-Correlation Matrix
-Value at Risk at different portfolio levels
-historical volatility


On Sat, Dec 22, 2012 at 3:16 PM, Ron Michael <ron_michael70@yahoo.com>wrote:

> Thanks Ralph for your input. This is great. However I need something from
> traders' point of views. What a trader might want to see?
>
> Thanks and regards,
>
> ----- Original Message -----
> From: Ralph Vince <rvince99@gmail.com>
> To: Ron Michael <ron_michael70@yahoo.com>
> Cc: "r-sig-finance@r-project.org" <r-sig-finance@r-project.org>
> Sent: Sunday, 23 December 2012 12:52 AM
> Subject: Re: [R-SIG-Finance] Statistical analysis
>
> 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@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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>
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