DazUtility provides various transformations for your return data series.  It does not perform any analysis on these transformations, which can be used with the other Daz modules.

All transformations are placed into new worksheets in your Excel workbook without affecting your existing data.

Structure

DazUtility does not have a single function structure in the same way as the other Daz modules.  Each function has its own structure and results.  Unlike the other Daz analytic modules, DazMarket is used from the Excel ribbon interface – restricting it only to Excel 2007 and later.

All results are determined by the treatment of the Passive return series, except DazFold and DazUnfold.  This enables you, for example, to separate all your return series data by whether or not the S&P 500 Passive series had gains or losses.  Further analysis may then determine that some investments correlate more strongly when the S&P 500 is experiencing losses, or not!

DazD2W

DazD2W(Passive, Active, Dates, Labels)
Active – required, refers to an active return series
Dates – optional, refers to a range of rates
Labels – optional, refers to a range of labels for Active returns
Vertical – optional, refers to the orientation of the Active range
Pct – optional, a flag that forces DazD2W to convert the Active series into percentages ((i.e. 4.32% or 0.0432)

DazD2W converts an array of daily returns into an array of weekly returns.  All the weekly returns are aligned to Friday, regardless of the day of the last quote.  The provides consistency across returns regardless of market conventions and exchange closing worldwide.

DazD2M

DazD2M(Passive, Active, Dates, Labels)
Active – required, refers to an active return series
Dates – optional, refers to a range of rates
Labels – optional, refers to a range of labels for Active returns
Vertical – optional, refers to the orientation of the Active range
Pct – optional, a flag that forces DazD2M to convert the Active series into percentages ((i.e. 4.32% or 0.0432)

DazD2M converts an array of daily returns into an array of monthly returns.  All the weekly returns are aligned to the last calendar date of the month, regardless of the day of the last quote.  The provides consistency across returns regardless of market conventions and exchange closing worldwide.

DazEvent

DazEvent(Passive, Active, Dates, PassiveLabels, ActiveLabels, Up, Down, Vertical)
Passive – required, refers to the benchmark or index return series.  May be the only return series
Active – optional, refers to an active return series
Dates – optional, refers to a data range of rates
PassiveLabels – optional, refers to a range of labels for the Passive returns
ActiveLabels – optional, refers to a range of labels for the Active returns
Up – optional, the filter value used to select Up Passive events.  The default value is 0
Down – optional, the filter value used to select Down Passive events.  The default value is 0
Vertical – optional, refers to the orientation of the Passive range

DazEvent produces three new arrays in three new worksheets inserted into your Excel workbook.  These new arrays are Up, Down and Neutral based on the conditional values specified for Up and Down filters.

DazExcess

DazExcess(Passive, Active, Dates, PassiveLabels, ActiveLabels, Vertical)
Passive – required, refers to the benchmark or index return series.  May be the only return series
Active – required, refers to an active return series
Dates – optional, refers to a data range of rates
PassiveLabels – optional, refers to a range of labels for the Passive returns
ActiveLabels – optional, refers to a range of labels for the Active returns
Vertical – optional, refers to the orientation of the Passive range

DazExcess produces one new array containing the Passive return series and the excess return of each Active series over the Passive series.  The new array is placed in a new worksheet inserted into your Excel workbook.

DazFold

DazFold(Active, Dates, Pct)
Active – required, refers to the return series to be folded
Dates – required, refers to the data range of dates associated with the Active series
SeriesLabel – optional, refers to a label for the series to be folded
Vertical – optional, refers to the orientation of the Active range
Pct – optional, a flag that forces DazFold to convert the Active series into percentages ((i.e. 4.32% or 0.0432).

DazFold takes a linear series of Active returns and dates and folds them into a block of monthly returns, which is placed in a new worksheet inserted into your Excel workbook.  The return series may be daily or monthly returns in either a vertical or horizontal orientation. The years are always placed in the rows, with months in columns and the annual return at the end of each row. DazFold adjusts for the return series starting and/or ending within a calendar year or month.

DazMarket

DazMarket(Passive, Active, Dates, Labels, Window, Pct)
Passive – required, refers to the benchmark or index return series.  May be the only return series
Active – optional, refers to an active return series
Dates – optional, refers to a data range of rates
PassiveLabels – optional, refers to a range of labels for the Passive returns
ActiveLabels – optional, refers to a range of labels for the Active returns
Window – the minimum number of periods to be included in a drawdown or run-up.  The default value is 1, which means all events are filtered into either a run-up or drawdown market
Vertical – optional, refers to the orientation of the Passive range
Pct – optional, a flag that forces DazMarket to convert the Active series into percentages ((i.e. 4.32% or 0.0432).

DazMarket is similar to DazEvents in that it filters all the data series based on the behavior of the Passive series.  In DazMarket the key behavior of the Passive series is based on non-overlapping drawdowns and run-ups (with a minimum duration greater than Window) rather than just the conditional value of individual returns.  Three new arrays are created for run-ups, drawdowns and neutral market conditions.  The three arrays are placed in new worksheets inserted into your Excel workbook.

DazP2R

DazReturns(Active, Dates, Labels, Vertical)
Active– required, refers to an array of periodic prices
Dates – optional, refers to a data range for the Active prices
Labels – optional, refers to a range of labels for the Active prices
Vertical – optional, refers to the orientation of the Active range

DazReturns produces one new array containing the periodic returns calculated from a periodic series of prices.  The new array is placed in a new worksheet inserted into your Excel workbook.

DazSign

DazSign(Passive, Active, Dates, Labels, Up, Down)
Passive – required, refers to the benchmark or index return series.  May be the only return series
Active – optional, refers to an active return series
Dates – optional, refers to a data range of rates
PassiveLabels – optional, refers to a range of labels for the Passive returns
ActiveLabels – optional, refers to a range of labels for the Active returns
Up – optional, the filter value used to select Up events.  The default value is 0
Down – optional, the filter value used to select Down events.  The default value is 0
Vertical – optional, refers to the orientation of the Active range

Like DazEvents, DazSign produces three new arrays in three new worksheets inserted into your Excel workbook.  However, DazSign converts all returns into +1, –1 or 0 based on the conditional values of UFilter and DFilter.  These new arrays are Up, Down and Neutral based on the conditional values specified for Up and Down.

DazUnfold

DazUnfold(Active)
Active – required, refers to the block data range to be unfolded.

DazUnfold reverses DazFold by taking a block of monthly returns and unfolding it into a dated monthly return series.  Any annual returns at the end of the rows is ignored.