Advanced Portfolio Analytics Library .NET

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Below some screenshots taken from the example spreadsheet...

Temporal Disaggregation Methodologies: Constructing Monthly Observations from Quarterly Data

Constant Tracking Error Frontier, ISO Tracking Erroe Curves

Simulations for a Markow Regime Switching Process

Singular Spectral Analysis (Univariate Case)

Plotting Cones of Uncetainty

Conditional Correlations: Tail, Downside & More


Principal Component Analysis (PCA), Eigenvalues & Eigenvectors

Drawdown Analysis

Time-Weighted & Money-Weighted Return Calculator

Risk-Adjusted Performance Analysis

Mean Variance Efficient Frontiers

Risk Parity Portfolio (Equal Volatility Contribution Portfolio)

Ichimoku Chart


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