 # ApaLibNET - Advanced Portfolio Analytics If you do have a regular licence and encounter errors anyway, then you will most likely have an outdated version. Please update your add-in or contact us by email.

The spreasheets flagged "new" are either new or have been updated for the current release.

• Eigenvalues & Eigenvectors: Applying the Eigenvalue and Eigenvector functionality. • Distance Correlation: Various calculations related to distance correlation (distance correlations, covariances, variances and volatilities and so on), including (Euclidian) distance matrix of a data vectors. • Credit Rating Calculations: Calculating the expected ending allocation given an initial rating allocation and a rating transition probability matrix, compounding a rating transition matrix over several years. • Empirical Copula Resampling: resampling an empirical copula dependency structure and calculation of multivariate empirical copula PDFs. • Resampling Multivariate Time Series Data: resampling from multivariate time series data.

• PCA Yield Curve Risk Factors: calculating the level, slope and curvature factors for a given yield curve using principal component analysis.

• Resampled Confidence Bands: non-parametric confidence bands for means and volatilities, correlation, skewness and excess kurtosis.

• Partial Correlations: a simple approach to measuring downside and upside correlations based on either the arithmetic mean or quantiles.

• Stochastic Mean Variance Frontier: resampling the efficient frontier portfolios is a reminder that the classical mean-variance frontier is not deterministic.

• Turbulence Analysis: an approach to measure the degree of disturbance in an asset universe with the possitbility to isolate contributions from volatilities and correlations.

• Cauchy Distribution: unimodal distribution with undefined first and second moments.

• Decorrelation: removing correlations while preserving certain other characteristics of a time series matrix.

• Simulating from Randomized NIG Distributions: illustration of the Central Limit Theorem when distributions averaged are not identical anymore.

• Critical Line Algorithm: Applying the original Markowitz procedure to generate the exact mean-variance efficient frontier with randmized asset correlations.

• Combinatorial Portfolio Construction: using cominatorics to build portfolios.

• Fraud Flags: Fraud indicators like Benford's Law, Bias Ratio and Condiditional Serial Correlation. 