I have tried to compute Downside Risk by using a different way. I will be thankful to you if you can share your feedback on my video. Thanks ru-vid.com/video/%D0%B2%D0%B8%D0%B4%D0%B5%D0%BE-y980Jl_dgvs.html
Hi, in the additional column of downside, the formula that you wrote is if the value of Rp is less than the average of the whole Rp than place it as value otherwise make it blank. My question is blank means zero? since i cannot find any covariance matrix from this downside. Thank you.
Hiya, are the portfolio returns excess return (i.e. minus Rf)? Why not then consider only the actual negative returns? If they are above rf but below the avrg you don't want them to consider in the downside risk?!
I have tried to compute Downside Risk by using a different way. I will be thankful to you if you can share your feedback on my video. Thanks ru-vid.com/video/%D0%B2%D0%B8%D0%B4%D0%B5%D0%BE-y980Jl_dgvs.html
I have tried to compute Downside Risk by using a different way. I will be thankful to you if you can share your feedback on my video. Thanks ru-vid.com/video/%D0%B2%D0%B8%D0%B4%D0%B5%D0%BE-y980Jl_dgvs.html
Thank you for this useful information, it helped me a lot to learn excel. But excel's formula for the standard deviation calculate automatically the mean of the cells you picked. But the downside risk is calculated with the mean of all the data so it won't give the same answer when you manually do it. The gaps won't be the same 'cause the mean aren't the same. Am i wrong? 'Cause when i do it by hand it doesn't give me the same answer and it's the only explanation i've found.
I have tried to compute Downside Risk by using a different way. I will be thankful to you if you can share your feedback on my video. Thanks ru-vid.com/video/%D0%B2%D0%B8%D0%B4%D0%B5%D0%BE-y980Jl_dgvs.html
Hi, I believe your downside side risk calculation is wrong: in column 'G', you should have calculated the sum of the squared negative differences of the monthly returns with the mean return of the portfolio and then, take the square root of the result in order to properly calculate the downside risk of the portfolio. Instead, you only took the std deviation of the monthly returns below the average; which does not mean anything.
You are correct. What he did was to indirectly create a new "mean" for the "below mean dataset" and calculated standard deviation around that "new mean" which was unfortunately wrong. Your method matches with what illustrates in CFA guide. I hope that someone spot your message.
I have tried to compute Downside Risk by using a different way. I will be thankful to you if you can share your feedback on my video. Thanks ru-vid.com/video/%D0%B2%D0%B8%D0%B4%D0%B5%D0%BE-y980Jl_dgvs.html
@@haovan1674 I have tried to compute Downside Risk by using a different way. I will be thankful to you if you can share your feedback on my video. Thanks ru-vid.com/video/%D0%B2%D0%B8%D0%B4%D0%B5%D0%BE-y980Jl_dgvs.html