Excel Lab
  • Excel Lab
  • Release Notes
  • Getting Started
    • Installing Excel Lab
      • Step 1: Download Files
      • Step 2: Register Libraries
      • Step 3: Activate Add-in
      • Step 4: Verify Installation
  • Functions
    • General
      • ISMATRIXPSD
      • MATRIX
      • XLABHELP
      • XLABINFO
      • XLABLICENSE
      • RESETPASSWORD
    • Return Models
      • CAPM
      • DESMOOTHRETURNS
      • IMPLIEDRETURNS
      • MLERETURNS
    • Risk Models
      • ANNUALIZERISK
      • EWMA
      • HISTORICALRISK
      • MLERISK
      • PORTFOLIORISK
      • TURBULENTRISK
      • QUIETRISK
    • Optimization
      • MVO
      • MTO
      • MVT
      • MVFRONTIER
      • MTFRONTIER
      • ISORETURN
    • Simulation
      • MCNORM
      • BOOTSTRAP
    • Exposure to Loss
      • LOSSPR
      • OMEGARATIO
      • SORTINORATIO
      • TAILRATIO
      • VALUEATRISK
      • MAXDD
    • Regression Analysis
      • FACTORANALYSIS
      • PSR
    • Scenario Analysis
      • MAHALANOBIS
      • SCENARIOPR
      • IMPLIEDSCENARIO
  • Frequently Asked Questions
    • Common Issues
    • FAQ
  • Further Reading
  • Windham's Research Insights
  • Watch Our Educational Videos
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On this page
  • 1.1.0.11885 (2025-05-02)
  • Updated
  • 1.0.0.11884 (2023-12-26)
  • Added
  • 1.0.0.11875 (2023-12-01)
  • 1.0.0.11863 (2023-10-09)
  • Updated
  • 1.0.0.11845 (2023-06-27)
  • Updated
  • 1.0.0.11555 (2022-08-05)
  • Added
  • Updated
  • 1.0.0.11271 (2021-11-18)
  • Added
  • 1.0.0.11166 (2021-09-07)
  • Updated
  • 1.0.0.10882 (2021-01-15)
  • Added
  • Updated
  • 1.0.0.10874 (2021-01-11)
  • Updated
  • 1.0.0.10855 (2021-01-01)
  • Added
  • Updated
  • 1.0.0.10853 prerelease (2020-12-30)
  • Added
  • Updated
  • 1.0.0.10752 prerelease (2020-11-13)
  • Added
  • 1.0.0.10746 prerelease (2020-11-11)
  • Added
  • Updated
  • 1.0.0.10720 prerelease (2020-11-03)
  • Added

Release Notes

Change log for communicating new features, fixes, and revisions of Excel Lab.

1.1.0.11885 (2025-05-02)

Spring cleaning season!

Updated

Prerequisites for Matlab runtime updated for version 24.2

1.0.0.11884 (2023-12-26)

Happy holidays! Santa has been busy, new API connection this holiday season.

Added

New licensing server API connection.

  • New licensing API connection.

1.0.0.11875 (2023-12-01)

Preparations for licensing server upgrade support for unlock code feature.

1.0.0.11863 (2023-10-09)

Fixed a gremlin that is fussy on double-precision machine errors.

Updated

1.0.0.11845 (2023-06-27)

Refinements to several existing functions and new runtime framework.

Updated

  • New runtime (9.13).

1.0.0.11555 (2022-08-05)

Added desmoothing returns functionality to Excel Lab.

Added

Updated

  • Improvements to authentication process.

1.0.0.11271 (2021-11-18)

Added

1.0.0.11166 (2021-09-07)

Small improvements to calculator logic and verification.

Updated

1.0.0.10882 (2021-01-15)

It has been an exciting week working with early adopters, we have had very constructive feedback.

Added

Updated

  • Wrapper fix for VERIFYLICENSE.

1.0.0.10874 (2021-01-11)

It has been an exciting week working with early adopters, we have had very constructive feedback.

Updated

1.0.0.10855 (2021-01-01)

Added

Updated

  • Security enhancements in offline license manager.

1.0.0.10853 prerelease (2020-12-30)

Ready for prime time!

Added

Updated

  • Improved licensing verification.

  • Revised matrix orientation and dimensional fixes for iso-curve functions.

1.0.0.10752 prerelease (2020-11-13)

Feature-creep is getting intense!

Added

1.0.0.10746 prerelease (2020-11-11)

Added

  • COVMATRIX an much easier and direct way to compute covariance matrix, with the ability to treat missing data as well.

  • CORRMATRIX you can't have the covariance matrix without some correlation coefficients.

Updated

1.0.0.10720 prerelease (2020-11-03)

Added

PreviousExcel LabNextInstalling Excel Lab

Last updated 9 days ago

now checks and accounts for double-precision differences in the upper and lower triangular corrected matrix, i.e. symmetry is verified.

added specification for covariance matrix as an optional parameter.

improved handling for machine epsilon.

now uses Newton's method by minimizing the Frobenius distance.

using a first-order autoregressive model.

Introducing scenario modification functionality to Excel Lab based on our innovations in .

solve for the implied scenario estimates across economic variables to reconcile with your target probabilities.

Default marshalling between Microsoft Excel and Excel Lab's engine for missing values. This will impact and where users will have to explicitly specify missing values in their workbook's cells as =NA()=\text{NA()}=NA() in the formula bar.

sample from a dataset with replacement with equal or custom probability weights across sample periods. Draw from a univariate or multivariate sample with the option to apply a set of portfolio weights to the multivariate sample.

now also returns general information in cell in addition to a UI dialog.

new optional input arguments, giving you more control.

the threshold parameter is now based from an inliers perspective.

minor refinements to code elegance and speed.

Happy new year

concatenate disjointed vectors (or matrices) quickly and intuitively within Excel.

added an optional free parameter to model fatter tails for calculating scenario probabilities.

solve for multiple optimal portfolios on the efficient frontier.

solve for multiple optimal portfolios to evaluate relative risk.

Sometimes, we have to regress in order to progress

maximum drawdown in Excel - forget your VBA code upkeep!

forget nested MMULT and SUMPRODUCT formulas! Vector math simplified!

added argument to allow the specification for the predictor values for the partial sample regression model. This allows the analyst to specify any set of predictor values to evaluate a response for the dependent variable forecast based. If not specified, as previously implicitly assumed, the most recent observations of the dependent variables are used with the model parameters for forecasting.

Hello world! Lots of coffee and rock music in the background at . The Excel Lab quant library is being tested and worked on extensively by the team. We are getting things ready to bring this exciting tool to your desk.

calculate equilibrium returns

run a reverse optimization

maximum-likelihood return estimates

annualize risk to account for compounding and log-normality

exponential moving average risk model

estimate expected risk from historical data

compute the Mahalanobis distance statistic

maximum-likelihood risk estimates

estimate risk based on statistical outliers

estimate risk based on statistical inliers

multi-goal optimization (mean-variance tracking error)

mean-variance optimization

mean-tracking error optimization

solve for an iso-return efficient frontier (risk vs. tracking error)

run multi-factor OLS and stepwise regression analysis

estimate probability of loss continuously and conventionally

calculate the omega ratio

run partial-sample regressions, a new novel approach to regression analysis

calculate the Sortino ratio

estimate tail ratio from empirical data

estimate value at risk measures continuously and conventionally

check matrix for positive semi-definite (PSD) properties / solve to nearest PSD values

simulate multi-variate normal random values using Monte-Carlo

calculate scenario probabilities implied from empirical data

🎉
😅
ISMATRIXPSD
IMPLIEDRETURNS
PSR
ISMATRIXPSD
DESMOOTHRETURNS
scenario analysis
IMPLIEDSCENARIO
BOOTSTRAP
XLABINFO
QUIETRISK
PSR
MATRIX
MVFRONTIER
MTFRONTIER
MAXDD
PORTFOLIORISK
Windham Labs
CAPM
IMPLIEDRETURNS
MLERETURNS
ANNUALIZERISK
EWMA
HISTORICALRISK
MAHALANOBIS
MLERISK
TURBULENTRISK
QUIETRISK
MVT
MVO
MTO
ISORETURN
FACTORANALYSIS
LOSSPR
OMEGARATIO
PSR
SORTINORATIO
TAILRATIO
VALUEATRISK
ISMATRIXPSD
MCNORM
SCENARIOPR
MLERISK
MLERETURNS
SCENARIOPR
MAHALANOBIS
PSR