ࡱ> r  !"#$%&'()*+,-./0123456789:;<=>?@ABCDEFGHIJKLMNOPQRSTUVWXYZ[\]^_`abcdefghijklmnopqstuvwxyz{|}~Root Entry F9'-~j Workbook_VBA_PROJECT_CUR" P909VBA@9@:9 ɀ\pdswansonrator Ba= ThisWorkbook=8Y@"1Arial1Arial1Arial1Arial1$Arial1 Arial1Arial1Arial1Arial1Arial1 Arial1Arial1 Arial1QTahoma1Arial1QArial1 Arial"$"#,##0_);\("$"#,##0\)!"$"#,##0_);[Red]\("$"#,##0\)""$"#,##0.00_);\("$"#,##0.00\)'""$"#,##0.00_);[Red]\("$"#,##0.00\)7*2_("$"* #,##0_);_("$"* \(#,##0\);_("$"* "-"_);_(@_).))_(* #,##0_);_(* \(#,##0\);_(* "-"_);_(@_)?,:_("$"* #,##0.00_);_("$"* \(#,##0.00\);_("$"* "-"??_);_(@_)6+1_(* #,##0.00_);_(* \(#,##0.00\);_(* "-"??_);_(@_) 0.0%0+_(* #,##0_);_(* \(#,##0\);_(* "-"??_);_(@_)4/_(* #,##0.0_);_(* \(#,##0.0\);_(* "-"??_);_(@_)3._(* #,##0.0_);_(* \(#,##0.0\);_(* "-"?_);_(@_) 0.0000 0.0000.0$[$-409]dddd\,\ mmmm\ dd\,\ yyyy0.00000000000000000% 0.00000000 0.0000000 0.000000 0.00000"Yes";"Yes";"No""True";"True";"False""On";"On";"Off"],[$ -2]\ #,##0.00_);[Red]\([$ -2]\ #,##0.00\) 0E+00 0.0E+00 0.0000E+00 0.00000E+00 0.000% 0.000E+00 0.0000% 0.00000% 0.000000% 0.0000000%0.000000000000000%0.0000000000000% 0.000000000[$-409]h:mm:ss\ AM/PM h:mm:ss;@                + ) , *     (   h  "8   (  "x   h "x  *8@ @  a*<@ @  (  a"|  #8  #8@ @  "<@ @  a"<@ @  a"|@ @ !8 "8  "8  ( "0   ,  a"t #0 *x@ @ *  "8 #4 *x  *8 "|  "x #x  "<   l  "4  (  !8  *8  a"<  "|  "<  #x@ @ "|@ @ "x@ @ #x@ @  a"|@ @ "t@ @  "<@ @  #  #<  #8  #<  a|  x  a|  | a#|  #<  a<@ @  a#<  #  i#<  x  a+|  x@ @ *  a|@ @ * "<@ @  #|  #|  #|  #x  @ @  $@ @  !0@ @ "4  a" #8  #8  `"  a+<  #<  a#<  #  a <  "x@@ * "x @ *   8@  !x@@ * !x@ * !x @ * #0 "x@ *  "8@  "8 @  "x@ @ * "0@ @  ` m!  ;Jhoriz:horiz:load:min_RBC:months:pctCTE:pctCTE:  ;2" RBC_Y_Factor:var_est: ! Y_Factor_Wt:`ip4 x 3 A@@  00 Statistics of transformed seriespctCTE"2 yr horizon, Y=(X-m)*s'/s+horiz*mmonthly seriestransformed seriesN= monthly mean=mean= rank cutoff=stdev=s(horizon|cov<>0)s(horizon|cov=0)=# illustrative tracking error series correlation=monthrankcov(X(t),X(t+t1))= horiz - t1=t1=rank1=CTE1=apply correlation=> target CTE = COVARIANCE=CTE2=rank2=weight1=weight2=tracking error, Xtransformed to horizon, Yhorizon=.Tracking Error / Transform Method (Appendix C)min RBC=var_estload= statisticmonths=RBC=RBC, after constraint(s)=.Transform Method: Correlations and Covariances Y-Factor Wt = RBC Y-Factor=adj covFix-up for negative variance estimate due to negative sample serial correlation terms - eliminate sample negative serial correlation terms one at a time until the variance estimate is positive.var estt'Enter 30 to 60 monthly returns X below:Parameters (do not modify)2 s$d$~ ɀ  etBe  dMbP?_*+%  Page &P of &N&?'?(?)?M\\AAA_TREE\Blue.AAA?dXXLetter.HP LaserJet 4000 Series PCL 627xeP.Ag:bA,4!tɢ6vNb7|S8gι{L dWKq PC-te֣؊M 5: Q>ipAg' #UDjVj/H;1x.N )3oG+b7 kOy {ϢoOv0 ;ih'lya3ڂRxgBg:CWX#?U}Vi; xj !lև61D97|f!1J "O!XX??cU} `,!} `!} `!}  !} !} !} !} !} )!} )!} ,!} !} `!} @ !}  !}  !} ` !}  !} ` !}  !} ` !} ! !} "#` !} $$` !} %% !} & !e&$$$$$$$$$ $ $ $@ $@ $$$$$$$$$$$$$$$$$$$ l/m stttu v ww o'pppq U~ g8@ n n NLN@C" R#     ;! 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"BUd_d?%Mc$$B %Dd D @  "BUd_d?%Mc$$B %Dd D @  "BUd_d?%Mc$$B %Dd D @  "BUd_d?%Mc$$B %Dd D @  "BUd_d?%Mc$$B %Dd D @  "BUd_d?%Mc$$B %Dd D @  "BUd_d?%Mc$$B %Dd D @  "BUd_d ?%Mc$$B %Dd D @  "BUd _d!?%Mc$$B %Dd D @  "BUd!_d"?%Mc$$B %Dd D !@  "BUd"_d#?%Mc$$B %Dd D "@  "BUd#_c%?%Mc$$B %Dd D #@  "Bd$`^K$N$d%_d N%)PKKKK (  ~  <LK XPP? y]4@LK W2GG-nK  <Calculated RBC weight = square root of months / a, where a = number of months in 5 years = 60. RBC X-Factor weight = 1 - calculated RBC weight.<T W~~ P <4MKXPP?-f<]4P@4MK n.M `D"~ =<>the percentage to increase the transformed standard deviation< =%   BMK XPP?3]4@MK z<)O.& E<F24 mo horizon takes into account covariance of net returns over time. The transformed series is Y = sum {X(i): i=1 to 24} where X(i)'s = monthly net returns have same mean = m and same std dev = s. Y = (X-m) * s'(24)/s + 24*m has the same distribution, where s'(24) = sqrt(24*s^2+2*C) C = the sum of {cov(x(i), x(j)): i and j=1 to 24 with i<>j} In case C = 0, Y = (X-m) * sqrt(24) + 24*m The number of covariances cov(X(i),X(j)) with i-j=1 is 23, the number with i-j=2 is 22, the number with i-j=3 is 21 etc. Due to use of sample serial covariances, the method could assign too much credibility to the effect of serial correlation in determining the transformed variance. To preclude this from occurring in extreme situations the transformed standard deviation is contrained to the interval [s * sqrt(24) * .5, s * sqrt(24) * 1.5].< E PC4844aBick4C4844a><KSd2   7 Sheet1ggD Module18ThisWorkbookSheet1 Module2  !"#$%&'()*,-./0123456789:;<=>?@ABCDEFGHIJKLMNOPQRSTUVWXYZ[\^_`abcdegijklmnoprstuvxyz{|}~Z>o' max_r").B ~C%=@a.Descr@iptionq"Macro recorded 12/24/2002 by Joanne Bick yV ProcData Invok@e_Func \n14Applica!.Goeference:="@#d_N$Selec"Cnts/m C`AwmeanEjsAstdev Run "ATPVBAEN.XLA!#om", AveSheet. c1")P, 1,Lmh _X, 2a!m, solu! *_ACC?(c!(bJ(H(d( I)w8)d)?H)kkWidA*WorksA@WPountA($B5)$֡=O"C)aj@A  1")(, jA ( Oj j E . 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