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Have a look at the following discussion between PCA versus FA : http://stats.stackexchange.com/questions/1576/what-are-the-differences-between-factor-analysis-and-principal-component-analysihttps://stats.stackexchange.com/questions/1576/what-are-the-differences-between-factor-analysis-and-principal-component-analysi, and choose what you think is theoretically adequate to your case.

[EDIT]

In regards to Risk Monitoring, EM Algorithm FA could be used to build Latent Factor Models on Alternative Indexes. My advice is to access some databases such as : indexiq, alternativeucits, etc. to obtain sufficient time series (returns) on the different strategies adopted or tracked by your funds. This might be relatively less costly (in terms of Time) than replicating those third-party index methodologies.

Ps: Few data (index strategies) could also be found on Bloomberg such as Newedge CTA Trend..

Once your Multi-Factor Model is built using EM algorithm (e.g loading, Score..), you could derive your Ex-Ante Sigma, and also easily apply Monte Carlo simulations on your Factors to derive VaR...

Have a look at the following discussion between PCA versus FA : http://stats.stackexchange.com/questions/1576/what-are-the-differences-between-factor-analysis-and-principal-component-analysi, and choose what you think is theoretically adequate to your case.

[EDIT]

In regards to Risk Monitoring, EM Algorithm FA could be used to build Latent Factor Models on Alternative Indexes. My advice is to access some databases such as : indexiq, alternativeucits, etc. to obtain sufficient time series (returns) on the different strategies adopted or tracked by your funds. This might be relatively less costly (in terms of Time) than replicating those third-party index methodologies.

Ps: Few data (index strategies) could also be found on Bloomberg such as Newedge CTA Trend..

Once your Multi-Factor Model is built using EM algorithm (e.g loading, Score..), you could derive your Ex-Ante Sigma, and also easily apply Monte Carlo simulations on your Factors to derive VaR...

Have a look at the following discussion between PCA versus FA : https://stats.stackexchange.com/questions/1576/what-are-the-differences-between-factor-analysis-and-principal-component-analysi, and choose what you think is theoretically adequate to your case.

[EDIT]

In regards to Risk Monitoring, EM Algorithm FA could be used to build Latent Factor Models on Alternative Indexes. My advice is to access some databases such as : indexiq, alternativeucits, etc. to obtain sufficient time series (returns) on the different strategies adopted or tracked by your funds. This might be relatively less costly (in terms of Time) than replicating those third-party index methodologies.

Ps: Few data (index strategies) could also be found on Bloomberg such as Newedge CTA Trend..

Once your Multi-Factor Model is built using EM algorithm (e.g loading, Score..), you could derive your Ex-Ante Sigma, and also easily apply Monte Carlo simulations on your Factors to derive VaR...

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Have a look at the following discussion between PCA versus FA : http://stats.stackexchange.com/questions/1576/what-are-the-differences-between-factor-analysis-and-principal-component-analysi, and choose what you think is theoretically adequate to your case.

[EDIT]

In regards to Risk Monitoring, EM Algorithm FA could be used to build Latent Factor Models on Alternative Indexes. My advice is to access some databases such as : indexiq, alternativeucits, etc. to obtain sufficient time series (returns) on the different strategies adopted or tracked by your funds. This might be relatively less costly (in terms of Time) than replicating those third-party index methodologies.

Ps: Few data (index strategies) could also be found on Bloomberg such as Newedge CTA Trend..

Once your Multi-Factor Model is built using EM algorithm (e.g loading, Score..), you could derive your Ex-Ante Sigma, and also easily apply Monte Carlo simulations on your Factors to derive VaR...

Hope it helps

Have a look at the following discussion between PCA versus FA : http://stats.stackexchange.com/questions/1576/what-are-the-differences-between-factor-analysis-and-principal-component-analysi, and choose what you think is theoretically adequate to your case.

[EDIT]

In regards to Risk Monitoring, EM Algorithm FA could be used to build Latent Factor Models on Alternative Indexes. My advice is to access some databases such as : indexiq, alternativeucits, etc. to obtain sufficient time series (returns) on the different strategies adopted or tracked by your funds. This might be relatively less costly (in terms of Time) than replicating those third-party index methodologies.

Ps: Few data (index strategies) could also be found on Bloomberg such as Newedge CTA Trend..

Once your Multi-Factor Model is built using EM algorithm (e.g loading, Score..), you could derive your Ex-Ante Sigma, and also easily apply Monte Carlo simulations on your Factors to derive VaR...

Hope it helps

Have a look at the following discussion between PCA versus FA : http://stats.stackexchange.com/questions/1576/what-are-the-differences-between-factor-analysis-and-principal-component-analysi, and choose what you think is theoretically adequate to your case.

[EDIT]

In regards to Risk Monitoring, EM Algorithm FA could be used to build Latent Factor Models on Alternative Indexes. My advice is to access some databases such as : indexiq, alternativeucits, etc. to obtain sufficient time series (returns) on the different strategies adopted or tracked by your funds. This might be relatively less costly (in terms of Time) than replicating those third-party index methodologies.

Ps: Few data (index strategies) could also be found on Bloomberg such as Newedge CTA Trend..

Once your Multi-Factor Model is built using EM algorithm (e.g loading, Score..), you could derive your Ex-Ante Sigma, and also easily apply Monte Carlo simulations on your Factors to derive VaR...

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Have a look at the following discussion between PCA versus FA : http://stats.stackexchange.com/questions/1576/what-are-the-differences-between-factor-analysis-and-principal-component-analysi, and choose what you think is theoretically adequate to your case.

[EDIT]

In regards to Risk Monitoring, EM Algorithm FA could be used to build Latent Factor Models on Alternative Indexes. My advice is to access some databases such as : indexiq, alternativeucits, etc. to obtain sufficient time series (returns) on the different strategies adopted or tracked by your funds. This might be relatively less costly (in terms of Time) than replicating those third-party index methodologies.

Ps: Few data (index strategies) could also be found on Bloomberg such as Newedge CTA Trend..

Once your Multi-Factor Model is built using EM algorithm (e.g loading, Score..), you could derive your Ex-Ante Sigma, and also easily apply Monte Carlo simulations on your Factors to derive VaR...

Hope it helps

Have a look at the following discussion between PCA versus FA : http://stats.stackexchange.com/questions/1576/what-are-the-differences-between-factor-analysis-and-principal-component-analysi, and choose what you think is theoretically adequate to your case.

[EDIT]

In regards to Risk Monitoring, EM Algorithm FA could be used to build Latent Factor Models on Alternative Indexes. My advice is to access some databases such as : indexiq, alternativeucits, etc. to obtain sufficient time series on the different strategies adopted or tracked by your funds. This might be relatively less costly (in terms of Time) than replicating those third-party index methodologies.

Ps: Few data (index strategies) could also be found on Bloomberg such as Newedge CTA Trend..

Once your Multi-Factor Model is built using EM algorithm (e.g loading, Score..), you could derive your Ex-Ante Sigma, and also easily apply Monte Carlo simulations on your Factors to derive VaR...

Hope it helps

Have a look at the following discussion between PCA versus FA : http://stats.stackexchange.com/questions/1576/what-are-the-differences-between-factor-analysis-and-principal-component-analysi, and choose what you think is theoretically adequate to your case.

[EDIT]

In regards to Risk Monitoring, EM Algorithm FA could be used to build Latent Factor Models on Alternative Indexes. My advice is to access some databases such as : indexiq, alternativeucits, etc. to obtain sufficient time series (returns) on the different strategies adopted or tracked by your funds. This might be relatively less costly (in terms of Time) than replicating those third-party index methodologies.

Ps: Few data (index strategies) could also be found on Bloomberg such as Newedge CTA Trend..

Once your Multi-Factor Model is built using EM algorithm (e.g loading, Score..), you could derive your Ex-Ante Sigma, and also easily apply Monte Carlo simulations on your Factors to derive VaR...

Hope it helps

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