How To Calculate Variance Covariance Matrix? |
How To Calculate Variance Covariance Matrix? - Excel |
|
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!
Similar Topics
Here is the example.
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 ? ? ? ? ? ? ? ? ? ? ? ?
So, in Month of Jan2011 the Closing stock is 1270, need a formula to calculate how many weeks will this stock cover look at future forecast.
I have two columns of data: column A contains the date and time in the form dd/mm/yyyy. Column B contains a number value. All the times are in order, so column A looks like:
01/01/2007
02/01/2007
03/01/2007
I have data from 2007 to 2010. I need to calculate an average daily value (in column B) for each month, and display it in column C. So, for January, I need to calculate the average of 31 days, February, 28 days, etc.
Is there a function I can use to do this? I've been trying the AVERAGEIF formula but can't get it to work. Any ideas would be much appreciated!
Many thanks,
Caitlin
I can calculate the formula for this , but the problem comes where for eg there is a loss in Jan 2008 for -95415 and there was a profit in Jan 2007 for 80215. How do I set up formula to take negatives & positives into account in calculating the increase or decrease/
Your assistance or anybody's on the forum will be greatly appreciated
Regards
Howard
http://www.mrexcel.com/forum/showthr...ghlight=howardneed
There is about 20 staffs in our department and I have made a spreadsheet with 12 tabs for each month of the year Jan-Dec. If each staff have 15 days annual leave each year and how can I make a formular that can automatically calculate the balance of annual leave and entered in the tabs of the following months. For example if staff A used 5 days in Jan how can the balance of 10days be entered in the tabs from Feb-Dec. If he use another 5 days in July the remain balance of 5 days be automatically entered in the tab from Aug to Dec. Likewise if staff A took 2 days sick leave in Jan, and 2 days in Mar how can this sick days be automatically sum up in the months after. I am doing this manually at the moment and it is very time consuming and also very easy to make mistake.
Thanks and sorry for this long questions
can calculate overtime hours. In california over 8 hrs in one day is
overtime. The 8 would be considered regular hours and anything over is OT.
Received Date & Time: 10/29/2010 3:27:00 PM
Completed Date & Time: 11/1/2010 3:57:32 AM
Business Hours: 08:00 AM to 05:00 PM
Non Business hours: 05:00 PM to 08:00 AM
Weekdays : Monday to Friday
Weekends: Saturday & Sunday
If I calculate TAT for this time period it should show me 1 hour 33 minutes, why because business hours are closing by 5:00 PM on 10/29 so it should not calculate duration after 5:00 PM to until 08:00 AM on next day, however 10/29 is Friday so formula should calculate the duration from 10/29 Friday 3:37 PM to 10/29 5:00 PM and again it should calculate from 8:00 AM on 11/01 Monday and formula should skip Saturday & Sunday.
In this scenario I have completed the task before 8:00 AM on 11/01 so it should show duration of 1hour 33 minutes.
Please let me know if you need any more details
triangle. I copied it to create a new data set and used find &
replace to change the worksheet references to the new ones.
The cells still contain the result of the old formula referring to the
previous worksheets. The only way I can get the formula to return the
correct result is to edit (F2) each cell and press enter. Calc now
(F9) does nothing.
I've seen this before, but this time, I need to calculate many
thousands of cells and don't have time for this workaround.
Any ideas?
Thanks.
Don S
=DATEDIF(E21,TODAY(),"y")&" y "&DATEDIF(E21,TODAY(),"ym")&" m"
Thanks
Rick
date range that was provided, and to return Early, Late or Ok accordingly.
I am trying to calculate our On Time Delivery. I want this as a simple percentage of jobs. I have got this running in the following way:
Column M - Estimated Delivery dates
Column N - Actual Delivery dates
Column O - =IF(SUM(M2-N2)>0,1,0)
Then I have calculated On Time Delivery as: =SUM((SUM(O2:O252))/(COUNTA(N2:N252)))
This seems to work fine. My problem is, if we enter a date in Estimated without a corresponding Actual date, the formula for Column O fills out anyway and improves our On Time Delivery Percentage. How can I set this up so that the formula doesn't calculate if there is no data in Column N?
Any help much appreciated
Thanks,
James
The Geomean function doesn't work because it only uses positive numbers.
Any help would be greatly appreciated.
difference where the times cross midnight. Example:
Start time: 23:50:00
End time: 00:15:00
How would you formulate an equation to determine the duration of time or
differnce between the start and end time?
Cells accept hours over 23,
Adding cells in column returns correct total time.
Have not found a way to multiply these cells by a $ hourly rate.
So use HOUR(cell ref) and MINUTE(cell ref) to capture values in referenced
cell - then use these values to calculate total payment for $rate per hour.
However, the HOUR(cell ref) formula returns the hours in excess of 24 when
the cell contains an hour value in excess of 23 (ie 27 hours returns 3).
Can you please help me,
A1= time in
B1= time out
C1= time in
D1= time out
I want to calculate the late and under time,
Office start at 9:am w/30 mins Grace period,
The break time is one hour only, please include over breaktime in calculation.
End of office hours 6:00 pm, strickly no over time
This is what I have so far (hire date is in column B):
=((TODAY()-B4)/365)&" YEARS"
This function gives me a number with many decimal places.
I tried:
=ROUNDDOWN((TODAY()-B4)/365),0)&" YEARS"
It tells me I have too few arguments. Please help!
I'd like to do this in Excel, but I can't figure out how to have a randomly generating non-repeating macro with text values in cells.
So right now I have a column of 8 values and need matrix of 7 columns by 8 rows next to it.
I've found this thread that has one for numbers, but I can't figure out how to do it for text values...
http://www.excelforum.com/excel-prog...m-numbers.html
Thanks all!
Cost = B1
Margin = C1
I know to calculate Margin its' C1=1-(B1/A1) and to calculate Sale its, A1=B1/(1-C1), and I can do that in separate columns. But...... I'm tasked with trying to find a way so that I can do it in three columns. As in if I change cost then margin recalculates or if I change margin then sale recalculates. I'm thinking that this is going to cause a circular error but my boss says there's got to be a way to do it, figure it out. Any suggestions?
Alex
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.
If the numbers are all positive, it's fine as it's simply a case of A - B = C which is your difference. However, that doesn't work if B is negative.
I need a formula that would give the following:
First Number / Second Number / Difference
1 / 5 / 4
1 / -5 / -6
-1 / 5 / 6
-1 / -5 / -4
-5 / -1 / 4
Hopefully there's a simple function I've been missing.
Thanks in advance, R