EDHECinfra computes index-level and constituent-level metrics and analytics described below.
Index Data
- Total Return Index
- Total Investment Return
- Annualised Returns
- Effective number of constituents
- Turnover ratio
- Monthly index update
- Thematic indices
Index Analytics
- Historical Volatility
- Cross-Sectional (model) Volatility
- Excess Returns
- Sharpe Ratio
- Index VaR
- Index Duration
- Index Yield to Maturity (IRR)
- Price Return
- Income return
- Free cash flow yield
- Maximum Drawdown
- Risk Premium Contribution
- Weighted-average yield curve
- Price-to-Sales
- Effective number of TICCS
- TICCS Contributions
- Price and cash returns contribution