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)