Dear all,
My database consists of: mutual fund data with stocks and their respective prices, number of shares and volatility.
I need to classify a fund respective to its riskiness (volatility).
For each month, I need that for each fund in my database to calculate a value weighted average volatility (e.g. when a fund has three stocks: A, B, C with respective betas: 0.2, 0.9 and 0.4 the average value weighted would be the multiplication of each beta to the number of shares of A, B, C with price and beta divided by the overall summation of price*shares of A, B, and C). However, I need to consider the co-variance term between these three stocks and thus the correlation terms between them. So that in the end I can come up with a volatility for each Fund, for each month based on the co-variance matrix between the three stocks in portfolio. How can i compute this matrix, in order to obtain a volatility for each fund in each month
(beta serves as a measure for the volatility)
Thank you in advance
My database consists of: mutual fund data with stocks and their respective prices, number of shares and volatility.
I need to classify a fund respective to its riskiness (volatility).
For each month, I need that for each fund in my database to calculate a value weighted average volatility (e.g. when a fund has three stocks: A, B, C with respective betas: 0.2, 0.9 and 0.4 the average value weighted would be the multiplication of each beta to the number of shares of A, B, C with price and beta divided by the overall summation of price*shares of A, B, and C). However, I need to consider the co-variance term between these three stocks and thus the correlation terms between them. So that in the end I can come up with a volatility for each Fund, for each month based on the co-variance matrix between the three stocks in portfolio. How can i compute this matrix, in order to obtain a volatility for each fund in each month
(beta serves as a measure for the volatility)
Thank you in advance
