Quantitative Measures

Price Risks

Price Risk helps investors understand portfolio risks. Investors should always understand that historical performances do not reflect future results.

FAQ

Browse our FAQ for some of the frequently asked questions. If you have a question that is not answered in our faq, please message me directly.

FAQ

Quantitative

Descriptions of quantitative measure and risk management structure we use for our PM engine. Here we explain the science behind our PM engine.

Services

We provide multi level services package from low level raw data to high level customized model portfolios and algo builder for investment funds.

Quantitative Measures

Standard deviation is used to measure and quantify the amount of variation of a set of data values. It is sometimes generally defined as volatility or risk.

GARCH (Generalized Autoregressive Conditional Heteroskedasticity) model is a time-series model that uses the squared value of past returns observations and past variances to model variance at a different time.

Delta VaR (Variance at Risk) assumes normal distribution and provides the maximum loss given a range of certain confidence interval levels.

Portfolio Management

You may change the actual purchase price before you commit. If you have already click the buy button, you will need to enter the new price and click the buy button again.

Intrinsic value is a term used by value investors to understand the underlying value of a stock. There are different measures and different approaches to determine the intrinsic value. We use free cash flow model to determine the intrinsic value. In order to obtain the intrinsic value, you must have hedge fund class.

GIPS Methodology

According to GIPS's valuation principles: Valuation Principles The following are guiding principles that firms must use when determining portfolio values as the basis for return calculations:
  • For periods beginning on or after 1 January 2011, portfolios must be valued in accordance with the definition of fair value and the GIPS Valuation Principles in Chapter II of the GIPS standards.
  • For periods prior to 1 January 2011, portfolio valuations must be based on market values (not cost basis or book values).
    • Firms must value portfolios in accordance with the composite-specific valuation policy.
    • For periods prior to 1 January 2001, portfolios must be valued at least quarterly. Guidance Statement on Calculation Methodology CFA Institute GIPS Guidance Statement on Calculation Methodology 2
    • For periods beginning on or after 1 January 2001, portfolios must be valued at least monthly.
    • For periods beginning on or after 1 January 2010, firms must value portfolios on the date of all large cash flows. Firms must define large cash flow for each composite to determine when portfolios in that composite must be valued.
    • Portfolios must not be valued more frequently than required by the composite-specific valuation policy.
  • For periods beginning on or after 1 January 2010, firms must value portfolios as of the calendar month end or the last business day of the month.
  • Firms must use trade date accounting for periods beginning on or after 1 January 2005. [Note: for purposes of the GIPS standards, trade date accounting recognizes the asset or liability on the date of the purchase or sale, not on the settlement date. Recognizing the asset or liability within three days of the date the transaction is entered into (trade date, T + 1, T + 2, or T + 3) satisfies the trade date accounting requirement for purposes of the GIPS standards.]
  • Accrual accounting must be used for fixed-income securities and all other investments that earn interest income. The value of fixed-income securities must include accrued income.
  • Accrual accounting should be used for dividends (as of the ex-dividend date).
According to GIPS standard: The following are guiding principles that firms must use when calculating portfolio returns:
  • All returns must be calculated after the deduction of the actual trading expenses incurred during the period. Firms must not use estimated trading expenses.
  • Total returns must be used. Total return is defined as the rate of the return that includes the realized and unrealized gains and losses plus income for the measurement period.
  • The calculation method chosen must represent returns fairly, must not be misleading, and must be applied consistently.
  • Firms must calculate time-weighted rates of return that adjust for external cash flows. External cash flow is defined as capital (cash or investments) that enters or exits a portfolio and is generally client driven. Income earned on a portfolio’s investments is not considered an external cash flow unless it is paid out of the portfolio.
  • For periods beginning on or after 1 January 2005, firms must calculate portfolio returns that adjust for daily-weighted external cash flows. An example of this methodology is the Modified Dietz method.
  • For periods beginning on or after 1 January 2010, at the latest, firms must calculate performance for interim sub-periods between all large cash flows and geometrically link performance to calculate periodic returns. (Note: For periods beginning on or after 1 January 2010, firms must define prospectively, on a composite-specific basis, what constitutes a large cash flow.) For information on calculating a “true” time-weighted return, see the “Time-Weighted Rate of Return” section below.
Portfolios
stock expected portfolio price
stock New Signal Previous Signal
{