Your toolbox

Metrics and Time Series

Managers make statements. Pyrite offers the tools to verify those statements.

A combination of methods, metrics, charts, all enhanced by AI, provides answers to many questions.

This section explains some of the metrics and time series at your disposal.

Metrics and Time Series

Underlying Metrics

Below is an overview of the metrics and time series, organized by blocks, that are analyzed by Pyrite's quantitative techniques.

The full dictionary and the exact variable definitions are available to registered users.

Exposures are detected with quantitative techniques

  • Funds' exposures to assets are detected with correlations, uni-variate, multi-variate, multi-step, PCA, linear and logistic regressions.

  • Regression parameters include alphas, betas, t-Stats, p-Values, R-squares,

  • Alphas & betas are offered after filtering on p-Values or R-squares to confirm exposures.


All resulting metrics are provided in multiple forms, constituting families:

  • raw numbers: correlations, alphas, betas, probabilities...

  • percentiles across the industry (Q),

  • percentiles within the fund's stated style (QSt),

  • some measures are first taken in absolute values, then percentiled (QAbs, QAbsSt).

Metrics are calculated over several time horizons, in 2Y, 3Y and 5Y sliding windows.

Pyrite will continue to deploy new analysis techniques, new metrics, and new assets.

Metrics by blocks

Metrics and Time Series, Indicative List

Metrics are organized in blocks: Static, Performance and risk measures, Assets, Factors, Economics, Style analysis, Geographical analysis, Diligence and consistency.

# of Raw MetricsTenorsQuantilesExamples
STATIC information~35Raw, Q, QstAUM, fees, ...
PRM: Performance & risk metrics~452Y, 3Y, 5YRaw, Q, QstSharpe, MaxDD, kurtosis, MPPM, CVaR...
ASSETS:
→ Equity factor zoo200+2Y, 3Y, 5YRaw, Q, QstEarnings surprise, Mohanram G-score
→ Main asset classes (multistep, multivariate)142Y, 3Y, 5YRaw, Q, Qst, QAbs, QAbsStGlobal equities, Commodities
→ Equity - sectors60+2Y, 3Y, 5YRaw, Q, QstXLF, EXH1
→ Bonds - indices100+2Y, 3Y, 5YRaw, Q, QstHungary Gov 10Y
→ Loans - ETFs42Y, 3Y, 5YRaw, Q, QstBKLN
→ Commodities - prices70+2Y, 3Y, 5YRaw, Q, QstWTI, copper, sugar
→ FX - spot prices~1602Y, 3Y, 5YRaw, Q, QstEUR/USD, GHS/USD
→ Digital assets - prices~1602Y, 3Y, 5YRaw, Q, QstBTC, ETH, UNI
→ Real estate - ETFs/proxies~502Y, 3Y, 5YRaw, Q, QstAMT, LAND.L
→ Private Equity - proxies~252Y, 3Y, 5YRaw, Q, QstBX, KKR, HGT.L
→ Private Credit - proxies~152Y, 3Y, 5YRaw, Q, QstGLAD, HTGC
→ Infrastructure - listed funds~152Y, 3Y, 5YRaw, Q, QstBIP, DG.PA
→ Rare assets - proxies~152Y, 3Y, 5YRaw, Q, QstLuxury, sports cars, wines
→ Shipping - indices and proxies<102Y, 3Y, 5YRaw, Q, QstBaltic Dry Index
FACTORS:
→ Fama-French-Carhart (multivariate)4 factors2Y, 3Y, 5YRaw, Q, QstMarket, SMB, HML
→ Fung-Hsieh (multivariate)8 factors2Y, 3Y, 5YRaw, Q, QstMarket, TrendCommo, TrendFX
→ Alternative (multivariate)7 factors2Y, 3Y, 5YRaw, Q, QstBetting against beta, momentum
→ Volatility strategies - indices~802Y, 3Y, 5YRaw, Q, QstVIX, BXM, SKEW, SMILE
ECONOMICS:
→ Economic indicators~2502Y, 3Y, 5YRaw, Q, QStUS GDP, Austria CPI, Poland unemployment
→ Central bank rates~1702Y, 3Y, 5YRaw, Q, QStUSA, Cambodia
STYLE ANALYSIS:
→ Style - booleans10IsCTA
→ Style - core model102Y, 3Y, 5YRaw, Q, QStCTA, L/S Equity
→ Style - probabilities102Y, 3Y, 5YProbabilities, Q, QStCTA, L/S Equity
→ Style - listed strats~252Y, 3Y, 5YRaw, Q, QStASHM.L, TAIL
→ HF indices - Barclay Hedge~502Y, 3Y, 5YRaw, Q, QStEvent Driven, Crypto HFs
→ HF indices - With Intelligence~1202Y, 3Y, 5YRaw, Q, QStEquity FoF, Macro EM
GEOGRAPHICAL ANALYSIS:
→ Equity - regions50+2Y, 3Y, 5YRaw, Q, QstStoxx 600, MSCI World
→ Equity - countries250+2Y, 3Y, 5YRaw, Q, QstS&P Mid, FTSE
→ Geographical focus - booleans9IsEuropeanFocused
→ Geographical focus - geo-sensitive assets~25 assetssoonsoonEuropean equities, Japan HY bonds
→ Geographical focus - probabilities9 regionssoonsoonEurope, LatAm
DILIGENCE:
→ Massaging - academic metrics~20 tests2Y, 3Y, 5YRaw, Q, QStSmoothing, DiscZero, DecSpike
→ Consistency - complex testssoonsoonStyle accuracy, style drift, alpha consistency
OVERALL~2,0002Y, 3Y, 5Y