NumXL 1.68 (CAMEL) is available to the general public. This new version includes enhanced support for Kernel density estimation (KDE) (e.g., Bandwidth optimization, domain bounds, etc.), and a new set of portfolio statistics functions (e.g., Sharpe Ratio, Up/Down Market Capture, Max Drawdown, VaR, CVaR, etc.)

NumXL V1.68 CAMEL is Here!

We are excited to announce the release of NumXL version 1.68 (CAMEL). The new version includes support for portfolio risk -statistics and , enhanced support for Kernel Density Estimation (KDE) in Microsoft Excel.

You can instruct the KDE wizard to define domain-bounds for input variables, transform data, and calculate optimal bandwidth using 3 methods: Direct Plug-in (Sheather & Jones), unbiased cross-validation methods, and Silverman’s rule-of-thumb.

Furthermore, using the enhanced KDE function, you can calculate probability density, cumulative, and inverse cumulative functions of your distribution.

On the portfolio side, NumXL 1.68 implements 11 new risk metrics: CAGR, Sharpe Ratio, CAPM Beta, Jenssen’s Alpha, Treynor Ratio, Calamar Ratio, up/down market capture, maximum drawdown, value-at-risk (VaR), and conditional value-at-risk (CVaR).

NumXL supports the calculation of VaR and CVaR using different methods: historical, KDE-based, and theoretical distributions: Gaussian and lognormal.

Please refer to the release notes on our help center for a complete list of changes.

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