Stock portfolio risk decomposition into systematic risk and specific risk
A financial modeling tutorial on finding systematic risk and specific risk by decomposing risk on a stock portfolio as done in financial risk management software with other terms unsystematic risk, diversifiable risk, non-diversifiable risk, idiosyncratic risk and residual risk often used.
For the full video transcript and key Excel formulas see:
https://factorpad.com/fin/quant-101/p...
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00:37 - Video Outline
01:04 - Step 1 - Create an Active Portfolio
03:52 - Step 2 - Pull Forward Returns
04:46 - Step 3 - Create a Scatter Plot
06:36 - Step 4 - Analyze the Return and Risk Decomposition
15:44 - Summary
16:14 - Step 5 - Next: Excel's Data Analysis Regression
For the Outline to the Quant 101 series see:
https://factorpad.com/fin/quant-101/q...
See other portfolio and statistics related content here:
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