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Portfolio Analysis & Design
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| Additional Sample Spreadsheets |
The Hoadley Finance Add-in for Excel includes sample sheets for each of the functions in the Add-in. Applications available from this web site, such as the Hoadley Portfolio Optimizer, also provide examples of how the functions can be used to build applications.
To illustrate some of the functions or portfolio investment/asset management subject areas in greater detail a number of additional sample spreadsheets are available for download.
These additional samples, which have been zipped into one file, can be downloaded free of charge by users of the full version of the Hoadley Finance Add-in for Excel, who are within their one year free download period.
The following additional samples are available for download:
| Sample | Functions Illustrated | Comments |
| Tax-adjusted portfolio optimization | Asset allocation & portfolio optimization functions | Examples illustrating
three common after-tax portfolio optimization scenarios: optimizing a new
taxable portfolio; optimizing an existing portfolio with embedded capital
gains tax liabilities; allocating assets efficiently across taxable, tax deferred, and tax exempt accounts. |
| Tracking error efficient frontier |
Efficient frontier
function Tracking error and active correlation functions |
Includes examples of two methods for
producing tracking error (TE) efficient frontiers: portfolio
optimization against a benchmark. Illustrates
how to gauge the efficiency of a
TE frontier by comparing it with a standard efficient
frontier on one chart, using the MSCI global sector index as an
example. |
| Active Portfolio
Management: adjusting portfolio beta |
Active Management Statistics function |
Illustrates how the impact on all key active management statistics
(eg tracking error, information ratio) can
be easily assessed when the beta of a portfolio is changed to a
target value using stock
index futures contracts.
For example isolating residual risk and return (alpha) as part of an "absolute return strategy" by reducing portfolio beta to zero ("portable alpha"). |
| Black-Litterman |
Black-Litterman
functions Portfolio Optimzer - estimating returns |
Two examples which
replicate the results published in two of the key papers on the
Black-Litterman asset allocation model. |
| Orthogonal EWMA &
Orthogonal GARCH |
Orthogonal EWMA & GARCH functions | Six examples which
illustrate how volatilities and correlation matrices can be calculated with
EWMA and GARCH using the orthogonal principal component analysis
methodology. Results compared graphically to "direct" EWMA & GARCH. |
| PCA and APT | Principal Component Analysis functions | Illustrates how Principal Component Analysis
(PCA) can be used in Arbitrage Pricing
Theory (APT) applications to construct factor (basis) portfolios, and to
construct asset-mimicking portfolios from the factor portfolios. |
| Value at Risk (VaR) |
Value at risk functions | Six examples
illustrating: correlated simulation; analytic vs partial simulation vs full
revaluation simulation; handling foreign currency exposures; cash flow
mapping; stress testing and VaR aggregation (both PCA and non-PCA
methods). |