FRM: Tracking Error 

Thank you for your videos, I am wondering how to generate the random benchmark and portfolio return? what are the column

how to make your simulated returns correlated to each other? that cell on D14 can you unhide it so we can see it? starting from 3:12

is there a scientific source for that ex post calculation i can cite?

Hi David, Thank you very much for the informative videos, they're really great. I was just wondering if you could elaborate a bit on how we might obtain the predicted values of the variance of the portfolio returns / benchmark returns and the correlation? Once obtained, plugging these numbers into the respective formula to calculate the ex-ante tracking error is relatively straightforward. Thanks!

@williamcza I'm guessing he used =NORMINV(rand(),mean,stdev)

Hey David, Do you have a website or something where one could download an example excel sheet like the one in this video to play around with? This was a very helpful video thankyou for that. Kind Regards, Mark

Hi David, thanks for all the videos and materials!, I'm currently preparing the CFA exam and looking forward to prepare the FRM with you. Could you please upload some excel application of tracking error decomposition ¿? i'm trying to establish the tracking error contribution of my holdings using "Contribution to tracking Error = Weight(j)*Covariance(Return(j),(Portoflio Return-Benchmark Return))" And getting nowhere... Best Regards!

not helpful.. im not doing the frm in excel..

This is totally great! thanks for the video

Hello David, I guess there are some mistake in 5:30 1. It should be ex ante * NORMSINV(95%) not post ante. Since post ante is from simulation 2. I don't understand the point of multiply with NORMSINV(95%) since this base on a very strong assumption that different in mean is 0. Otherwise you should add mean differnt which is 4% (8%-4%) into this Hope you can clarify my points Thank you

Hey David, Is there a way to turn the Tracking Error into the predictability of alpha? Thanks

xls, please!