More improvements just in time for the holiday season, warm wishes from the Windham Labs team!
Expanded data set available for analysis.
Licensing and security improvements.
Optimized loading of instruments and economic variables, 10x improvement!
Improved database infrastructure.
The Labs team have been busy generating new modeling ideas and implementing them for your analysis needs. We've added our recent research insight into a different approach to regression - for mapping relative scenario probabilities onto asset class returns.
Access the Partial Sample Regression as a regression model for mapping scenario probabilities onto asset class returns, and configure a relevance threshold.
Added a Help menu item under the user profile.
Improve administration panel configuration.
Partial sample regression model to the calculation engine (see the our research paper in the Journal of Portfolio Management September 2020)
New endpoints for Historical Events and authentication.
Prospective change to reference anchor scenario when calculating expected scenario returns.
Squashed bug when creating prospective scenarios with the same name as anchor scenarios.
Hello World! Scenario Lab's first version gets introduced to the market today.
Export diagnostics data for advanced and internal users.
Fixed asynchronous request conflict on View Historical Impact screen.
View Historical Impact now defaults to grouping by attribute across all portfolios.
Independent variables treatment (yearly changes) in multi-factor regressions.
Updated research portal reference.
Minor UI revisions.
You can now review historical events and their impact across your portfolios and use a new index of the business cycle, the KKT Index - a recession probability indicator.
The Kinlaw-Kritzman-Turkington (KKT) Index, a recession probability indicator, is now included in Scenario Lab.
View Historical Impact screen: analyze historical events across portfolios.
Improved server security.
Minor control behavior fixes across data selection screens.
Stability fix on Examine Scenarios screen.
Introducing Scenario Lab internally, we believe this is going to be a neat tool for analysts.
Store and encapsulate case studies into "case files".
Select economic variable and asset data from a Windham-curated list of instruments.
Review timeseries and descriptive statistics about timeseries data.
Specify and customize prospective scenarios as projections of economic variables.
Analyze and update probabilities of prospective scenarios given anchor scenarios.
Inspect economic variable returns mapped onto asset class returns.
Observe each portfolio’s expected return based on (scenario) probability-weighted returns.