StatPro Whitepapers
StatPro executives and
staff are highly dedicated professionals with a wealth of knowledge
behind them.
Below is a selection of articles designed to provide an further
knowledge of the industry we work in.
StatPro’s marketing and technology director Neil Smyth sits down with Waters Technology to talk about where the company is headed next, and about the applications for analytics in the cloud.
Front-office portfolio management is in
need of a revolution. The credit crisis
and velocity of change in the markets
have forced portfolio managers to
evolve the way they work and to update
the types of tools they have at their
disposal.
The Sterling ratio is the most perplexing of performance ratios, there appears to be multiple versions in common usage and additionally it is often confused with the Calmar ratio.
The traditional problem of Liquidity Risk is that the data needed for calibrating these models is only available for liquid instruments, trading on a regular basis and for which books of bid/ask and volumes are available.
Carl Bacon on risk adjusted performance measures.
Any discussion on risk-adjusted performance measures must start with the grandfather of all risk measures the Sharpe Ratio or Reward to Variability which divides the excess return of...
This article does not seek to discuss how most of the criticism is often ill-placed, that VaR is not the only risk measure available in risk management, that VaR can be produced with models other than Gaussian Variance/Covariance, and so forth.
In one sense there ought not to be too much discussion about the relative merits of money-weighted or time-weighted attribution, the attribution methodology must be consistent with the methodology used to calculate the total return of the portfolio.
The CFA Institute sponsored the creation of the Global Investment Performance Standards (GIPS) to provide an ethical framework for the calculation and presentation of the performance history (or track record) of asset management firms.
In line with its tradition of transparency, StatPro has taken the decision to publish the risk methodology used in the StatPro Risk Management product (SRM).
