You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7 Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation
Thank you very much Dear Savva. Could you please optimize CVaR, MAD, Omega, Sortino, Max Drawdown, tracking error and other risk-adjusted performance methods in excel?
Hi Selim, and glad you liked the video! Thanks for the question, yes, it is as easy as using Solver! For example, here I have got a video optimising the Omega ratio: ruclips.net/video/FHk8-3yx3LU/видео.html
How do we work with multiple currencies? For example, if we have a Russian and US asset universe. When and how do we consider currency in the post-modern practitioner framework of portfolio construction/management? s/o from South Africa
Hi Alexandros, and thanks for the excellent question! Generally, you convert all asset prices in your investable universe into one currency, preferably the domestic currency of a portfolio owner.
@@NEDLeducationOK thank you. And if I'm building factor models can I have 2 markets with 2 stochastic risk free rates? I ask because in South Africa we have a tax fee savings account that allows for investment in certain large ETFs. If I want to build factor models, do I choose US/global as the main market or can I have multiple?
really loved the explanation, great job, but a question occured to me (pls let me know if im wrong, maybe i'm misunderstanding something): ur returns are annualized, yet the drawdowns are on a daily basis, thus ulcer index will be a daily metric too... shouldn't you match these periods and multiply ulcer by sqrt(no. of trading days) to make ulcer annual too or something? thanks in advance!
You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7
Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation
Thank you very much Savva for your incredible videos. TNX.
Brilliant presentation with perfect pacing. Love, love, love this channel! Amazing stuff.
Great video! Very well explained. You are a true Guru🙏
Wow great explanation. Greetings from Brazil =)
Great!!!!
Thank you very much Dear Savva. Could you please optimize CVaR, MAD, Omega, Sortino, Max Drawdown, tracking error and other risk-adjusted performance methods in excel?
Hi Selim, and glad you liked the video! Thanks for the question, yes, it is as easy as using Solver! For example, here I have got a video optimising the Omega ratio: ruclips.net/video/FHk8-3yx3LU/видео.html
@@NEDLeducation Thanks.
How do we work with multiple currencies?
For example, if we have a Russian and US asset universe. When and how do we consider currency in the post-modern practitioner framework of portfolio construction/management?
s/o from South Africa
Hi Alexandros, and thanks for the excellent question! Generally, you convert all asset prices in your investable universe into one currency, preferably the domestic currency of a portfolio owner.
@@NEDLeducationOK thank you. And if I'm building factor models can I have 2 markets with 2 stochastic risk free rates?
I ask because in South Africa we have a tax fee savings account that allows for investment in certain large ETFs. If I want to build factor models, do I choose US/global as the main market or can I have multiple?
really loved the explanation, great job, but a question occured to me (pls let me know if im wrong, maybe i'm misunderstanding something):
ur returns are annualized, yet the drawdowns are on a daily basis, thus ulcer index will be a daily metric too... shouldn't you match these periods and multiply ulcer by sqrt(no. of trading days) to make ulcer annual too or something?
thanks in advance!