010/2/20 -0.012684 -0.018182 -0.002861 -0.017171 0.009915 2010/3/1 -0.006274 -0.003848 0.014345 -0.005158 0.008584 2010/3/2 0.012928 -0.00169 0.003546 -0.000167 -0.00457 2010/3/3 -0.00653 -0.008222 -0.005438 -0.004517 0.008960 P1 Hint. Project2 Project3 E rb 0 F E WWW 0 E G Project4 View EE H I Tell me ab, Wrap Text Merge & Center Daily Return small J K : General [0% 9 L Daily Return_large M + 5009 N Conditional Format) Cell Formatting as Table Styles 0 P V Q R Insert v Delete v Format S T E Su N Du 47 U E V Sort & Filter Share Find & Select V W Comments KLD) m Analyze Data + X 100% Y Y 1 ... AutoSave OFF ADO.... Home Insert Draw Page Layout B1 1 2 2 Paste 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 V X Lia- p A datetime Calibri (Body) OF B 1 X fx CF B Project1 Ready SP 0 C By # D TA D 11 Formulas Data Review A A ci Av al 0 E 20 0 F E WWW = C 0 0 View EE cu H Tell me 0 1 Wrap Text v Merge & Center w m 0 1 P 0 General [0% 9 K 2010/1/5 0.034943 0.005915 0.011528 0.010009 0.028698 0.000548 0.010202 0.041029 3 4 5 7 8 9 0.0117 0.010348 0.01122 0.048953 0.011921 0.012156 0.012012 2010/1/6 -0.024954 -0.035594 -0.031634 -0.043162 -0.016297 -0.009922 -0.028508 -0.033712 -0.030935 -0.040734 -0.033175 -0.010413 -0.01943 -0.033251 -0.038521 2010/1/7 0.006552 -0.029944 0.007801 0.009022 0.029701 0.015823 0.019672 0.005085 0.005376 0.006187 0.000446 0.018066 -0.004624 0.002293 0.002316 2010/1/8 0.003254 -0.000179 -0.007741 0.013691 -0.00504 -0.006231 -0.009485 -0.000806 -0.011698 -0.015651 0.001782 0.007605 -0.009954 -0.018302 -0.006932 6 2010/1/11 -0.025351 -0.007719 -0.013896 -0.049063 -0.026535 -0.014107 -0.037981 -0.05004 -0.029422 -0.037763 -0.020231 -0.027869 -0.022788 -0.031072 -0.046999 2010/1/12 0.004236 -0.02026 0.025958 0.026667 0.013889 0.00371 0.029695 0.01147 0.007666 0.014459 0.008623 0.033446 0 0.011758 0.019531 2010/1/13 -0.00934 0.008853 0.001205 -0.001976 -0.00079 -0.000528 -0.004095 0.0063 -0.004495 0.002618. -0.004499 -0.019071 0.008317 -0.00317 -0.010057 2010/1/14) -0.009428 -0.01336 -0.017088 -0.010467 -0.012248 0.000528 0.010201 -0.017529 0.009378 -0.015086 -0.019209 -0.031815 -0.017766 -0.017488 -0.013304 10 2010/1/15 0.009211 0.012428 0.024241 0.011721 0.00908 0.002112 0.019761 0.020391 0.003097 0.013255 0.017051 0.018053 0.011628 0.012575 0.011522 11 2010/1/18 -0.005172 0.014291 0.004303 0.000283 0.005272 -0.001581 0.008631 0.008743 -0.003774 -0.003198 -0.006797 0.015939 -0.00447 -0.003462 0.023752 12 2010/1/19 -0.020489 -0.007587 -0.016187 -0.018362 -0.023738 -0.002639 -0.019051 0.007016 -0.01343 -0.022164 -0.007755 -0.010198 -0.007056 -0.017103 -0.028136 13 2010/1/20 0.013113 0.030033 -0.001418 -0.006266 -0.016237 0.000529 -0.013825 0.003279 0.003839 0.012228 -0.005287 -0.007133 -0.002584 0.006525 -0.011339 14 2010/1/21 -0.000616 -0.008659 -0.018703 -0.012611 -0.000862 -0.009519 -0.008178 -0.019199 -0.002782 0.002357 -0.010862 -0.026342 0.005673 -0.028062 15 2010/1/22 -0.006167 0.010339 0.009168 0.008999 0.008917 -0.003203 0.014303 0.001249 -0.000349 0.004409 0.001869 0.018651 0.001295 -0.002686 0.00477 16 2010/1/25 -0.010549 -0.001941 -0.015539 -0.011507 -0.007566 -0.004285 -0.009788 -0.019135 -0.003488 -0.012584 -0.002799 -0.025956 -0.012937 -0.007541 -0.022489 17 2010/1/26 -0.005958 -0.028637 -0.020398 -0.02537 -0.014047 -0.007152 -0.031999 -0.03011 -0.011551 -0.008002 0.002105 -0.030159 -0.017038 -0.004347 -0.03911 18 2010/1/27 0.007256 -0.012557 -0.008924 -0.030457 -0.005718 -0.004313 -0.018519 0.004373 -0.004249 0.005079 0.0014 -0.007455 -0.017 -0.000273 -0.031125 2010/1/28 -0.003758 0.003317 0.003252 0.002464 0.001875 0.002165 -0.026808 -0.001306 -0.015647 -0.009215 0.00839 -0.008584 -0.006073 -0.00527 -0.026085 2010/1/29 -0.000314 -0.001837 -0.000499 0.003587 0.016507 -0.001621 -0.000905 0.005231 -0.014812 -0.007501 -0.004622 0.010606 -0.003394 -0.007582 -0.002537 2010/2/1 0.001258 0.023555 0.010476 0.01255 0.009244 0.006494 0.001088 -0.00954 -0.0022 0.006953 -0.033434 -0.000643 0.002725 0.007188 -0.009327 2010/2/2 0.004397 0.00036 0.000247 -0.01058 -0.007012 -0.005376 -0.025362 -0.003508 -0.008453 -0.003603 -0.005044 -0.008787 0.008152 -0.006039 -0.00485 2010/2/3 2010/2/4 -0.010044 -0.014558 -0.005429 -0.001528 0.032776 0.000541 -0.019145 -0.003515 0.019274 0.017776 -0.007484 -0.038703 -0.008086 0.013532 -0.007167 2010/2/5 0.009159 0.010943 -0.00794 -0.003366 0.002516 -0.00108 -0.009475 0.002646 0.001818 0.003848 0.003405 -0.015744 0.009511 0.005177 -0.008374 2010/2/8 0.013784 0.006495 0.022011 0.01658 0.012481 -0.000541 0.02908 0.01803 -0.001089 -0.00059 0.009697 0.032221 0.006057 0.001355 0.023005 2010/2/9 0.002472 0.039075 0.007097 0.006342 0.002215 0.006494 0.026771 0.012095 0.005451 0.008852 0.009604 0.042285 0.007358 0.004331 0.015087 2010/2/10 -0.001541 0.008798 0.009235 0.007803 0.009574 0.002151 0.023357 -0.002134 0.003253 0.004972 0.008323 0.018904 0.001992 -0.00027 0.027482 2010/2/11 0.048472 0.014354 0.032507 0.020548 0.03027 0.005388 0.051485 0.033362 0.009006 0.012934 0.027358 0.046904 0.025182 0.009706 0.044487 2010/2/12 -0.008539 0.045853 -0.015392 0.006128 0.010782 0.001072 0.012955 0.002483 0.008925 0.009286 0.025941 0.018319 -0.005818 0.005874 0.020904 2010/2/22 0.004158 0.011837 0.000711 0.009982 0.006807 0.002677 0.016705 0.000415 0.010616 D 0.006835 0.005882 0.002601 0.003451 -0.019215 2010/2/23 -0.00686 0.014318 0.01114 0.002966 0.004937 0.001602 0.018371 0.005642 0.0007 0.006038 0.002809 0.019359 0.003259 0.008791 0.00898 2010/2/24 0.003303 -0.008779 0.012189 0.004687 0.006273 0.002132 0.003744 0.019381 0.011547 -0.012289 -0.011502 0.015826 0.009747 0.012575 0.012286 2010/2/25 0.014656 0.007458 0.004983 0.0103 0.011205 0.001068 0.044585 0.010093 0.007788 0.008102 0.005937 0.016884 0.001312 0.009093 D.028664 2010/2/26 -0.012684 -0.016894 -0.018182 -0.011943 0.002961 0.000534 0.017171 0.012073 0.001405 -0.00775 -0.009915 -0.035185 0.01114 -0.009011 0.01735 2010/3/1 -0.006274 0.000701 -0.003848 -0.005896 0.014845 -0.000533 -0.005158 -0.014328 0.003166 0.00405 -0.008584 0.018034 0.000663 0.005-984 0.021402 2010/3/2 0.012928 -0.008236 0.00169 0.001779 0.003546 -0.002668 -0.000167 0.00342 0.005646 0.002593 -0.00457 0.005159 0.003316 0.001064 0.003827 2010/3/3 -0.00653 -0.00477 -0.008222 0.005438 -0.00535 -0.004517 0.017469 -0.019517 0.012059 -0.008956 -0.020735 -0.015202 -0.012483 -0.000545 P1 Hint Project2 Project3 Project4 Daily Return_small Daily Return_large. + 0 rb D L D ru M 03 V 0 Conditional Format Cell Formatting as Table Styles N 0 0 0 201 0 P 0 Insert v Delete Format Q m K WBO E S E v Share Sort & Find & Filter Select T U Comments KLD) M Analyze Data V 1 + 100% T W 1