DazBeta: Vice and Virtue

Vice and Virtue measure the added value of a marginal investment relative to its critical impact on the portfolio drawdowns.

DazBeta: Coincidence

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

DazStat: Non-Parametric Standard Deviations and Annualized Volatility

Non-parametric Standard Deviation provides a consistent measure of risk regardless of the distribution of returns.

DazBeta: Partial Natural Beta and Correlation

Partial Natural Beta and Correlation provide more usable estimates of the relationships between 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...

DazRisk is a site for the activities of Peter N.C. Davies.  These activities fall into two categories: consulting services and software tools.

Peter is available to provide consulting services for financial risk analysis, performance management, investment analysis and reporting. More information can be found here.

Daz  is a collection of software tools to empower the analysis of financial risk and performance. More information can be found here.

Both Davies Risk Services and Daz are founded on Peter’s experience and expertise as a trader, risk expert and practitioner. More information can be found here.