Navigation
Learning how to navigate Scenario Lab
Main Navigation ☰
Expanding the navigation menu will show the available screens.
Status Panel
Throughout the application, the bottom panel will display useful information such as the name of the casefile you are currently working on, the common date range of the data, and the previous and next screens available relative to your current location.
Workflow from Research Paper
The application abstracts and generalizes the framework by Kritzman, et. al. (2020):
Define a set of prospective scenarios as a combination of economic variables.
Calculate the Mahalanobis distance of prospective scenarios from the prevailing and normal values and convert the statistical distances into a measure of relative likelihoods.
Map the scenario probabilities onto asset class returns and review.
Workflow in Scenario Lab
In Scenario Lab, we break down the framework described in our research into four user interface modules.
Administration
Choose Casefile We organize data and scope of an analysis into a casefile document. Manage and organize your library of casefiles (analyses) on this screen.
Design
Select Economic Variables Start building your casefile by selecting from dozens of commonly used economic variable time series. The software includes both quarterly and monthly time series.
Select Assets Choose from an extensive list of asset class index returns to include in your casefile.
Review
Review Economic Variables Inspect time series properties of selected economic variables corresponding charts.
Review Assets Inspect time series properties of selected asset class index returns along with interactive visualizations.
Analysis
Classify Scenarios Determine criteria to partition the data for initializing weak, normal, and robust scenarios.
Examine Scenarios Estimate scenario probabilities, revise scenario estimates, or define new scenarios.
Estimate Expected Returns Map scenario probabilities onto asset class returns.
Evaluate Portfolios Contrast summary statistics across portfolios or export data and results.
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