Evaluating any P123 portfolio hedged with iM-Best(Short) Large-Cap.

Testing your favorite P123 or R2G model hedged with short models such as iM-Best(Short) is unfortunately not possible with the tools provided at P123. The P123 ‘books’ cannot cope with a model intended for hedging. To bridge this gap we designed a MS-excel spreadsheet which you can download here.

In the excel spread sheet one can set the hedge percentage to any value manually.  It also includes a simple macro that fills a table so that the performance at various percentage hedging (in 10% increments from 0% to 100%) can be compared. The spreadsheet functionality is otherwise not changed with or without this macro enabled.  Instructions are found in the excel sheet.

By downloading you acknowledge and agree:

  •    To accept the MS Excel Workbook as is,
  •    that you are aware that VBA macros are included,
  •    that there is no recourse for any consequence in using this MS Excel Workbook.

NOTE: On opening the downloaded file it may show an error. Please ignore this error message by closing the error window.

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2 comments on “Evaluating any P123 portfolio hedged with iM-Best(Short) Large-Cap.
  1. RJJ says:

    Thank you very much for sharing this incredible spreadsheet! I do have a question on the annual formulas to the right of the spreadsheet. Please see this link for the screenshot of the questions.. http://screencast.com/t/0WyxUXYx

    • geovrba says:

      The values in cells AL65 to AL78 are the annual returns of the long model with zero hedge. The values should be the same as in AE65 to AE78. These values do not update automatically. One has to run the model with zero hedge and then paste the values (not formulas) from cells AD65 to AD78.

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