Scribd Logo
Upload

Welcome to Scribd!

  • Financial Modelling

    Uploaded by

    Hasan UL Karim
    18 views8 pages
    The document contains statistical analysis and charts summarizing the monthly returns of an investment over 12 months. It shows the mean, standard deviation, maximum and minimum returns. Additional charts show the distribution of returns compared to a normal distribution, as well as quartile analysis and lookup tables for valuation models.

    Original Description:

    Financial modelling (Using frequency function)

    Copyright

    © © All Rights Reserved

    Available Formats

    XLSX, PDF, TXT or read online from Scribd

    Did you find this document useful?

    Is this content inappropriate?

    Report this Document
    The document contains statistical analysis and charts summarizing the monthly returns of an investment over 12 months. It shows the mean, standard deviation, maximum and minimum returns. Additional charts show the distribution of returns compared to a normal distribution, as well as quartile analysis and lookup tables for valuation models.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    18 views8 pages

    Financial Modelling

    Uploaded by

    Hasan UL Karim
    The document contains statistical analysis and charts summarizing the monthly returns of an investment over 12 months. It shows the mean, standard deviation, maximum and minimum returns. Additional charts show the distribution of returns compared to a normal distribution, as well as quartile analysis and lookup tables for valuation models.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 8

    USING THE FREQUENCY FUNCTION

    Return for 12 months


    Summary Statistics : Return Interval
    Mean 0.42% -0.12
    St Dev 0.098950552 -0.08
    Max 15.65% -0.04
    Min -11.72% 0
    0.04
    0.08
    0.12
    Months Return 0.16
    Jan-16 1 7.76%
    Feb-16 2 -10.54% Total
    Mar-16 3 8.77%
    Apr-16 4 10.66%
    May-16 5 -11.72%
    Jun-16 6 -8.26%
    Jul-16 7 -2.89%
    Aug-16 8 -9.93%
    Sep-16 9 15.65%
    Oct-16 10 8.25%
    Nov-16 11 5.25%
    Dec-16 12 -8.01%
    -0.15 -0.1

    USING THE QUARTILE FUNCTION


    Quart no. Q points Q%
    120.00%
    0 -0.1172 0.00%
    1 -0.086775 25.00%
    2 0.0118 50.00% 100.00%
    3 0.0838 75.00%
    4 0.1565 100.00% 80.00%

    60.00%

    40.00%

    20.00%

    0.00%
    -0.15 -0.1 -0.05 0
    EXCEL NORMAL FUNCTIONS FOR N (0,1)
    PDF (Probability CDF(Cumulative
    Density Function) Distribution Function)
    -5 0.00 0.00
    -4 0.0001338302 0.00
    -3
    -2
    -1
    0
    1
    2
    3
    4
    5

    LOOKUP FUNCTIONS (Black-Scholes Call Value Lookup Table)


    Volatility
    Volatility 17.00% 12.00%
    VLOOKUP 9.73 13.00%
    14.00%
    15.00%
    Call value 9.73 16.00%
    Match 6 17.00%
    18.00%
    19.00%
    Row 6 20.00%
    Column 2 21.00%
    Index 9.73 22.00%

    CONTINUOUS COMPOUNDING
    Inputs :
    Initial Value (a) 1
    Interest rate-cont 7.00%
    Interest rate-p.a. 7.25%
    Time (t) 1

    Outputs :
    Compound factors t yrs 1.0725081813
    Discount factors t yrs 0.9323938199

    Compound Discount 2.5


    1 1.0725081813 0.9323938199

    1.5
    2.5

    2 1.1502737989 0.8693582354
    3 1.23367806 0.810584246 2
    4 1.3231298123 0.7557837415
    5 1.4190675486 0.7046880897 1.5
    6 1.5219615556 0.6570468198
    7 1.63231622 0.6126263942
    1
    8 1.7506725003 0.5712090638
    9 1.8776105793 0.532591801
    10 2.0137527075 0.4965853038 0.5
    11 2.1597662538 0.4630130683
    12 2.3163669768 0.4317105234
    0
    0 2 4 6 8

    0.9323938199 3.00%
    1
    2
    3
    4
    5
    6
    7
    8
    9
    10
    lllllllllllllllllllllll
    Freq % Freq % Cum Freq Theory
    0 0.00% 0.00% 10.48%
    5 41.67% 41.67% 19.75%
    0 0.00% 41.67% 32.77%
    1 8.33% 50.00% 48.32%
    0 0.00% 50.00% 64.14%
    2 16.67% 66.67% 77.83%
    3 25.00% 91.67% 87.91%
    1 8.33% 100.00% 94.24%
    0 0.00% 100.00%
    12

    120.00%

    100.00%

    80.00%

    60.00% Column H
    Column I
    40.00%

    20.00%

    0.00%
    -0.15 -0.1 -0.05 0 0.05 0.1 0.15 0.2

    120.00%

    100.00%

    80.00%

    60.00%
    Column C

    40.00%

    20.00%

    0.00%
    -0.05 0 0.05 0.1 0.15 0.2
    Inv(Normal)
    -4.9999999796
    -4

    BS Call Value
    8.63
    8.84
    9.05
    9.27
    9.50
    9.73
    9.96
    10.19
    10.43
    10.67
    10.91

    2.5

    1.5
    2.5

    1.5
    Compound
    Discount
    1

    0.5

    0
    0 2 4 6 8 10 12 14

    3.50% 4.00% 5.00% 5.50% 6.00%


    Column H
    Column I

    0.2

    Column C

    0.2

    You might also like