Description

This Excel spreadsheet calculates the returns statistics of a set of user-defined tickers:

You may use any ticker available in Bloomberg that has historical data:

• Currencies (Curncy)
• Fixed Income (Govt, Corp, Mtge)
• Commodities (Comdty)
• Equities (Equity)

The returns statistics include:

mean, standard deviation, correlation, and beta (correlated standard deviation).

It includes an example of setting up a beta-neutral relative-value portfolio of 2 securities.

The data is pulled from Bloomberg, so you need to have run this on a PC with Bloomberg installed.

Please contact us
if you have requests to customize the spreadsheet.

Requirements:

• Microsoft Excel 2013
• Bloomberg API (for live data refresh)