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Portfolio Analysis

Welcome to the FTS Portfolio Returns and Efficient Portfolio Module. This module lets you construct portfolios and analyze their risk and return properties using real world data sets.

To get started you can either i. link to your current course dataset, ii. read in your own Smart Excel workbook or iii. work with the traditional workbook.  If you are using iii. it is easy to convert your workbook into a smart workbook.

If i. click on the Data menu item at the top and follow online instructions.

If ii. first open Excel with your Workbook and then click on FindExcel Worksheets. If you have saved it as a smart workbook (see the Help menu item to read how to save intial settings) you can click OK and proceed to DataAnalysis or Portfolios.

If iii. you will need to manually enter the information into the text boxes/drop downs that are above the initialize button.

How Do I Use this Module?

Portfolio analysis starts with historical data.  You can input data in either prices or returns.  The module then lets you apply portfolio statistics to build and test your portfolio using this data.  The following three steps will let you see how.

Aside: Input Data Conventions:  You first set up your data for this module in an Excel Spreadsheet (see step 1 below).  The unit of measure for the data must be of the same across all markets.  That is, if weekly price data is used and you want to include an index and risk free rate data, then this too must be expressed in terms of weekly data.  For example, suppose your risk free rate data is 5% for week x, you would need to divide this by 5200 so that 0.000962 is recorded in the appropriate spreadsheet cell.

The module assumes complete data.  The user is responsible for correcting all cells that have missing data in the spreadsheet before linking to the module.  The spreadsheet link makes this simple because it lets you apply the convention of your choice directly in Excel (e.g., use the previous observation, interpolate between previous and next observations etc.,).

Step 1:  You can work through the Fast Start to Portfolio Analysis using the data provided.  This illustrates for a set of country index funds denominated in USD and traded on the Amex Exchange, how to apply modern portfolio theory to solve real world portfolio management problems.

Step 2:  Getting data from the web by clicking on the hypertext.

Step 3:  Work through how do I use the portfolio management modules by clicking on the hypertext.

Markowitz Diversification Lesson:  For a comprehensive lesson on how to apply this module click on Markowitz Diversification now.  Otherwise continue for a summarized overview.

OS Financial Trading System, PO Box 11356, Pittsburgh, PA 15238 USA, Phone 1-800-967-9897, Fax 1-412-967-5958, Email fts@ftsweb.com,