QP RBSA Style Analysis

This is an Excel and VBA demonstration of the correct calculation of the Returns Based Style Analysis (RBSA) method of William F. Sharpe. A number of people attempt to do this via constrained linear regression which is not in general correct except under very strict conditions.

The VBA UDF =RBSAQPfin (Regressors, Fund ) includes an implementation of the same GOLDfarb / Idnani constrained quadratic solver algorithm found in MATLAB's Quadprog. Port by Berwin A. Turlach

TIP: due to new security protocols regarding VBA code, you will need to download the spreadsheet and save it as a .xlsm file, then close and re-open for macros to work.