HISTORICALRISK

Estimate expected risk, correlation matrix, or covariance matrix for assets using historical data.

Description

The following risk model estimates covariances based on equally-weighted historical observations.

Syntax

The following describes the function signature for use in Microsoft Excel's formula bar.

=HISTORICALRISK(type, assetReturns, dataPeriodicity)

Input(s)

Argument	Description
type	Required. Enumeration string to specify calculation type: "risk", "sigma", or "stdev" "correlation", "corr", or "rho", "covariance", "covar", or "cov"
assetReturns	Required. Time series or matrix of asset returns.
dataPeriodicity	Optional. Periodicity of the data, used for annualization. If you do not enter the argument, it defaults to 1. e.g. Daily = 255, Monthly = 12, Yearly = 1, Quarterly = 4.

Output(s)

Depending on the specified output type, the function will return the respective vector of risk estimates (annualized standard deviations), correlation matrix, or a covariance matrix.

Example

60KB

HISTORICALRISK.xlsx

Open

Example Workbook: HISTORICALRISK