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!
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
Hello Mark. Thank you for watching! We do have a website that provides FRM study materials here: www.bionicturtle.com. If you are not looking for study materials specifically, you could post in our forum to ask David about the spreadsheets. Our forum is here: www.bionicturtle.com/forum/. Nicole, CAO Bionic Turtle
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!
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
Hi Aaron! This would be a great question to ask David in our forum since he spends a lot of his time in the forum answering questions! Here is the section where you can post: www.bionicturtle.com/forum/forums/p2-t8-investment-management-15.23/. Just make sure to include the link to this video for reference :) Nicole Manley, Bionic Turtle