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Portfolio Analysis & Design
Additional Samples

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
Active Portfolio Management: adjusting portfolio beta
 		 Active Management Statistics function Illustrates how the impact on all key active management statistics can be easily assessed when the beta of a portfolio is changed using stock index futures contracts.

For example when 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 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; handing foreign currency exposures; cash flow mapping; stress testing and VaR aggregation (both PCA and non-PCA methods).
 

 

 
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