DazShift: Regime Shift Analysis

DazShift: Regime Shift Analysis

DazShift is a tool to analyze a data series, typically returns, for fundamental shifts in the levels of averages or dispersions.  It allows a chief investment officer or an investor to monitor the stability of the investment process. Premise The premise is very...
DazBeta: Coincidence

DazBeta: Coincidence

Coincidence is a proprietary measures of risk that I have developed and will be included in DazBeta. Premise The premise is very simple: I want to know about the expected relationship between portfolio returns and market returns I want to know about the unexpected...
DazBeta: Partial Natural Beta and Correlation

DazBeta: Partial Natural Beta and Correlation

Two of the proprietary measures of systematic risk that I have developed are the Partial Natural Beta and Partial Natural Correlation measures implemented in the DazBeta module. Premise The CAPM definition of Beta and Pearson’s correlation coefficient are based on the...
DazBeta: Vice and Virtue

DazBeta: Vice and Virtue

Vice and Virtue are two proprietary measures of risk included in DazRatio. Premise These functions were developed with a client who spent a great deal of effort thinking about their portfolio and the impact of incremental changes to the portfolio.  They have a large...
DazBeta v1.0

DazBeta v1.0

DazBeta provides analytical and functional estimates of correlation, covariance and Beta. Beta (and its associated parameters such as correlation) is one of the most common measures of ‘risk’ for investments.  Indeed it should be since diversification is one of the...