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Portfolio Risk Metrics – EXCEL

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Product Details
Course Type: EXCEL download
Files Included: 1 worksheet

About the Course

The course consists of an EXCEL file that presents examples of the calculation of various portfolio risk metrics. These include holding period return, beta with respect to market indices, Jensen’s alpha (including the test of significance for alpha), Sharpe ratio, Treynor ratio, Value at Risk (Simple Moving Average Example), put premium, correlation coefficient (including significance testing and rules of thumb analysis), portfolio volatility and volatility trend analysis.

Learning Objectives

After taking this course you will be able to:

  • Compute holding period return
  • Calculate beta with respect to market indices
  • Calculate Jensen’s alpha
  • Significance test Jensen’s alpha
  • Calculate Sharpe ratio
  • Calculate Treynor ratio
  • Calculate VaR using the simple moving average variance covariance approach
  • Calculate put premium in relation to the conditional expectation of loss beyond the worst case loss
  • Calculate correlation coefficient
  • Use the rules of thumb to analyse correlation coefficient results
  • Significance test correlation coefficient
  • Compute portfolio volatility
  • Graph a volatility trend line for a given instrument over a period of time


Familiarity with basic mathematics, statistics, probability and EXCEL and some knowledge of markets.

Target Audience

The course is targeted towards basic and intermediate users and is aimed primarily at individuals responsible for market risk management within banks, insurance companies, mutual funds, as well as finance departments of non-financial organizations.

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