Tools
27 tools in 7 modules. Each works on its own, with no account needed; your instructor may also set labs that walk you through them.
A1
Return and RiskReturn Measures
Holding period, arithmetic and geometric returns, money- and time-weighted returns, and annualizing.
A2
Return and RiskRisk Statistics
Standard deviation, downside deviation, skewness, kurtosis and drawdown from a return series.
A3
Return and RiskAsset Correlations
A correlation matrix and rolling correlations for the assets you choose.
A4
Return and RiskAsset Class Correlations
The same view across asset classes, to see how diversifiers behave over time.
A5
Return and RiskDiversification Lab
See portfolio risk change as you move weights and correlations.
B1
Portfolio ConstructionEfficient Frontier
Plot the efficient frontier and find the tangency portfolio.
B2
Portfolio ConstructionCapital Allocation
The capital allocation line, risk aversion and the portfolio that maximizes utility.
B3
Portfolio ConstructionPortfolio Optimization
Optimize to a return or risk goal, with weight limits and a borrowing cost.
B4
Portfolio ConstructionRisk Parity
Equal risk contribution weights, compared with mean-variance results.
B5
Portfolio ConstructionCAPM and SML
Estimate beta, plot the security market line and find the required return.
C1
Backtesting and PerformanceBacktest Portfolio
Backtest portfolios side by side, with rebalancing, cash flows, inflation and a benchmark.
C2
Backtesting and PerformanceBacktest Asset Class Portfolio
The same backtest built from asset classes rather than individual funds.
C3
Backtesting and PerformancePerformance Evaluation
Sharpe, Sortino, Treynor, Jensen's alpha, M-squared, tracking error and information ratio.
D1
Risk ManagementValue at Risk
Historical, variance-covariance and Monte Carlo VaR, with normal or Student t returns.
D2
Risk ManagementStress Test
Run a portfolio through historical episodes and parameterized shocks.
D3
Risk ManagementMonte Carlo Simulation
Simulate goals and withdrawals with distributions or block bootstrap, inflation and life expectancy.
E1
Factors and Active ManagementFactor Regression
Regress returns on fictional sample factors, with rolling results.
E2
Factors and Active ManagementFund Factor Screen
Run factor regressions across a fund group and filter by fit and significance.
E3
Factors and Active ManagementFactor Attribution
Split performance into factor contributions and what's left over.
E4
Factors and Active ManagementActive Management
Active return and risk, information coefficient, breadth and the fundamental law.
F1
Tactical AllocationMoving Average Timing
Test moving average rules on a fund or portfolio.
F2
Tactical AllocationValuation Timing
Test allocation rules on a fictional cyclically adjusted PE ratio.
F3
Tactical AllocationMomentum Models
Relative strength and dual momentum rotation rules.
F4
Tactical AllocationTarget Volatility
Scale exposure up and down to hold a volatility target.
F5
Tactical AllocationCoppock Curve
The Coppock Curve long-term momentum signal, with filtering.
G1
ReferenceFormula Sheet
The formulas behind every tool, grouped by topic, with each term explained.
G2
ReferenceMetrics Explainer