Analytics framework

Analytical framework - techniques, models, and metrics

Below is an overview of the analytical techniques and metrics deployed by Pyrite. Full variable definitions and model documentation are available to registered users.

Exposures are detected with correlations, univariate- and multivariate- 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/leverage.

All metrics are calculated in 2Y, 3Y and 5Y sliding windows.

All metrics are provided in multiple forms:

→ raw form: correlations, alphas, betas, probabilities...
→ percentiles across the industry (Q),
→ percentiles within the stated style (QSt),
→ Some measures are first taken in absolute values, then percentiled (QAbs, QAbsSt).

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

	# of Raw Metrics	Tenors	Quantiles	Examples
Static information	~35		Raw, Q, Qst	AUM, fees, ...
Performance & risk metrics	~45	2Y, 3Y, 5Y	Raw, Q, Qst	Sharpe, MaxDD, MPPM, CVaR...
FACTORS:
→ Fama-French-Carhart (multivariate)	4 factors	2Y, 3Y, 5Y	Raw, Q, Qst	Market, SMB, HML
→ Fung-Hsieh (multivariate)	8 factors	2Y, 3Y, 5Y	Raw, Q, Qst	Market, TrendCommo, TrendFX
→ Alternate (multivariate)	7 factors	2Y, 3Y, 5Y	Raw, Q, Qst	Betting against beta, momentum
→ Equity factor zoo	200+	2Y, 3Y, 5Y	Raw, Q, Qst	Earnings surprise, Mohanram G-score
→ Volatility strategies - indices	~80	2Y, 3Y, 5Y	Raw, Q, Qst	VIX, BXM, SKEW, SMILE
ASSETS:
→ Main asset classes (multistep, multivariate)	14	2Y, 3Y, 5Y	Raw, Q, Qst, QAbs, QAbsSt	Global equities, Commodities
→ Equity - sectors	60+	2Y, 3Y, 5Y	Raw, Q, Qst	XLF, EXH1
→ Bonds - indices	100+	2Y, 3Y, 5Y	Raw, Q, Qst	Hungary Gov 10Y
→ Loans - ETFs	4	2Y, 3Y, 5Y	Raw, Q, Qst	BKLN
→ Commodities - prices	70+	2Y, 3Y, 5Y	Raw, Q, Qst	WTI, copper, sugar
→ FX - spot prices	~160	2Y, 3Y, 5Y	Raw, Q, Qst	EUR/USD, GHS/USD
→ Digital assets - prices	~160	2Y, 3Y, 5Y	Raw, Q, Qst	BTC, Ethereum, Uniswap
→ Real estate - ETFs	~50	2Y, 3Y, 5Y	Raw, Q, Qst	AMT, LAND.L
→ Private Equity - proxies	~25	2Y, 3Y, 5Y	Raw, Q, Qst	BX, KKR, HGT.L
→ Private Credit - proxies	~15	2Y, 3Y, 5Y	Raw, Q, Qst	GLAD, HTGC
→ Infrastructure - listed funds	~15	2Y, 3Y, 5Y	Raw, Q, Qst	BIP, DG.PA
→ Rare assets - proxies	~15	2Y, 3Y, 5Y	Raw, Q, Qst	Luxury, sports cars, wines
→ Shipping - indices and proxies	<10	2Y, 3Y, 5Y	Raw, Q, Qst	Baltic Dry Index
ECONOMICS:
→ Economic indicators	~250	2Y, 3Y, 5Y	Raw, Q, QSt	US GDP, Austria CPI, Poland unemployment
→ Central bank rates	~170	2Y, 3Y, 5Y	Raw, Q, QSt	USA, Ireland, Cambodia
STYLE ANALYSIS:
→ Style - booleans	10			IsCTA
→ Style - core model	10	2Y, 3Y, 5Y	Raw, Q, QSt	CTA, L/S Equity
→ Style - probabilities	10	2Y, 3Y, 5Y	Probabilities, Q, QSt	CTA, L/S Equity
→ Style - listed funds	~25	2Y, 3Y, 5Y	Raw, Q, QSt	ASHM.L, TAIL
→ HF indices - Barclay Hedge	~50	2Y, 3Y, 5Y	Raw, Q, QSt	Event Driven, Crypto HFs
→ HF indices- With Intelligence	~120	2Y, 3Y, 5Y	Raw, Q, QSt	Equity FoF, Macro EM
GEOGRAPHICAL ANALYSIS:
→ Equity - regions	50+	2Y, 3Y, 5Y	Raw, Q, Qst	Stoxx600, MSCI World
→ Equity - countries	250+	2Y, 3Y, 5Y	Raw, Q, Qst	S&P Mid, FTSE
→ Geographical focus - booleans	9			IsEuropeanFocused
→ Geographical focus - geo-sensitive assets	~25 assets	soon	soon	European equities, Japan HY bonds
→ Geographical focus - probabilities	9 regions	soon	soon	Europe, LatAm
DILIGENCE:
→ Massaging - academic metrics	~20 tests	2Y, 3Y, 5Y	Raw, Q, QSt	Smoothing, DiscZero, DecSpike
→ Consistency - complex tests		soon	soon	Style accuracy, style drift, alpha consistency
OVERALL	~2,000	2Y, 3Y, 5Y