DazBeta v3.2: Vice and Virtue
Vice and Virtue measure the added value of a marginal investment relative to its critical impact on the portfolio drawdowns.
DazBeta v3.2: Coincidence
Coincidence is a more usable alternative to Correlation for measuring the relationship between returns in extreme markets.
DazShift: Regime Shift Analysis
DazStat v3.2: Non-Parametric Standard Deviations and Annualized Volatility
Non-parametric Standard Deviation provides a consistent measure of risk regardless of the distribution of returns.
DazBeta v3.2: Partial Natural Beta and Correlation
Partial Natural Beta and Correlation provide more usable estimates of the relationships between returns.
DazRisk is a site for the activities and experience of Peter N.C. Davies. More information can be found here.
These activities fall into three categories: Consulting services, Excel add-in tools and Applications.
The consulting services can be arranged on the basis of a project, a fixed term or ad hoc needs. More information can be found here.
The Excel add-in tools range from Excel function libraries to analytical applications implemented in Excel. More information can be found here.
The Applications include Investment Performance Analysis that reconstructs portfolio performance with a configurable analysis based on the active investment decisions. The second application is a multi-bank data consolidation for positions, movements and performance with a highly customized and structured consolidated reporting.