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32 Total results for product and free and sample content found

ComplianceIQ, CompSiteIQ, WealthIQ, Performan...

Average Up and Down Returns

08 Dec 2016

To calculate this statistic for a given return series r1, ..., rn, the program partitions the series in two parts, one made up of the positive returns, the other of the zero and negative returns. The average up and down returns are the respective averages of these two series.

ComplianceIQ, CompSiteIQ, PerformanceIQ, Zeph...

Annualize Results: Less Than One Year

08 Dec 2016

The Advanced Parameters tab in the Edit Analysis Parameters dialog allows the user to set a number of parameters that modify the way the calculations are made.

Topic Statistics and Mathematics

ComplianceIQ, CompSiteIQ, WealthIQ, Zephyr, P...

Annualized Standard Deviation

08 Dec 2016

The Annualized Standard Deviation is the standard deviation multiplied by the square root of the number of periods in one year.

ComplianceIQ, CompSiteIQ, PerformanceIQ, Weal...

Annualized Return

08 Dec 2016

The annualized return is the geometric mean of the returns with respect to one year. If we denote by NumYears the number of years covered by the returns, the formula becomes:

ComplianceIQ, CompSiteIQ, PerformanceIQ, Weal...

Annualized Excess Return

08 Dec 2016

It is very important to realize that annualized and cumulative excess return are not calculated in the naive way, by taking the annualized or cumulative return of the excess return series. Instead, one must take the annualized and cumulative return of the two original series and then form the difference between the two:

ComplianceIQ, CompSiteIQ, PerformanceIQ, Zeph...

Alpha

08 Dec 2016

The alpha and beta of a manager vs. a benchmark are obtained by fitting a straight line to the points in a scatter plot of the market returns vs. the manager's returns. Alpha is the intercept of this straight line, while beta is the slope. Hence, if the market returns change by some amount x, then the manager returns can be expected to change by Beta * x.

Topic Statistics and Mathematics

Zephyr

StatFACTs: Upside Omega

08 Dec 2016

Upside omega measures the count and scale of returns above a minimum acceptable return (MAR). Downside omega measures the count and scale of returns below the MAR.

Zephyr

StatFACTS: Up Capture

08 Dec 2016

Up capture measures the percentage of market gains captured by a manager when markets are up.