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Portfolio Analysis & Design
Complementary Utility Applications

Utility Applications

Two utility applications -- application tools of limited scope which are complementary to the other portfolio analysis and design applications -- are available for download.

Volatility, Beta and Correlation Calculator

VBC CalculatorThis application downloads data for multiple assets from Yahoo Finance (or imports price histories from a file).  Assets with incomplete/short price histories are highlighted, as are other potential issues with the data (eg missing prices; abnormally large jumps or falls from one day to the next).

Volatilities, betas and correlations are then calculated using the sophisticated Stambaugh model, which utilizes all historical data without truncating price histories to match the asset with the shortest price history.

This utility greatly simplifies the identification of potential data problems, and enables the preparation of inputs to other applications such as the Portfolio Optimizer, Portfolio Simulator, and the VaR Simulator, without discarding valuable data when price histories differ in length .
 

S&P500 Returns Analyzer

Market Returns AnalyzerThis application downloads (from the Robert Shiller web site) and analyses US S&P500 returns data from 1871 to the present.  Two sets of S&P500 performance analyses are produced: one for the entire dataset, and the other for selectable sub-periods.

The analysis includes returns (dividends reinvested, nominal and real, arithmetic and geometric), dividend yields, volatilities and standard deviations.  Results are shown for all 30 year, 20 year and 10 year periods since 1871 and for every combination of 1, 2, 5, 10, 20, and 30 year holding periods.  Measures include maximum/minimum, average, percentile rankings of returns, and more.

The results from the analyzer using the full dataset broadly lend support to the key themes in the book "Stocks for the Long Run" by  Jeremy J Siegel, namely:

bullet Over the long run the real (ie after adjustment for inflation) geometric (ie compounding) return for US equities has been 6.7% - 6.9%pa
 
bullet As the holding period for equities increases the standard deviation of returns declines significantly faster than predicted by the random walk hypothesis.  This provides fairly strong support for mean reversion in equity returns -- that equities are less risky than expected for long holding periods.

These broad findings, however, conceal considerable variations in US equity performance over time and for different holding periods and the S&P500 Returns Analyzer can provide an insight into this.

 

Software Environment

For detailed systems requirements, including supported versions of Windows and Excel see systems requirements.

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Download the Complementary Utility Applications

The Utility Applications are available for download (they are included with the Portfolio Optimizer and other portfolio analysis and design applications) to users who have purchased the Hoadley Finance Add-in for Excel and are still within their one year free download period.

Register and download