{"text_format":"1","workbook":"xlsx","n_sheets":5,"sheets":["Disclaimer","Model Notes","Fixed Expected Return","Information Ratio","Opportunity Cost Calcs"],"not_rendered":{"charts":2,"images":1,"macros":1,"external_links":0,"defined_names":0,"comments":0,"pivot_tables":0},"unopened":[],"bounds":{"document_bytes":16777216,"sheet_cells":100000,"rows_first":2000,"rows_last":500,"rows_between":2000,"halvings":0,"cell_chars":16384,"cell_head_chars":4096},"cells_cut":0,"cells_raw":0,"read":"whole","date_system":"1900"}

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["Introduction and Disclaimer"]

{"sheet":"Model Notes","index":1,"n_rows":10,"n_cols":1,"rows_kept":10,"cut":false,"hidden":true,"merged":[]}
["Model Notes"]
[]
["Fixed Expected Return (Worksheet)"]
["This model supports the case studies which assume a fixed degree of expected performance (i.e. independent of the level of tracking error). The investment strategy re-assessment process works as follows for any single performance series (a performance series is a single 8-year performance test - there are constantly 8 performance series active in an overlapping series model):\n\nStep 1: Simulate performance.\nStep 2: Assess the minimum amount of remaining performance required to pass the performance test over the full year period.\nStep 3: Assess the probability of passing the performance given time remaining, expected outperformance, and the current level of tracking error (volatility).\nStep 4: Calculate the appropriate tracking error target to restore the targeted level ('threshold probability') of passing the performance test. Note that a ceiling level of tracking error is put in place (recognising that a brand new series will be targeting this level) and we do not allow for trustees to 'swing for home runs' when they are well behind in the performance test. The formula for this is based off z-scores. \n\nStep 1 then applies again, linking to the tracking error target determined in Step 4.\n\nThe model extends across the page to allow for overlapping series (i.e. every year there is a new series and a single year of performance will impact 8 different performance series). In this case the appropriate tracking error is the minimum of those calculated for each series. The model extends further into time to enable us to assess outcomes once the application of the test has become seasoned. \n\nTwo important statistics are produced:\n\n1. Estimated probability of not exceeding threshold: no strategy changes permitted: this is for a single 8yr window and can be calculated with a formula.\n2. Estimated probability of no change in strategy over rolling 8 years: this is based on the seasoned, overlapping model and is based on simulations.\n\nThe chart represents 100 of the 1,000 simulations undertaken. It tracks the targeted level of volatility accounting for overlapping series in a seasoned environment."]
[]
["Information Ratio (Worksheet)"]
["This model supports the case studies which links expected active returns to the level of active risk through an information ratio. The model works the same way as the one in the \"Fixed Expected Return\" worksheet. \n\nWe note that the appropriate tracking error target becomes unstable for lower levels of threshold probability (i.e. <80%)."]
[]
["Information Ratio (Worksheet)"]
["This model underpins the research which estimates the opportunity cost to consumers associated with the YFYS performance test. The model is reasonably simple."]

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[]
[null,"Key",null,null,null,"Case Study - Through-Time Tracking Error Management"]
[null,"Input required"]
[null,"Automatic calculations",null,null,null,"E(Ret)",5.0000000000000001E-3,null,"Estimated probability of not exceeding threshold: no strategy changes permitted",null,null,null,null,"Estimated probability of no change in strategy over rolling 8 years"]
[null,"Results",null,null,null,"Ann Std Dev (Total)",2.1999999999999999E-2,null,{"$f":"1-_xlfn.NORM.DIST($G$6,$G$4,$G$5/SQRT(8),TRUE)","v":0.90071715261959617},null,null,null,null,{"$f":"OO22/1000","v":0.01}]
[null,null,null,null,null,"Threshold",-5.0000000000000001E-3]
[null,null,null,null,null,"Threshold Probability",0.9]
[null,null,null,null,null,"Associated z-score",{"$f":"_xlfn.NORM.INV((1-G7),0,1)","v":-1.2815515655446006}]
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[null,"Key",null,null,null,"Case Study - Through-Time Tracking Error Management"]
[null,"Input required"]
[null,"Automatic calculations",null,null,null,"Information Ratio",0.2,null,"Estimated probability of not exceeding threshold: no strategy changes permitted",null,null,null,null,"Estimated probability of no change in strategy over rolling 8 years"]
[null,"Results",null,null,null,"Ann Std Dev (Total)",0.02,null,{"$f":"1-_xlfn.NORM.DIST($G$6,$G$4*$G$5,$G$5/SQRT(8),TRUE)","v":0.89845410621141619},null,null,null,null,{"$f":"ON22/1000","v":8.9999999999999993E-3}]
[null,null,null,null,null,"Threshold",-5.0000000000000001E-3]
[null,null,null,null,null,"Threshold Probability",0.9]
[null,null,null,null,null,"Associated z-score",{"$f":"_xlfn.NORM.INV((1-G7),0,1)","v":-1.2815515655446006}]
[]
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Required Perf.","Likelihood of Passing","Reviewed Volatility","Final Volatility",null,"Performance","Series 8 - Year 8 Index","Series 9 - Year 7 Index","Series 10 - Year 6 Index","Series 11 - Year 5 Index","Series 12 - Year 4 Index","Series 13 - Year 3 Index","Series 14 - Year 2 Index","Series 15 - Year 1 Index","Min. Required Perf.","Likelihood of Passing","Reviewed Volatility","Min. Required Perf.","Likelihood of Passing","Reviewed Volatility","Min. Required Perf.","Likelihood of Passing","Reviewed Volatility","Min. Required Perf.","Likelihood of Passing","Reviewed Volatility","Min. Required Perf.","Likelihood of Passing","Reviewed Volatility","Min. Required Perf.","Likelihood of Passing","Reviewed Volatility","Min. Required Perf.","Likelihood of Passing","Reviewed Volatility","Final Volatility",null,"Year 1","Year 2","Year 3","Year 4","Year 5","Year 6","Year 7","Year 8",null,"Change"]
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{"sheet":"Opportunity Cost Calcs","index":4,"n_rows":17,"n_cols":10,"rows_kept":17,"cut":false,"hidden":true,"merged":[]}
["Case Study - Through-Time Tracking Error Management"]
[]
["Information Ratio Assumption",0.2]
["Assumed Industry Tracking Error",0.01]
[]
[null,null,null,null,"AUM covered by YFYS Performance Test","Assumed assets in DC","DC Assets","Assumed Current TE","Constrained TE","Opportunity Cost"]
[null,null,null,"Retail",600000000000,0.9,{"$f":"E7*F7","v":540000000000},1.4999999999999999E-2,{"$f":"$B$4","v":0.01},{"$f":"G7*(H7-I7)*$B$3","v":539999999.99999988}]
[null,null,null,"Corporate",60000000000,0.5,{"$f":"E8*F8","v":30000000000},0.02,{"$f":"$B$4","v":0.01},{"$f":"G8*(H8-I8)*$B$3","v":60000000}]
[null,null,null,"Industry",760000000000,0.9,{"$f":"E9*F9","v":684000000000},0.03,0.01,2736000000]
[null,null,null,"Public Sector",0,0.5,{"$f":"E10*F10","v":0},0.03,0.01,0]
[]
[null,null,null,null,null,null,null,null,null,{"$f":"SUM(J7:J10)","v":3336000000}]
[]
["Key"]
["Input required"]
["Automatic calculations"]
["Results"]