Statistical Analysis

• Risk and return analysis: measures including Standard Deviation, Value at risk (VaR), Expected shorfall, Shortfall probability, Downside risk, Semi-deviance, Maximum draw-down/up.
• Risk-adjusted performance measures: (RAPMs), including Sharpe Ratio, Sortino Ratio, Treynor Ratio, Modigliani measure, Information ratio and Equivalent return.
• Statistical distribution: Mean, Variance, Skewness, Kurtosis, Excess kurtosis, Confidence Intervals, Correlation indices.
• Fama decomposition: Selectivity, Diversification, Net selectivity and Normal return.
• Tracking error: Mean tracking error, Tracking error volatility, Tracking error skewness and Tracking error kurtosis.
• Capital asset pricing (CAPM)/Single index modelling: estimation of Beta, Jensen Alpha and R2, including computations using a quadratic model; Variance decomposition in systematic and idiosyncratic risk.
• Loss-Gain: Loss and gain, Gain/loss, Gain/loss ratio, Treynor-Black ratio.
• FIDA Amplification Factor: proprietary analysis involving comparisons among benchmarks.

Model Portfolios

• MPT (FIDA Easy Sampling): Proprietary portfolio optimisation model.
• MPT (Resampling):Modern Portfolio Theory (MPT) with resampling (Multivariate normal/Brownian motion analysis, Bootstratpping, GARCH/N-GARCH modelling).

Portfolio Performance & Risk Analysis

• Performance contribution/attribution: Single-period models (Brinson, Hood, Beebower and Brinson, Fachler); Arithmetic multi-period models (Cariño, Menchero, GRAP, Frongello, Davis & Laker); Geometric multi-period models (Bacon, Menchero)
• Risk attribution: Portfolio risk decomposition using parametric methods; Value at risk (VaR); Expected shortfall by parametric methods of interpolation and resampling.
• Scenario simulation: Multivariate normal/Brownian motion analysis, Bootstraping, GARCH/N-GARCH modelling.

Statistical Analysis

• Risk and return analysis: measures including Standard Deviation, Value at risk (VaR), Expected shorfall, Shortfall probability, Downside risk, Semi-deviance, Maximum draw-down/up.
• Risk-adjusted performance measures: (RAPMs), including Sharpe Ratio, Sortino Ratio, Treynor Ratio, Modigliani measure, Information ratio and Equivalent return.
• Statistical distribution: Mean, Variance, Skewness, Kurtosis, Excess kurtosis, Confidence Intervals, Correlation indices.
• Fama decomposition: Selectivity, Diversification, Net selectivity and Normal return.
• Tracking error: Mean tracking error, Tracking error volatility, Tracking error skewness and Tracking error kurtosis.
• Capital asset pricing (CAPM)/Single index modelling: estimation of Beta, Jensen Alpha and R2, including computations using a quadratic model; Variance decomposition in systematic and idiosyncratic risk.
• Loss-Gain: Loss and gain, Gain/loss, Gain/loss ratio, Treynor-Black ratio.
• FIDA Amplification Factor: proprietary analysis involving comparisons among benchmarks.

Model Portfolios

• MPT (FIDA Easy Sampling): Proprietary portfolio optimisation model.
• MPT (Resampling):Modern Portfolio Theory (MPT) with resampling (Multivariate normal/Brownian motion analysis, Bootstratpping, GARCH/N-GARCH modelling).

Portfolio Performance & Risk Analysis

• Performance contribution/attribution: Single-period models (Brinson, Hood, Beebower and Brinson, Fachler); Arithmetic multi-period models (Cariño, Menchero, GRAP, Frongello, Davis & Laker); Geometric multi-period models (Bacon, Menchero)
• Risk attribution: Portfolio risk decomposition using parametric methods; Value at risk (VaR); Expected shortfall by parametric methods of interpolation and resampling.
• Scenario simulation: Multivariate normal/Brownian motion analysis, Bootstraping, GARCH/N-GARCH modelling.