👨💼 Freelance Financial Modeling Services: ► Custom financial modeling solutions tailored for your needs: ryanoconnellfinance.com/freelance-finance-services/ 💾 Download the file created in this video free here: ryanoconnellfinance.com/product/investment-performance-evaluation-excel-file/
Thank you so much Ryan for share it. Every day there's something new to learn. Regarding to the negative results in Jensen Alpha; the stock would be underperformance compare to the market? In other subject, I would like to see a video about; How many stocks are required to obtain a diversified portfolio. Thanks again.
Thanks for the feedback William! Yes, a negative Jensen's alpha would suggest that the stock underperformed. That is a really good video idea and I'll look into making that in the future. Thank you for the suggestion
Thanks a lot! Can we do the same for the portfolio consisting of different asset classes (eg. stocks, bonds, gold)? I've tried it and because of low beta I get a high alpha value, but Sharpe ratio for portfolio is lower than for index.
Yes, you absolutely can use this for a portfolio of multiple asset classes and that is actually the common way it is used in the industry! I'll likely revisit this video in the future and make a more complicated version
Hello, I did myself the whole excel sheet but using the monthly returns, and by averaging the monthly returns in order to put it as an annual return. In the calculation of the st dev, instead of putting the 252 trading days, what should i put ? Thanks for your help and the great video :)
Hello brother Ryan. Thank you for this wonderful video. Can we take four different equity stocks of same sector i.e. banking sector, information technology sector or steel sector ?
Hi Ryan. Thank you so much for this. I have a question instead of doing calculating the annual return and standard deviation separately, couldn’t you just run a regression analysis and descriptive statistics on the data analysis tool to get the same values?
Hey Marcus, one thing I love about excel is how many different ways there are to do the same thing. You could likely descriptive statistics to come up with the same values
Fantastic video, For the stock price for a company when I look on Yahoo Finance, do you take the 'Open stock price', 'Close stock price', 'low', ''high' or 'adjusted close' stock price for the company to use for the analysis? Many thanks in advance:)
Thanks Thomas! Adjusted close price is definitely the best as it takes into account both dividends and stock splits to make historical returns more comprehensive
Hello, for the calculation of beta shouldn't you use the excess S&P return and excess stock return? Meaning, having to deduct the risk free rate before calculating the regression?
Hello Andre. The standard calculation of Beta in the capital asset pricing model (CAPM) does involve using excess returns, meaning the return of the stock and the market return above the risk-free rate. This is to account for the inherent opportunity cost of investing, as any investment should ideally return more than the risk-free rate (the return you'd get from a theoretically "riskless" investment like government bonds). However, in practice, many calculations of Beta use raw returns rather than excess returns, especially in educational contexts or for simplicity. The difference between these methods can sometimes be negligible, particularly in low interest rate environments where the risk-free rate is close to zero. But, to be more precise, the use of excess returns can provide a more accurate reflection of the stock's systematic risk, or beta, relative to the market benchmark. This is because it better isolates the impact of market-wide risks on the stock's returns, separate from the baseline return you could get from a risk-free investment.
@@RyanOConnellCFA Thank you very much for your quick feedback! My follow-up question would be if in that case, since we're already considering the risk-free rate for the CAPM parameters, should we use this beta when calculating the Sharpe/Treynor/Jensen's alpha? Wouldn't we be subtracting the risk-free rate twice? Many thanks!
@@bestofdevil Great question! While both Beta and Sharpe/Treynor/Jensen's alpha use the risk-free rate, they serve different purposes. Beta measures stock sensitivity to market changes using excess return, while the other metrics adjust returns for risk. The risk-free rate isn't double-counted - it isolates market-wide risks for Beta and benchmarks risk-adjusted performance for the ratios. They are distinct but complimentary tools in finance. So, I think you can use Beta based on excess returns in these calculations
Thank you so much Ryan for share it. Every day there's something new to learn. Regarding to the negative results in Jensen Alpha; the stock would be underperformance compare to the market? In other subject, I would like to see a video about; How many stocks are required to obtain a diversified portfolio. Thanks again.
Thanks for the feedback William! Yes, a negative Jensen's alpha would suggest that the stock underperformed. That is a really good video idea and I'll look into making that in the future. Thank you for the suggestion
👨💼 Freelance Financial Modeling Services:
► Custom financial modeling solutions tailored for your needs: ryanoconnellfinance.com/freelance-finance-services/
💾 Download the file created in this video free here: ryanoconnellfinance.com/product/investment-performance-evaluation-excel-file/
Hey Ryan! Thanks for the video. Why don’t we use log returns here to compute daily returns?
Thank you so much Ryan for share it. Every day there's something new to learn. Regarding to the negative results in Jensen Alpha; the stock would be underperformance compare to the market? In other subject, I would like to see a video about; How many stocks are required to obtain a diversified portfolio. Thanks again.
Thanks for the feedback William! Yes, a negative Jensen's alpha would suggest that the stock underperformed. That is a really good video idea and I'll look into making that in the future. Thank you for the suggestion
I finally found it! Thank you 😊
It is my pleasure!
Thanks a lot! Can we do the same for the portfolio consisting of different asset classes (eg. stocks, bonds, gold)? I've tried it and because of low beta I get a high alpha value, but Sharpe ratio for portfolio is lower than for index.
Yes, you absolutely can use this for a portfolio of multiple asset classes and that is actually the common way it is used in the industry! I'll likely revisit this video in the future and make a more complicated version
Thanks a lot. I was struggling to do this. God bless
My pleasure! Glad to see this solved your problem
Hello,
I did myself the whole excel sheet but using the monthly returns, and by averaging the monthly returns in order to put it as an annual return.
In the calculation of the st dev, instead of putting the 252 trading days, what should i put ?
Thanks for your help and the great video :)
Hello brother Ryan. Thank you for this wonderful video. Can we take four different equity stocks of same sector i.e. banking sector, information technology sector or steel sector ?
Hi Ryan. Thank you so much for this. I have a question instead of doing calculating the annual return and standard deviation separately, couldn’t you just run a regression analysis and descriptive statistics on the data analysis tool to get the same values?
Hey Marcus, one thing I love about excel is how many different ways there are to do the same thing. You could likely descriptive statistics to come up with the same values
Thanks alot brother. It will be very useful for my research paper from 🇮🇳 ❤
Hi bro can you help me how to calculate mutual funds
Fantastic video, For the stock price for a company when I look on Yahoo Finance, do you take the 'Open stock price', 'Close stock price', 'low', ''high' or 'adjusted close' stock price for the company to use for the analysis? Many thanks in advance:)
Thanks Thomas! Adjusted close price is definitely the best as it takes into account both dividends and stock splits to make historical returns more comprehensive
Hello, for the calculation of beta shouldn't you use the excess S&P return and excess stock return? Meaning, having to deduct the risk free rate before calculating the regression?
Hello Andre. The standard calculation of Beta in the capital asset pricing model (CAPM) does involve using excess returns, meaning the return of the stock and the market return above the risk-free rate. This is to account for the inherent opportunity cost of investing, as any investment should ideally return more than the risk-free rate (the return you'd get from a theoretically "riskless" investment like government bonds).
However, in practice, many calculations of Beta use raw returns rather than excess returns, especially in educational contexts or for simplicity. The difference between these methods can sometimes be negligible, particularly in low interest rate environments where the risk-free rate is close to zero.
But, to be more precise, the use of excess returns can provide a more accurate reflection of the stock's systematic risk, or beta, relative to the market benchmark. This is because it better isolates the impact of market-wide risks on the stock's returns, separate from the baseline return you could get from a risk-free investment.
@@RyanOConnellCFA Thank you very much for your quick feedback! My follow-up question would be if in that case, since we're already considering the risk-free rate for the CAPM parameters, should we use this beta when calculating the Sharpe/Treynor/Jensen's alpha? Wouldn't we be subtracting the risk-free rate twice? Many thanks!
@@bestofdevil Great question! While both Beta and Sharpe/Treynor/Jensen's alpha use the risk-free rate, they serve different purposes. Beta measures stock sensitivity to market changes using excess return, while the other metrics adjust returns for risk. The risk-free rate isn't double-counted - it isolates market-wide risks for Beta and benchmarks risk-adjusted performance for the ratios. They are distinct but complimentary tools in finance. So, I think you can use Beta based on excess returns in these calculations
Can you please please please tell me how to calculate intel price please
Hello, I plan to cover the concepts of equity valuation in much greater depth in the future on this channel!
Thanks
Thank you so much Ryan for share it. Every day there's something new to learn. Regarding to the negative results in Jensen Alpha; the stock would be underperformance compare to the market? In other subject, I would like to see a video about; How many stocks are required to obtain a diversified portfolio. Thanks again.
Thanks for the feedback William! Yes, a negative Jensen's alpha would suggest that the stock underperformed. That is a really good video idea and I'll look into making that in the future. Thank you for the suggestion
@@RyanOConnellCFA Thank you Ryan for the answer. I will be pending to the future video.
@@williamrivera162 Sounds great William!