[R-SIG-Finance] Statistical analysis

[Ralph Vince]

Percentage of time at equity highs, within 1% of equity highs, 5%, 10%, 20%.

On Sat, Dec 22, 2012 at 1:49 PM, Ron Michael <ron_michael70 at yahoo.com> wrote:
> Hi all, I employed in a company which actively trades on various stocks, currency etc. Assuming those entire trading activities as a single portfolio, this portfolio's components are fixed (i.e. the constituent assets) however there are daily buy, sell happen on those assets.
>
> I was asked to provide Statistical insight on this portfolio, over last month.
>
> Can friends here give me some suggestions what should I put on such analysis? I am really looking for some bang therefore just do not want to create some mere time series of this portfolio's returns and VaR estimates!
>
> Thanks for your inputs.
>
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