This worksheet has been designed and tested using Netscape 3.0. It should work with later versions of Netscape's browsers but will not work with other browsers. It uses only JavaScript for computations and should cause no problems when used with the appropriate browsers. The operative word here is "should" -- the author cannot guarantee fault-free operation.
You should be able to use the worksheet when not connected to the internet. Save the program file (ws_***.htm) and the accompanying instruction file (wi_***.htm) on your disk using the browser's command to File Save. At a later time you may retrieve the file using the browser's File Open file command; you may then use the page as you would if you were on the network.
When using the worksheet, you may change any inputs. To do so, click inside the appropriate box, then make your changes. When finished, click any area outside the boxes on the form.
You may copy inputs from other sources such as spreadsheets, word processing documents, and other worksheets in this series, then paste the results into the appropriate boxes on this form. To copy an area from an Excel spreadsheet, select it, then select Edit Copy. In the browser, select a position in the input box, then select Edit Paste. To copy an area from a box in the browser to an Excel spreadsheet, select the text in the browser and select Edit Copy. In the Excel spreadsheet, select a position, then select Edit Paste. This brings each row into the spreadsheet as text. To convert to a matrix, select the column in which the information is located (the left-most one shown), then select Data Text-to-columns. Choose Delimited and Spaces as delimiters and the information will appear in the requisite number of cells.
When you save a page on your own disk (using the browser's File Save As command), only the original material in the form will be saved. To overcome this, you may click the MAKE RECORD button. This will create a new page with the relevant inputs and outputs from your most recent case. You may print this or save it on your own disk. At a later time you may open this file in your browser and copy information from it to a regular worksheet, if you wish. When you are through with the record page, choose either the File Close command or click the X in the upper right corner (or equivalent on your platform) to return to the worksheet.
There are two other ways to save and retrieve worksheet information. You can copy the information you wish to save to some other document, such as a spreadsheet, word processing document or text file. You can also load the source (ws_***.htm) file in a word processor and edit it to include your inputs. You will find the default information in blocks marked TEXTAREA and in the VALUE attributes of INPUT tags. Simply replace the default values with your information, then save the page as a file on your disk under any desired name.
Whenever you change an input, the output area will be cleared to avoid having old outputs appear simultaneously with new inputs. To produce new outputs, click the PROCESS button.
The Asset Range and Returns box should start with a row giving the identifiers for the assets to be used in the analysis. Each identifier should use six or fewer characters (of any type), but no spaces. The next row should indicate the minimum proportion for each asset class in the resulting style and the following row should give the maximum proportion for each class. It must be possible to construct at least one allocation among the classes that lies within or at the border of each of the specified ranges and adds to 1.0. The remaining rows contain monthly returns for the desired asset classes with each month in a separate row. In each row the first column contains the monthly in the form YYYYMM (for example, 199301) and the remaining columns the returns for the asset classes in that month. The months covered by the rows must be sequential. Within each row the entries must be separated by one or more spaces and/or tabs. Blank rows may be included in the table and it is not necessary for your data to "line up" in columns as long as it conforms to the rules given above.
The Fund Name can contain any desired characters except quotation marks or apostrophes. It should be limited to fifty characters or less.
The Fund Returns box provides returns for the fund to be analyzed. The first row contains only the single identifier (Return). Subsequent rows provide the fund returns for each month to be covered. The first item in each row is the month; the second is the fund return. For the first observation the month must be entered in YYYYMM format. Subsequent rows can use any desired identifier (e.g. 1) since they will be considered to be sequential observations in any event. The first fund return must be for a month that is contained in the asset returns box. The range of months covered will be the longest possible, given the periods covered by the asset and fund returns.
The output is in the form of three tables, all contained in a single box.
The first two rows in the output box show the name of the fund and the range of months used for the analysis.
The first table shows the Style of the fund for the period covered. Of all the feasible combinations of asset classes, this is the one that "tracked" the fund's returns most closely during the period. In this connection, feasible combinations of asset classes are those for which every asset proportion lies either at its required minimum, at its required maximum, or at some point between the minimum and maximum. Of all such feasible combinations, the one shown in the table had the lowest Selection Standard Deviation during the period.
The next table shows annualized values for two measures of performance. The first row shows the annualized value of the arithmetic Mean monthly returns, obtained by multiplying each average monthly return by 12. The second row shows the annualized value of the Standard Deviation of monthly returns, obtained by multiplying each standard deviation of monthly returns by the square root of 12. The monthly standard deviation of the selection return is adjusted for degrees of freedom based on the number of non-zero asset exposures in its style -- the actual value is multiplied by the square root of nobs/(nobs-numpos-1) where nobs if the number of observations (months) and numpos is the number of assets with positive exposures.
In the table, the first column shows the values computed from the monthly returns for the Fund. The second column shows the values computed from the monthly returns for the combination of asset classes shown in the Style table. The third column shows the values computed for the monthly Selection Returns, where the selection return for each month is the difference between the fund return and the style return for that month.
The final table provides statistics for the analysis. The Percent
Active is computed by dividing the selection variance
(standard deviation squared) by the fund variance (standard
deviation squared), then multiplying the ratio by 100. This
provides a measure of the proportion of the fund variance due to
active management. The Selection Sharpe Ratio (SSR)
is computed by dividing the annualized mean selection return by
the annualized standard deviation of the selection returns. This
provides a measure of value added through active management per
unit of added risk. The T-statistic is computed
by dividing the mean monthly selection return by (the standard
deviation of monthly selection return divided by the square root
of the number of months analyzed). This provides a measure of the
statistical significance of the value added through active
management. The Percentile is the approximate
location of the T-statistic in a cumulative normal distribution.
For example, if the Percentile is 80, one might assume that in a
group of managers with zero skill, approximately 80% would have
poorer performance due to luck and 20% would have better
performance due to luck.
You may enter any desired text in this box to describe the source of the input data, etc..