From the course: Excel for Investment Professionals

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Computing cross-sectional momentum

Computing cross-sectional momentum - Microsoft Excel Tutorial

From the course: Excel for Investment Professionals

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Computing cross-sectional momentum

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- [Instructor] Portfolio management requires deciding on how to balance between different investments in a portfolio, and one good way to do that is by looking at security momentum. This can be quickly calculated in Excel. I'm in the zero, four, zero, two begin Excel file. Now we have data on five different securities. Microsoft, Apple, JPMorgan, Boeing, and the 30-year treasury bond, and we have pricing data on these from 2014 through 2018. I want to go through and compute 90-day returns that is 90 calendar days or roughly 60 trading days because of course, weekends don't have stocks trading during them. So in order to do that, I'm simply going to look at the final value for Microsoft minus the value from roughly 60 days earlier, 90 calendar days. Now I can apply this same formula across all five of my securities and then down through the entirety of my spreadsheet, or at least until I get to the point where I don't have 90 days of data remaining. So we'll need to limit these values…

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