It serves as a tool for calculating risk metrics for a portfolio made of single positions in mutual funds.
Positions are composed by aggregating the operations recorded in "Operations" sheet.
Market data is obtained from ft.com by using the next function:
getTableFromWeb_mod from Sven Koerner
Using the RiskMetrics algorithm for forecasting volatilities and correlations by EWMA method, it gives data of:
- Volatility sets.
- Correlation matrix.
- Undiversified Value at Risk.
- Diversified Value at Risk.
- Marginal VaR.
- Component VaR.
All these calculations are given for 1 day and 1 month horizon, using about 130 days of recent quotes and lambda values of 0.94 and 0.97 respectively.
In addition, it shows the global position of the portfolio and the VaR calculated by simple historical simulation.
I will be pleased to answer any usability question and any suggestion at email@example.com.
Mario Santos (2021). Risk manager for mutual funds (https://www.mathworks.com/matlabcentral/fileexchange/50745-risk-manager-for-mutual-funds), MATLAB Central File Exchange. Retrieved .
Find the treasures in MATLAB Central and discover how the community can help you!Start Hunting!