ApaLibNET

We are offering free webinars in which we demonstrate how to make full use of ApaLibNET's extensive functionality. A valid license is not a requirement, you find the subscription form at the bottom of this page.

Currently scheduled...

Topic: Return Calculation Functionality in ApaibNET

Date: July 4, 2025

Time: 1-3pm, Zurich, Switzerland time zone

Delivery: Microsoft Teams

Costs: Free

Speaker: Andreas Steiner

Content Outline:

Introduction
Function family apaReturn
- Dietz functions
- Modified Diez functions
- IRR functions
- Profit/Loss
- Others
Function family apaReturns
- Continuous/discrete conversions
- Cumulative calculations ("chain-linking")
- Portfolio returns from prices, from asset returns & weights
- Portfolio returns from allocations, net/gross of transaction costs
- Holding period returns
- Mean returns: arithmetic, geometric, exponentially-weighted
- Generating example dataa: random returns
- Rolling returns & links to function family apaTemporal
- Shrinking return vectors to hi, lo and mean values
- Bull/bear returns, up/down returns, lower/upper returns
Related functions
- Jensen's Alpha, Treynor/Mazui Alpha
- Loss functions
Discussion & Outlook

Past events which will be scheduled again at a later point...

Data Management, Simulation Techniques. Contribution and Attributions Functions, System Functions, Regression Methods, Linear Algebra & Matrix Manipulations, Temporal Aggregation & Disaggregation. Clustering & Graph Thery, Imputation - Filling Data Gaps, Mean-Variance Portfolio Construction, Probability Distributions, Correlation Scenario Analysis and Stress Testing, Conditional Correlations

Upcoming events which will be scheduled at a later point...

Backtesting, Linear Portfolio Construction - CVaR, ML, MAD & More, Correlation Calculations & Estimation, Risk & Risk-Adjusted Performance Measurement, Specialized Statistical Techniques (Copula Models, Singular Singluar Spectral Analysis, Hodrick/Prescott Filter), Miscellaneous Statistical Techniques (Plotting Cones, CSV Data, Ichimoku Chart, Technical Analysis, Z-Scores, Nelson/Siegel/Svensson Yield Curve, Credit Ratings, Various Statistical Tests)

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Advanced Portfolio Analytics Library .NET