Quantpedia Pro platform gives you the opportunity to investigate your model multi-factor multi-strategy portfolios in over a hundred of different charts and tables in multiple quantitative reports in Portfolio Analysis section.
Basic Overview – review equity curve of your custom model portfolio, see it’s performance, drawdowns, volatility, risk-return characteristics, monthly and yearly performance charts and rolling beta and correlation.
Multi-Factor Analysis – decompose you custom portfolio into elementary investment factors by using our state-of-the-art multi-factor regression analysis with over 80 underlying factors.
Factor Analysis Models – similar to the report above, decompose your portfolio into elementary factors by using traditional factor models (like Fama&French etc.).
Closest Neighbours – inspect recommended Quantpedia’s ideas for trading strategies which are the most similar to the significant factors out of the multi-factor regression analysis.
Complementary Strategies – review recommendations for possible additions/enhancements of your model multi-factor multi-strategy portfolio.
Crisis Analysis – is a risk-management report that allows you to review your portfolio’s performance during 15 significant crisis periods over the last 20+ years.
Seasonality Analysis – analyze your model portfolio’s performance during the significant market-action periods like – days of economic announcements, FOMC meeting days, etc.
Trend/Reversal Analysis – figure out if you can improve your model portfolio by using the momentum, trend-following or reversal overlay.
Correlation Analysis – review your portfolio’s correlation structure in connection with the most common market and systematic equity, fixed income, currency, commodity, and alternative factors.
Volatility Targeting – amend your model portfolio by using one of the proposed volatility targeting methods (simple volatility, EWMA volatility, momentum-based volatility targeting).
Portfolio Factor Cycles – shows your portfolio’s components current state (Bear Market, Recovery, Bull Market, Correction) and historical changes in one table and two interactive charts.
Market Phases Analysis – offers the possibility to investigate past and future average performances, correlation of benchmark SPY ETF and model portfolio in each of those four baseline market phases.
Portfolio Risk Parity – finds weights of assets selected in the Portfolio Manager that ensure an equal level of risk, most frequently measured by volatility of the portfolio with risk characteristics.
