From the course: Excel for Investment Professionals

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Computing time series momentum: Market timing

Computing time series momentum: Market timing - Microsoft Excel Tutorial

From the course: Excel for Investment Professionals

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Computing time series momentum: Market timing

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- [Instructor] Rather than just looking at simple rolling historical returns, investors often want to compare these returns across different securities over time. In order to do this, you'll want to look at the relative price of a stock compared to its own history to better understand the risk and returns there. Let me show you what I'm talking about. I'm in zero two zero three begin Excel file. Now, I've added a column here for percentile. In particular, what I'm interested in doing is understanding not just what my rolling returns are but if those rolling returns are particularly strong or particularly weak over time. In order to do that, I'm going to go through and evaluate the percentile that each rolling return falls into compared to the entire universe of returns. So in this equation I'm using the rank.EQ function. This goes through and ranks all numbers in a list from largest to smallest. And then I'm going to divide by the number of numbers that are there to understand what…

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