Portfolio Management - Calculation of portfolio standard deviation and beta

[rsomani005]

Has anyone used Alteryx to calculate portfolio standard deviation and beta? Any ideas on how to make these computations given a historical data set.

[mutama]

Hi @rsomani005 ,

Thank you for your reply! Yes, indeed the workflows have been uploaded. However, they are uploaded as .yxmd format - meaning to say, the referenced datasets were not included inside the uploaded attachment.

If you can export the workflow as .yxzp format (and include the referenced datasets used as part of the export) - that'll be great! 🙂 For more info on exporting workflows as yxzp, you may view this post here: https://community.alteryx.com/t5/Alteryx-Designer-Knowledge-Base/Export-Workflows-with-Attachments-A...

Thanks so much!

Best,

MU

[rsomani005]

Here you go. Attaching the workflows in .yxzp. I made these workflows some time ago but as far as I remember, the data from the Weekly stock price workflow will download the stock price data from Quandl. In order to run the first workflow, you will need to register and get an API key from Quandl. 

Once you get the weekly stock price data, I think manually calculated the return % ages from the stock price data and then fed it into the second workflow which determines the ideal weights based on Modern Portfolio Theory.