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.

DazShift Analysis for DAZ index

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 v3.2: Coincidence

Coincidence is a more usable alternative to Correlation for measuring the relationship between returns in extreme markets.

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: 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.