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To use PORTAX requires asset return statistics including
expected income return, expected capital appreciation, turnover, management fees.
short term gain,
and correlations. These are not
readily available from basic before-tax total return time series. PORTAX provides a Forecasts Wizard to
assist with these statistics.
The Forecasts Wizard provides
per period asset return time series for asset classes in different international
markets . The period returns can range from Daily to
Annual. These return series are pre-set up
with appreciation, yield, turnover, management fees and short term gain. The wizard also provides for
importing user-selected times series from other data sources.
The Asset Classes for each international market are 100 pre-selected indices,
ETFs and individual large cap securities. Currently, the following 30
international markets are available:
Argentina (ARG) Hong Kong (HKG)
Singapore (SGP)
Australia (AUS) India (IND)
South Africa (ZAF)
Austria (AUT) Indonesia
(IDN) South Korea (KOR)
Brazil (BRA)
Israel (ISR)
Spain (ESP)
Canada (CAN) Italy (ITA)
Sweden (SWE)
China (CHN) Japan
(JPN)
Switzerland (CHE)
Denmark (DNK) Mexico (MEX)
Taiwan (TWN)
EuroNext (EUR) Netherlands (NLD)
Turkey (TUR)
Finland (FIN) Norway (NOR)
United Kingdom (GBR)
Germany (DEU) Russia (RUS)
United States (USA)
The asset statistics are then generated using historical
time series or a factor model based on user selected factors and corresponding
user selected forecasted factor returns.
An optional Extreme Data Points procedure is available to detect and adjust bad
data points that occasionally occur in commercial asset time series data.
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PORTAX Forecasts Wizard
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