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Hedge Fund Modelling and Analysis Using Excel and VBA: Worksheets

This document contains two worksheets for analyzing hedge fund performance and asset weights. The first worksheet calculates tracking error between a hedge fund and benchmark using two methods. It contains monthly return data for the hedge fund and benchmark from July 2005 to December 2008. The second worksheet shows monthly returns, NAV, and equal versus arbitrary asset weightings for four funds from March to June 2010. It calculates the group performance using both equal and arbitrary weightings.

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marco
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139 views

Hedge Fund Modelling and Analysis Using Excel and VBA: Worksheets

This document contains two worksheets for analyzing hedge fund performance and asset weights. The first worksheet calculates tracking error between a hedge fund and benchmark using two methods. It contains monthly return data for the hedge fund and benchmark from July 2005 to December 2008. The second worksheet shows monthly returns, NAV, and equal versus arbitrary asset weightings for four funds from March to June 2010. It calculates the group performance using both equal and arbitrary weightings.

Uploaded by

marco
Copyright
© © All Rights Reserved
Available Formats
Download as XLS, PDF, TXT or read online on Scribd
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Hedge Fund Modelling and Analysis Using Excel and VBA

Chapter 3

Worksheets
1. Tracking Error
2. Asset Weights
Hedge Fund Benchmark
Date RoR (%) RoR (%) Tracking Error
=fncTESD(B4:B65,C4:C65)
Jul-09 Quadratic (SD) #VALUE!
Aug-09 18.15 0.94 Linear (MAD) #VALUE! =fncTEMAD(B4:B65,C4:C65)
Sep-09 6.50 1.40
Oct-09 11.22 3.86
Nov-09 8.95 3.25
Dec-09 10.60 -2.53
Jan-10 -2.10 1.89
Feb-10 -0.73 -1.91
Mar-05 -3.14 -2.01
Apr-05 6.77 3.00
May-05 13.68 -0.01
Jun-05 2.40 3.60
Jul-05 -3.67 -1.12
Aug-05 4.39 0.69
Sep-05 -4.06 -1.77
Oct-05 -1.95 3.52
Nov-05 7.24 -0.10
Dec-05 2.94 2.55
Jan-06 2.84 0.05
Feb-06 -0.76 1.11
Mar-06 11.50 1.22
Apr-06 11.28 -3.09
May-06 -12.68 0.01
Jun-06 0.03 0.51
Jul-06 -5.56 2.13
Aug-06 8.74 2.46
Sep-06 4.98 3.15
Oct-06 2.82 1.65
Nov-06 6.52 1.26
Dec-06 1.13 1.41
Jan-07 5.14 -2.18
Feb-07 -8.14 1.00
Mar-07 3.52 4.33
Apr-07 18.28 3.25
May-07 6.61 -1.78
Jun-07 4.98 -3.20
Jul-07 -1.42 1.29
Aug-07 6.90 3.58
Sep-07 0.42 1.48
Oct-07 -2.67 -4.40
Nov-07 8.78 -0.86
Dec-07 -4.42 -6.12
Jan-08 31.54 -3.48
Feb-08 9.16 -0.60
Mar-08 6.78 4.75
Apr-08 -0.46 1.07
May-08 9.38 -8.60
Jun-08 8.80 -0.99
Jul-08 -15.35 1.22
Aug-08 -3.33 -9.08
Sep-08 -6.36 -16.94
Oct-08 14.39 -7.48
Nov-08 35.11 0.78
Dec-08 44.06 -8.57
Jan-09 -20.13 -10.99
Feb-09 1.25 8.54
Mar-09 5.42 9.39
Apr-09 -14.32 5.31
May-09 9.27 0.02
Jun-10 -4.85 7.41
Jul-10 -5.35 3.36
Aug-10 -1.08 3.57
Sep-10 9.08 2.30
5,C4:C65)
Weighting
Fund Monthly Return Monthly NAV ($m) Equal Arbitrary Asset
A 5.19% 2150 1/4 30% 66.01% =C3/C7
B 12.65% 750 1/4 30% 23.03%
C -11.32% 245 1/4 28% 7.52%
D -1.02% 112 1/4 12% 3.44%
3257 100% 100% 100% =SUM(F3:F6)

Group Performance 1.38% 2.06% 5.45% =SUMPRODUCT(F3:F6,B3:B6)


UM(F3:F6)

UMPRODUCT(F3:F6,B3:B6)

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