## How To Calculate Variance Covariance Matrix? |

## How To Calculate Variance Covariance Matrix? - Excel |
View Answers |

Hi board,

I want to calculate the yearly standard deviation of a portfolio with a few hundred stocks. I plan to first calculate the variance covariance matrix for the portfolio's stocks and then use matrix algebra (like here http://www.fenews.com/fen39/back_to_...n-formulas.htm) to arrive at the porfolio's standard deviation.

I have a large array with stock returns that looks like this:

StockID;Year;Month;Return;Portfolio

123456;1990;1;0.05;1

234567;1990;1;0.06;1

345678;1990;1;0.02;2

...

If there would be 100 different stock IDs, I would like to calculate a 100x100 matrix that contains the covariances of the returns of the stocks of that portfolio for a specific year.

I did some experiments with array formulas like {=cov(if(stockID=...);if(stockID=...))} but that didn't work. I couldn't find any plugins that would help. Any ideas?

Thanks alot in advance!

I want to calculate the yearly standard deviation of a portfolio with a few hundred stocks. I plan to first calculate the variance covariance matrix for the portfolio's stocks and then use matrix algebra (like here http://www.fenews.com/fen39/back_to_...n-formulas.htm) to arrive at the porfolio's standard deviation.

I have a large array with stock returns that looks like this:

StockID;Year;Month;Return;Portfolio

123456;1990;1;0.05;1

234567;1990;1;0.06;1

345678;1990;1;0.02;2

...

If there would be 100 different stock IDs, I would like to calculate a 100x100 matrix that contains the covariances of the returns of the stocks of that portfolio for a specific year.

I did some experiments with array formulas like {=cov(if(stockID=...);if(stockID=...))} but that didn't work. I couldn't find any plugins that would help. Any ideas?

Thanks alot in advance!

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Jan2011 Feb2011 Mar2011 Apr2011 May2011 Jun2011 Jul2011 Aug2011 Sep2011 Oct2011 Nov2011 Dec2011 ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- Product XXXXX Actual/Forecast : 174 1674 574 574 524 524 524 524 524 728 728 728 New Purchases : 0 0 0 0 1002 0 0 0 0 0 0 0 Goods In Transit: 0 1506 0 0 0 0 0 0 0 0 0 0 Other Movements : 0 0 0 0 0 0 0 0 0 0 0 0 Closing Stock : 1270 1102 528 -46 432 -92 -616 -1140 -1664 -2392 -3120 -3848 Week Stock in Hand ? ? ? ? ? ? ? ? ? ? ? ?

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Jan2011 Feb2011 Mar2011 Apr2011 May2011 Jun2011 Jul2011 Aug2011 Sep2011 Oct2011 Nov2011 Dec2011 ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- Product XXXXX Actual/Forecast : 174 1674 574 574 524 524 524 524 524 728 728 728 New Purchases : 0 0 0 0 1002 0 0 0 0 0 0 0 Goods In Transit: 0 1506 0 0 0 0 0 0 0 0 0 0 Other Movements : 0 0 0 0 0 0 0 0 0 0 0 0 Closing Stock : 1270 1102 528 -46 432 -92 -616 -1140 -1664 -2392 -3120 -3848 Week Stock in Hand ? ? ? ? ? ? ? ? ? ? ? ?

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Hello,

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http://www.excelforum.com/excel-prog...m-numbers.html

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Hoping someone can help me quickly as I'm pulling my hair out and have a deadline getting too close.

Been trailing the net and this board but can't work out how to do a simple variance.

How do I work out the difference between two numbers - including negatives.

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1 / 5 / 4

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I need help....I am working production scheduling with Start and End time but there is a lunch time and tea time. Is there any formula to calculate Start time to End time with excluding lunch time?

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I have been banging my head trying to jar loose the formula to calculate man days where 1 equals 8 hours. I have one that was given to me by a coworker:

=INT(Q3/8)+(((Q3/8)-(INT(Q3/8)))*0.8)

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Happy New Year!

~ Brenda ~

I'm working with Excel 2003 sp 3 on Windows xp.

I have been banging my head trying to jar loose the formula to calculate man days where 1 equals 8 hours. I have one that was given to me by a coworker:

=INT(Q3/8)+(((Q3/8)-(INT(Q3/8)))*0.8)

That calculates man days from total hours. I need a formula that will total man days and return the man day answer. Example:

weekending 12/25 = 16.2 which is 16 man days and 2 hours

weekending 1/1 = 24.7 which is 24 man days and 7 hours

Total = 41 man days and 1 hour

I have also been asked if there was a way for a number to be entered into a spreadsheet and automatically put in order without a macro or "pushing a button".

Any advice is greatly appreciated!

Happy New Year!

~ Brenda ~

On my calculator, if I divide 462,534.05 by 335 I get 1,380.70. Then if I times 1,380.70 by 335 I get 462,534.50. Which is what I need it to be because I need to calculate the difference of a figure not dividing equally.

On excel, if I divide 462,534.05 by 335 I get 1,380.70. Then if I times 1,380.70 by 335 I get the SAME result of 462,534.05.

I have to account for the difference of not dividing equally so there is some format or accounting function that's preset that I don't want but I have no idea how to fix it or format my excel sheet to calculate as my calculator would.

Please can someone help? Thanks!

On excel, if I divide 462,534.05 by 335 I get 1,380.70. Then if I times 1,380.70 by 335 I get the SAME result of 462,534.05.

I have to account for the difference of not dividing equally so there is some format or accounting function that's preset that I don't want but I have no idea how to fix it or format my excel sheet to calculate as my calculator would.

Please can someone help? Thanks!