Style Tool - this application perfroms rolling window historical Style analysis to determine portfolio holdings and presents historical and current estimated holdings.
A typical session begins with a user selecting a Case file to analyze. Next specify the length of the Rolling Window to perfrorm Style Analysis. After clicking "EXECUTE", the output report with Style Analysis.
To install please first install R, Yahoo & Google Historical Quotes Downloader. Next download and unzip Style Tool. To run execute Style.exe.
This program requires R installation because all calculations are carried out in R. I also recommend to install Yahoo & Google Historical Quotes Downloader to automatically update your stock prices.
Help for Style project
This application perfroms rolling window historical Style analysis to determine portfolio holdings and presents historical and current estimated holdings. Please read Asset Allocation: Management Style and Perfromance Measurement by William F. Sharpe for detail explanations.
Main Screen
Case File structure:
The Case file is a csv file with following structure:
Style Analysis Report
Style Analysis Report contains details for historical styles/exposures estimated.
Historical Charts:
Summary statistics:
Pearson and Spearman(Rank) Correlations:
Historical Style Map:
This chart shows historical exposure to different styles:
Current Estimated Exposures:
Style Analysis R2:
Tracking Error:
Actual Returns minus Estimated returns based on the estimated holdings:
Style Analysis UnConstrained Report
Style Analysis UnConstrained Report is provided only for comparison. No constrains are imposed to find historical styles/exposures. Please note that in some case total exposure will not equal 100%.
Historical Style Map:
This chart shows historical exposure to different styles:
Current Estimated Exposures:
Style Analysis R2:
Tracking Error:
Actual Returns minus Estimated returns based on the estimated holdings:
'Update Prices' and 'Edit Stock List' buttons will be available only if Yahoo & Google Historical Quotes Downloader is installed.
'Edit Stock List' button
Press 'Edit Stock List' button to open stock list file in notepad. Add/Delete/Update list of tickers to be downloaded. Save file when done. Please note that all tickers must be valid Yahoo Finance tickers.
'Update Prices' button
Press 'Update Prices' to download data for all companies in stock list file. The Yahoo & Google Historical Quotes Downloader will start automatically. Please wait till all symbols are downloaded.
Frequently Asked Questions
Following are most likely reason for an Error message:
This program is free, but donations to support it will be appreciated. Click below if you wish to make a donation.
A typical session begins with a user selecting a Case file to analyze. Next specify the length of the Rolling Window to perfrorm Style Analysis. After clicking "EXECUTE", the output report with Style Analysis.
To install please first install R, Yahoo & Google Historical Quotes Downloader. Next download and unzip Style Tool. To run execute Style.exe.
This program requires R installation because all calculations are carried out in R. I also recommend to install Yahoo & Google Historical Quotes Downloader to automatically update your stock prices.
Help for Style project
This application perfroms rolling window historical Style analysis to determine portfolio holdings and presents historical and current estimated holdings. Please read Asset Allocation: Management Style and Perfromance Measurement by William F. Sharpe for detail explanations.
Main Screen
Case File structure:
The Case file is a csv file with following structure:
- Cell A1 - specifies Yahoo ticker for Style analysis, higlighted with "yellow"
- Rest of tickers in Column A, starting from row 2, are used to determine exposure, higlighted with "blue"
- Columns B and C, specify minimum and maximum allowable exposures, higlighted with "gray". The expected values are from 0 to 100, implying from 0% to 100% exposures.
Style Analysis Report
Style Analysis Report contains details for historical styles/exposures estimated.
Historical Charts:
Summary statistics:
Pearson and Spearman(Rank) Correlations:
Historical Style Map:
This chart shows historical exposure to different styles:
Current Estimated Exposures:
Style Analysis R2:
Tracking Error:
Actual Returns minus Estimated returns based on the estimated holdings:
Style Analysis UnConstrained Report
Style Analysis UnConstrained Report is provided only for comparison. No constrains are imposed to find historical styles/exposures. Please note that in some case total exposure will not equal 100%.
Historical Style Map:
This chart shows historical exposure to different styles:
Current Estimated Exposures:
Style Analysis R2:
Tracking Error:
Actual Returns minus Estimated returns based on the estimated holdings:
'Update Prices' and 'Edit Stock List' buttons will be available only if Yahoo & Google Historical Quotes Downloader is installed.
'Edit Stock List' button
Press 'Edit Stock List' button to open stock list file in notepad. Add/Delete/Update list of tickers to be downloaded. Save file when done. Please note that all tickers must be valid Yahoo Finance tickers.
'Update Prices' button
Press 'Update Prices' to download data for all companies in stock list file. The Yahoo & Google Historical Quotes Downloader will start automatically. Please wait till all symbols are downloaded.
Frequently Asked Questions
Following are most likely reason for an Error message:
- The Case File Format is different from expected. Please follow the examples provided to create your case files.
- The Historical Data for securities used in Style Analysis is not available. Specify tickers used Style Analysis in the "Stock List" file and click "Update Prices"
This program is free, but donations to support it will be appreciated. Click below if you wish to make a donation.
| Michael Kapler © |
