Hi Excel Forum,
I'm having a bit of difficulty with a problem in Excel and was hoping that some of you might be able to help. I have daily return data for 6 securities where I have calculated rolling betas and alphas for each previous 5 trading days.
I want to create a simple portfolio that is long the 3 lowest beta securities while being short the highest 3 beta securities. The portfolio will be rebalanced every calendar month to ensure that the 3 lowest beta securities are in the "low-beta" portfolio and the 3 highest beta securities are placed in the "high-beta" portfolio.
As the betas of the underlying securities change over time, so does the rankings of the betas and therefore the formations of the "low-beta" and "high-beta" portfolios. I'm having trouble figuring out how to do the monthly rebalancing of the portfolio the easiest way and I was wondering if any of you had any suggestions on how to do this?
Thanks in advance and please let me know if you need any additional info.
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