{"text_format":"1","workbook":"xlsx","n_sheets":5,"sheets":["Disclaimer","Statistical Tests","Active Risk TE Est","Perf Test Tracking Error Est","Constraint Analysis"],"not_rendered":{"charts":1,"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":"Statistical Tests","index":1,"n_rows":10017,"n_cols":61,"rows_kept":1125,"cut":true,"hidden":true,"merged":[[17,57,18,58],[15,41,15,47],[11,3,12,4],[12,7,13,8],[13,14,13,20],[13,29,14,30],[14,33,15,34]],"bounds":{"rows_first":500,"rows_last":125,"rows_between":500,"halvings":2}}
[]
[null,"Key",null,"Test 1 - Exploring the impact of timeframe",null,null,null,null,null,null,null,null,null,null,"Test 2 - Exploring implementation test as an identifier of poor total investment performers",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Test 3 - Identifying 'bad' implementers in the presence of benchmarking noise",null,null,null,null,null,null,null,null,null,null,"Test 4 - Aggregated test",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Test 5 - Through-time test"]
[null,"Input required"]
[null,"Automatic calculations",null,null,"Timeframe",8,"yrs",null,null,null,null,null,null,null,"Timeframe",8,"yrs",null,null,null,null,null,null,null,null,null,null,null,null,null,"Timeframe",8,"yrs",null,null,null,null,null,null,null,null,"Timeframe",8,"yrs",null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Full Test Period",8,"yrs"]
[null,"Results",null,null,"Threshold",-5.0000000000000001E-3,null,null,null,null,null,null,null,null,"Threshold",-5.0000000000000001E-3,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Threshold",-5.0000000000000001E-3,null,null,null,null,null,null,null,null,null,"Threshold",-5.0000000000000001E-3,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Threshold",-5.0000000000000001E-3]
[]
[null,null,null,null,null,"Good fund","Bad fund",null,null,null,null,null,null,null,null,"Risk / AA","Implementation","Total",null,null,null,null,null,null,null,null,null,null,null,null,null,"Good fund","Bad fund",null,null,null,null,null,null,null,null,null,"Risk and AA","Implementation","Total",null,null,null,null,null,null,null,null,null,null,null,null,null,"Lookback Period",6,"yrs"]
[null,null,null,null,"E(Ret)",0,-7.4999999999999997E-3,null,null,null,null,null,null,null,"E(Ret)",0,0,{"$f":"SUM(P8:Q8)","v":0},{"$f":"AVERAGE(R16:R10015)","v":5.5440566413801195E-5},"(This number should be close to E(Ret))",null,null,null,null,null,null,null,null,null,null,"E(Ret)",0,-7.4999999999999997E-3,null,null,null,null,null,null,null,null,"E(Ret)",-7.4999999999999997E-3,0,{"$f":"SUM(AQ8:AR8)","v":-7.4999999999999997E-3},{"$f":"AVERAGE(AS16:AS10015)","v":-7.471619053402277E-3},"(This number should be close to E(Ret))",null,null,null,null,null,null,null,null,null,null,null,"Ann. Performance to date:",-5.0000000000000001E-3]
[null,null,null,null,"Ann Std Dev",1.2999999999999999E-2,3.5999999999999997E-2,null,null,null,null,null,null,null,"Ann Std Dev",7.0000000000000001E-3,7.0000000000000001E-3,{"$f":"SQRT(P9^2+Q9^2)","v":9.8994949366116667E-3},null,null,null,null,null,null,null,null,null,null,null,null,"Ann Std Dev (Implementation)",7.0000000000000001E-3,7.0000000000000001E-3,null,null,null,null,null,null,null,null,"Ann Std Dev (Implementation)",7.0000000000000001E-3,7.0000000000000001E-3,{"$f":"SQRT(AQ9^2+AR9^2)","v":9.8994949366116667E-3}]
[null,null,null,null,"Timeframe adjusted vol",{"$f":"F9*SQRT($F$4)/$F$4","v":4.5961940777125591E-3},{"$f":"G9*SQRT($F$4)/$F$4","v":1.2727922061357855E-2},null,null,null,null,null,null,null,"Timeframe adjusted vol",{"$f":"P9*SQRT($P$4)/$P$4","v":2.4748737341529167E-3},{"$f":"Q9*SQRT($P$4)/$P$4","v":2.4748737341529167E-3},{"$f":"SQRT(P10^2+Q10^2)","v":3.5000000000000005E-3},{"$f":"STDEV(R16:R10015)","v":3.4711980799870651E-3},"(This number should be close to adj. vol.)",null,null,null,null,null,null,null,null,null,null,"Ann Std Dev (Noise)",0,0,null,null,null,null,null,null,null,null,"Ann Std Dev (Noise)",0,1.2E-2,{"$f":"SQRT(AQ10^2+AR10^2)","v":1.2E-2},null,null,null,null,null,null,null,null,null,null,null,null,null,"Remaining Timeframe",{"$f":"BH4-BH7","v":2},"yrs"]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Testing (E(Ret))",{"$f":"AVERAGE(P16:P10015)","v":9.1125083703604617E-6},{"$f":"AVERAGE(Q16:Q10015)","v":4.6256472189790915E-5},"(These numbers should be close to E(Ret))",null,null,null,null,null,"Results from 10,000 simulations:",null,null,null,null,null,null,"Ann Std Dev (Total)",{"$f":"SQRT(AF9^2+AF10^2)","v":7.0000000000000001E-3},{"$f":"SQRT(AG9^2+AG10^2)","v":7.0000000000000001E-3},null,null,null,null,null,null,null,null,"Ann Std Dev (Total)",{"$f":"SQRT(AQ9^2+AQ10^2)","v":7.0000000000000001E-3},{"$f":"SQRT(AR9^2+AR10^2)","v":1.3892443989449804E-2},{"$f":"SQRT(AQ11^2+AR11^2)","v":1.5556349186104046E-2},null,null,null,null,null,"Results from 10,000 simulations:",null,null,null,null,null,null,null,"Remaining Threshold",{"$f":"(BH4*BH5-BH7*BH8)/BH10","v":-5.000000000000001E-3}]
[null,null,null,"Mistakes: probability of mistakenly identifying a 'good' fund as 'bad'.",null,{"$f":"_xlfn.NORM.DIST($F$5,F8,F10,TRUE)","v":0.1383292120544328},{"$f":"_xlfn.NORM.DIST($F$5,G8,G10,TRUE)","v":0.57785871100552855},null,null,null,null,null,null,null,"Testing (adj. vol.)",{"$f":"STDEV(P16:P10015)","v":2.4384798175274046E-3},{"$f":"STDEV(Q16:Q10015)","v":2.4413378103984077E-3},"(These numbers should be close to adj. vol.)",null,null,null,null,null,"Expected number of 'Bad' funds:",{"$f":"IF(R8<=P5,10000,0)","v":0},null,null,null,null,null,"Timeframe adjusted vol",{"$f":"AF11*SQRT($AF$4)/$AF$4","v":2.4748737341529167E-3},{"$f":"AG11*SQRT($AF$4)/$AF$4","v":2.4748737341529167E-3},null,null,null,null,null,null,null,null,"Timeframe adjusted vol",{"$f":"AQ11*SQRT($AQ$4)/$AQ$4","v":2.4748737341529167E-3},{"$f":"AR11*SQRT($AQ$4)/$AQ$4","v":4.911720676097125E-3},{"$f":"SQRT(AQ12^2+AR12^2)","v":5.4999999999999997E-3},{"$f":"STDEV(AS16:AS10015)","v":5.4758209640688388E-3},"(This number should be close to adj. vol.)",null,null,null,"Expected number of 'Bad' funds:",{"$f":"IF(AS8<=AQ5,10000,0)","v":10000}]
[null,null,null,null,null,null,{"$f":"1-G12","v":0.42214128899447145},"Effectiveness: probability of failing to identify a 'bad' fund.",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"# simulations of 'Bad' Total Performance  breaching Threshold:",{"$f":"SUM(S16:S10015)","v":718},null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Testing (E(Ret))",{"$f":"AVERAGE(AQ18:AQ10017)","v":-7.4947004486027322E-3},{"$f":"AVERAGE(AR18:AR10017)","v":2.463662821408665E-5},"(These numbers should be close to E(Ret))",null,null,null,null,null,"# simulations of 'Bad' Total Performance  breaching Threshold:",{"$f":"SUM(AT18:AT10017)","v":6689},null,null,null,null,null,null,"From hereon assume a 'good' fund"]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Simulation Results",null,null,null,null,null,null,null,null,"# simulations of 'Bad' Implementation Performance  breaching Threshold:",{"$f":"SUM(T16:T10015)","v":185},null,null,null,null,"Mistakes: probability of mistakenly identifying a 'good' fund as 'bad'.",null,{"$f":"_xlfn.NORM.DIST($AF$5,AF8,AF12,TRUE)","v":2.1675875630431336E-2},{"$f":"_xlfn.NORM.DIST($AF$5,AG8,AG12,TRUE)","v":0.84378889437865323},null,null,null,null,null,null,null,null,"Testing (adj. vol.)",{"$f":"STDEV(AQ18:AQ10017)","v":2.43383664392076E-3},{"$f":"STDEV(AR18:AR10017)","v":4.9102354850211133E-3},"(These numbers should be close to adj. vol.)",null,null,null,null,null,"# simulations of 'Bad' Implementation Performance  breaching Threshold:",{"$f":"SUM(AU18:AU10017)","v":1518},null,null,null,null,null,null,"E(Ret)",0]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Risk and AA","Implementation","Total","'Bad' Performer","Bad' Implementer","Both",null,null,"# simulations of coincidence: observed 'Bad' Total Performers and 'Bad' Implementation:",{"$f":"SUM(U16:U10015)","v":122},null,null,null,null,null,null,null,{"$f":"1-AG14","v":0.15621110562134677},"Effectiveness: probability of failing to identify a 'bad' fund.",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"# simulations of coincidence: 'Bad' Total Performers and 'Bad' Implementation:",{"$f":"SUM(AV18:AV10017)","v":1518},null,null,null,null,null,null,"Ann Std Dev (Total)",7.0000000000000001E-3]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,1,{"$f":"$P$8+_xlfn.NORM.INV(RAND(),0,1)*$P$10","v":8.524982173431561E-4},{"$f":"$Q$8+_xlfn.NORM.INV(RAND(),0,1)*$Q$10","v":-3.7355780447819845E-5},{"$f":"(1+P16)*(1+Q16)-1","v":8.1511059115912943E-4},{"$f":"IF(R16<=$P$5,1,0)","v":0},{"$f":"IF(Q16<=$P$5,1,0)","v":0},{"$f":"S16*T16","v":0},null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Simulation Results",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Timeframe adjusted vol",{"$f":"BH15*SQRT(BH10)/BH10","v":4.9497474683058333E-3}]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,2,{"$f":"$P$8+_xlfn.NORM.INV(RAND(),0,1)*$P$10","v":4.1010961557172137E-3},{"$f":"$Q$8+_xlfn.NORM.INV(RAND(),0,1)*$Q$10","v":2.6039296205402067E-4},4.3625570143468462E-3,0,0,0,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Risk and AA","Implementation","Total","Bad Performer","Bad Implementer","Both"]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,3,-2.0809805317386211E-3,-1.3625182098710724E-3,-3.4406633677408482E-3,0,0,0,null,null,"Effectiveness: probability of failing to identify a 'bad' fund.",{"$f":"IF(Y12=0,\"N/A\",(Y12-Y14)/Y12)","v":"N/A"},{"$f":"IF(Y12=0,\"Fund not 'bad'\",\"\")","v":"Fund not 'bad'"},null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,1,{"$f":"$AQ$8+_xlfn.NORM.INV(RAND(),0,1)*$AQ$12","v":-7.7365217471831779E-3},{"$f":"$AR$8+_xlfn.NORM.INV(RAND(),0,1)*$AR$12","v":-1.5917111924669777E-3},{"$f":"(1+AQ18)*(1+AR18)-1","v":-9.3159186313943598E-3},{"$f":"IF(AS18<=$AQ$5,1,0)","v":1},{"$f":"IF(AR18<=$AQ$5,1,0)","v":0},{"$f":"AT18*AU18","v":0},null,null,"Effectiveness: probability of failing to identify a 'bad' fund.",{"$f":"IF(AZ12=0,\"N/A\",(AZ12-AZ14)/AZ12)","v":0.84819999999999995},{"$f":"IF(AZ12=0,\"Fund not 'bad'\",\"\")","v":""},null,null,null,null,"Mistakes: probability of mistakenly identifying a 'good' fund as 'bad'.",null,{"$f":"_xlfn.NORM.DIST(BH11,BH14,BH16,TRUE)","v":0.15621110562134666}]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,4,-4.3596778027460632E-4,2.5575365627439907E-3,2.1204537789309974E-3,0,0,0,null,null,"Attribution: due to variability and the timeframe:",{"$f":"IF(Y12=0,\"N/A\",(Y12-Y13)/Y12)","v":"N/A"},null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,2,{"$f":"$AQ$8+_xlfn.NORM.INV(RAND(),0,1)*$AQ$12","v":-9.9563409877622133E-3},{"$f":"$AR$8+_xlfn.NORM.INV(RAND(),0,1)*$AR$12","v":6.8847911539944981E-3},{"$f":"(1+AQ19)*(1+AR19)-1","v":-3.1400971621264873E-3},{"$f":"IF(AS19<=$AQ$5,1,0)","v":0},{"$f":"IF(AR19<=$AQ$5,1,0)","v":0},{"$f":"AT19*AU19","v":0},null,null,"Attribution: due to variability and the timeframe:",{"$f":"IF(AZ12=0,\"N/A\",(AZ12-AZ13)/AZ12)","v":0.33110000000000001}]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,5,1.1607717498114004E-3,-4.3692392900325733E-4,7.2334065185453156E-4,0,0,0,null,null,"Attribution: due to the test focusing on implementation and not total performance:",{"$f":"IF(Y12=0,\"N/A\",(Y13-Y14)/Y12)","v":"N/A"},null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,3,-6.4720246467610864E-3,1.0520819659511123E-2,3.9807040086095036E-3,0,0,0,null,null,"Attribution: due to the test focusing on implementation and not total performance:",{"$f":"IF(AZ12=0,\"N/A\",(AZ13-AZ14)/AZ12)","v":0.5171}]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,6,3.0220350709474616E-3,-2.8593650734377542E-5,2.99335500919784E-3,0,0,0,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,4,-4.9801494170430942E-3,-3.7277988572470091E-3,-8.6893832789843861E-3,1,0,0]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,7,3.3049876817475036E-3,2.4105756832516262E-3,5.72353028793815E-3,0,0,0,null,null,"Mistakes: probability of mistakenly identifying a 'good' fund as 'bad'.",{"$f":"IF(Y12=0,Y14/10000,\"N/A\")","v":1.8499999999999999E-2},{"$f":"IF(Y12=10000,\"Fund not 'good'\",\"\")","v":""},null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,5,-4.6160938292617963E-3,-1.1408809140769987E-2,-1.597223883655785E-2,1,1,1,null,null,"Mistakes: probability of mistakenly identifying a 'good' fund as 'bad'.",{"$f":"IF(AZ12=0,AZ14/10000,\"N/A\")","v":"N/A"},{"$f":"IF(AZ12=10000,\"Fund not 'good'\",\"\")","v":"Fund not 'good'"}]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,8,5.8736694051222671E-3,3.7967657308849126E-3,9.6927360827190334E-3,0,0,0,null,null,"Attribution: due to variability and the timeframe:",{"$f":"IF(Y12=0,(Y13)/10000,\"N/A\")","v":7.1800000000000003E-2},null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,6,-6.8408836953314529E-3,3.4897458034617618E-3,-3.3750108370373955E-3,0,0,0,null,null,"Attribution: due to variability and the timeframe:",{"$f":"IF(AZ12=0,(AZ13)/10000,\"N/A\")","v":"N/A"}]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,9,7.6090254485669691E-4,2.9484735647042092E-3,3.7116196105997368E-3,0,0,0,null,null,"Attribution: due to the test focusing on implementation and not total performance:",{"$f":"IF(Y12=0,(Y14-Y13)/10000,\"N/A\")","v":-5.33E-2},null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,7,-3.4728879858747968E-3,-7.4906965007892744E-3,-1.0937570136780539E-2,1,1,1,null,null,"Attribution: due to the test focusing on implementation and not total performance:",{"$f":"IF(AZ12=0,(AZ14-AZ13)/10000,\"N/A\")","v":"N/A"}]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,10,-2.8091275392620471E-3,2.3675367633176295E-4,-2.5730389342025761E-3,0,0,0,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,8,-7.976106168534532E-3,3.4104759691178654E-3,-4.5928325178316021E-3,0,0,0]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,11,2.788690580295679E-3,-4.6844492367157618E-3,-1.9088221358803947E-3,0,0,0,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,9,-5.5103715786305255E-3,-7.1908493286933521E-3,-1.2661596655556884E-2,1,1,1]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,12,-2.0246334515582787E-3,-4.7137258982314287E-4,-2.4950516846677928E-3,0,0,0,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,10,-5.8267578456109199E-3,-3.8423503966059677E-3,-9.6467197968979068E-3,1,0,0]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,13,-1.1465466546443975E-3,-9.4329071595873257E-4,-2.0887558437884257E-3,0,0,0,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,11,-5.6878767680233608E-3,1.4929815085166773E-3,-4.2033871543440959E-3,0,0,0]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,14,-2.5739930780257123E-3,-2.1201416390431876E-3,-4.6886774871656156E-3,0,0,0,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,12,-8.0121403462282657E-3,-2.2633414941803458E-3,-1.0257347630705738E-2,1,0,0]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,15,1.2223563264921228E-3,7.7361733671012722E-4,1.9969192992481677E-3,0,0,0,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,13,-7.672366972804965E-3,-1.0804141392378578E-3,-8.7444917782839582E-3,1,0,0]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,16,-5.1510096949265E-4,-2.4238098498595945E-3,-2.9376623125487722E-3,0,0,0,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,14,-7.3744846008179758E-3,-1.3463137083506132E-3,-8.7108699394584654E-3,1,0,0]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,17,6.2052945306456154E-5,1.3740090859896922E-3,1.4361472926067709E-3,0,0,0,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,15,-7.945978724178392E-3,-1.3599595662821822E-3,-9.2951320806811122E-3,1,0,0]
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{"sheet":"Active Risk TE Est","index":2,"n_rows":14,"n_cols":19,"rows_kept":14,"cut":false,"hidden":true,"merged":[]}
["Active Risk Tracking Error Estimate"]
["Description: estimates tracking error across an entire portfolio. This feeds into the performance test tracking error estimate (next worksheet)."]
["Note: Tracking error for unlisted property and unlisted infrastructure assumed to be captured at the asset class level."]
[]
["Key",null,null,null,null,null,null,null,null,null,null,"Traditional VC-V calculation"]
["Input required",null,null,null,"# Mgrs","Gross TE","Net TE","TE Cont."]
["Automatic calculations",null,"Australian Equities",0.25,4,0.03,{"$f":"SQRT(E7*((F7/E7)^2))","v":1.4999999999999999E-2},{"$f":"D7*G7","v":3.7499999999999999E-3},null,null,null,"Australian Equities",1,0,0,0,0,null,{"$f":"SUMPRODUCT($H$7:$H$11,M7:M11)","v":3.7499999999999999E-3}]
["Results",null,"Global Equities",0.25,4,0.03,{"$f":"SQRT(E8*((F8/E8)^2))","v":1.4999999999999999E-2},{"$f":"D8*G8","v":3.7499999999999999E-3},null,null,null,"Global Equities",0,1,0,0,0,null,{"$f":"SUMPRODUCT($H$7:$H$11,N7:N11)","v":3.7499999999999999E-3}]
[null,null,"Credit",0.05,1,0.02,0.02,1E-3,null,null,null,"Credit",0,0,1,0,0,null,{"$f":"SUMPRODUCT($H$7:$H$11,O7:O11)","v":1E-3}]
[null,null,"Fixed Income",0.2,2,0.01,7.0710678118654753E-3,1.4142135623730952E-3,null,null,null,"Fixed Income",0,0,0,1,0,null,{"$f":"SUMPRODUCT($H$7:$H$11,P7:P11)","v":1.4142135623730952E-3}]
[null,null,"Cash",0.05,1,0,0,0,null,null,null,"Cash",0,0,0,0,1,null,{"$f":"SUMPRODUCT($H$7:$H$11,Q7:Q11)","v":0}]
[]
[null,null,null,null,"Gross Volatility:",null,{"$f":"SUMPRODUCT(D7:D11,G7:G11)","v":9.9142135623730959E-3},null,null,null,null,null,null,null,null,null,null,null,{"$f":"SQRT(SUMPRODUCT(H7:H11,S7:S11))","v":5.5789784011053495E-3}]
[null,null,null,null,"Net Volatility:",null,{"$f":"S13","v":5.5789784011053495E-3}]

{"sheet":"Perf Test Tracking Error Est","index":3,"n_rows":15,"n_cols":14,"rows_kept":15,"cut":false,"hidden":true,"merged":[]}
["Performance Test Tracking Error Estimate"]
["Description: estimates the performance test tracking error estimate of the entire portfolio accounting for benchmark risk and active risk (accounted for in previous worksheet)."]
[]
[null,null,null,null,null,null,null,null,"Traditional VC-V calculation"]
["Key",null,null,"Allocation","Tracking Error to Performance Test benchmark","Gross TE contribution",null,null,null,"Unlisted Property","Unlisted Infrastructure","High Yield"]
["Input required",null,"Unlisted Property",7.0000000000000007E-2,{"$f":"3%*75%+6%*25%","v":3.7499999999999999E-2},{"$f":"D6*E6","v":2.6250000000000002E-3},null,null,"Unlisted Property",1,0.5,0,null,{"$f":"SUMPRODUCT($F$6:$F$8,J6:J8)","v":4.3750000000000004E-3}]
["Automatic calculations",null,"Unlisted Infrastructure",7.0000000000000007E-2,0.05,{"$f":"D7*E7","v":3.5000000000000005E-3},null,null,"Unlisted Infrastructure",0.5,1,0,null,{"$f":"SUMPRODUCT($F$6:$F$8,K6:K8)","v":4.8125000000000008E-3}]
["Results",null,"High Yield",7.0000000000000007E-2,0.09,6.3E-3,null,null,"High Yield",0,0,1,null,{"$f":"SUMPRODUCT($F$6:$F$8,L6:L8)","v":6.3E-3}]
[]
[null,null,null,null,"Gross Total TE",{"$f":"SUM(F6:F8)","v":1.2425E-2},null,null,null,null,null,null,null,{"$f":"SQRT(SUMPRODUCT(F6:F8,N6:N8))","v":8.2473101675637258E-3}]
[null,null,null,null,"Net Total TE",{"$f":"N10","v":8.2473101675637258E-3}]
[]
[null,null,null,null,"Vol from active",{"$f":"'Active Risk TE Est'!G14","v":5.5789784011053495E-3}]
[]
[null,null,null,null,"Portfolio performance test tracking error estimate",{"$f":"SQRT(F11^2+F13^2)","v":9.957064075318588E-3}]

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["Probability of Failure and Through-Time Portfolio Management"]
[]
[]
[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,"Performance Test Tracking Error (Total)",0.01,null,{"$f":"1-_xlfn.NORM.DIST($G$8,$G$6,$G$7/SQRT(8),TRUE)","v":0.99766113250947641},null,null,null,null,{"$f":"OO24/1000","v":0.94799999999999995}]
[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-G9),0,1)","v":-1.2815515655446006}]
[]
[]
[]
[]
[]
[]
[]
[]
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[]
[]
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[]
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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,"Performance","Series 1 - Year 7 Index","Series 2 - Year 6 Index","Series 3 - Year 5 Index","Series 4 - Year 4 Index","Series 5 - Year 3 Index","Series 6 - Year 2 Index","Series 7 - 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,"Performance","Series 1 - Year 8 Index","Series 2 - Year 7 Index","Series 3 - Year 6 Index","Series 4 - Year 5 Index","Series 5 - Year 4 Index","Series 6 - Year 3 Index","Series 7 - Year 2 Index","Series 8 - 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. 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Required Perf.","Likelihood of Passing","Reviewed Volatility","Final Volatility",null,"Performance","Series 3 - Year 8 Index","Series 4 - Year 7 Index","Series 5 - Year 6 Index","Series 6 - Year 5 Index","Series 7 - Year 4 Index","Series 8 - Year 3 Index","Series 9 - Year 2 Index","Series 10 - 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,"Performance","Series 4 - Year 8 Index","Series 5 - Year 7 Index","Series 6 - Year 6 Index","Series 7 - Year 5 Index","Series 8 - Year 4 Index","Series 9 - Year 3 Index","Series 10 - Year 2 Index","Series 11 - 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,"Performance","Series 5 - Year 8 Index","Series 6 - Year 7 Index","Series 7 - Year 6 Index","Series 8 - Year 5 Index","Series 9 - Year 4 Index","Series 10 - Year 3 Index","Series 11 - Year 2 Index","Series 12 - 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,"Performance","Series 6 - Year 8 Index","Series 7 - Year 7 Index","Series 8 - Year 6 Index","Series 9 - Year 5 Index","Series 10 - Year 4 Index","Series 11 - Year 3 Index","Series 12 - Year 2 Index","Series 13 - 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. 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