Messages: What Members Are Asking On-Line
by CI Staff
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Standard Deviation Shareware
In the Message column of the July/August 2006 Computerized Investing, there was a request for a source of standard deviations for stocks. I offer a free shareware program called Portfolio Optimization (PO) that provides standard deviations for all stocks in AAIIs Stock Investor database as well as for the mutual funds in AAIIs Quarterly Mutual Fund Update. The program is available at AAII.com in the Portfolio Management area of the AAII Download Library. With Portfolio Optimization, users may create sample portfolios of stocks and mutual funds and then view the geometric return, standard deviation of annual return, or Sharpe ratio for the individual securities over the desired time period (up to 10 years), as well as the geometric return and standard deviation for the overall portfolio.
CI Editor Responds: Thank you, David, for pointing this out. Our readers should note that there are two versions of Portfolio Optimization available for downloadone with Sharpe ratios and the other with standard deviations.
Historical Data Providers
I need daily historical stock pricing data. Can you direct me to sources of this data?
CI Editor Responds: Several years ago, it was common to find numerous data vendors that offered historical stock, mutual fund, and commodity data that was compatible with an array of investment analysis programs. This was evident in our last comparison of historical data providers, which ran in the September/October 2002 issue of Computerized Investing and is available within the CI archives of AAII.com. In recent years, many of these same data providers have developed their own analysis products for use with their data feeds, while others have been bought out or have gone out of business. The result has been an increase in the number of analysis programs on the market, but to the detriment of the pure data provider. Even when you are able to locate a data vendor that is not linked to a specific analysis program, the costs can be prohibitive, with some services charging thousands of dollars per year.
Bulk end-of-day stock price data with seemingly reasonable price structures are offered by the following sources (we cannot vouch for the quality of the data being provided by these services):
- CQG Datafactory (www.cqg.com),
- Reuters DataLink (www.equis.com),
- Marketsource Online InvestorLink (www.msodata.com),
- Primate Software Quote Monkey (www.primate.com), and
- StockWiz (www.stockwiz.com).
For free historical data on individual stocks, you may wish to try Yahoo! Finance (finance.yahoo.com). However, one drawback with this site is that you are not able to collect data on several symbols at once. With Yahoo!, you can download daily, weekly, or monthly open, high, low, and closing prices as well as volume to a spreadsheet by typing in a ticker symbol and clicking on Historical Prices from the left side of the page. Pricing data, when available, goes back to 1962.
Correlations for MPT
Applying modern portfolio theory (MPT) requires knowledge of the correlations between investments in a portfolio. Where do you find correlations?
CI Editor Responds: We are not aware of any site that allows you to get correlations between investments. However, we use the RiskGrades Web site (www.riskgrades.com) extensively to build portfolios of assets that have the greatest diversification, creating risk-minimized portfolios. With MPT, the risk of a particular asset is not nearly as important as how that particular assets price varies in relation to the other assets in the portfolio. With the RiskGrades Web site, which is free, you are able to see how adding or removing assets from your investment portfolio will affect the portfolios overall volatility (risk). For more information on how to use the RiskGrades Web site, see the Feature in the May/June 2003 Computerized Investing, available in the CI archives at AAII.com.