Windham Portfolio Advisor
  • Windham Portfolio Advisor Support
  • Installation
    • Installing the Windham Portfolio Advisor
    • Installation Prerequisites
    • Installation FAQ
      • License Key Management
  • Time Series
  • Managing Custom Time Series
  • Custom Time Series Excel Add-in
  • Custom Time Series Utility
  • Updating the Windham Time Series Database
  • Mixing Data Periodicities within a Case File
  • Hedged and Unhedged Time Series
  • Overlays
  • Expected Risk
    • Annualizing Volatility and Return
    • Correlation
    • Covariance
    • Exponential Risk
    • Quiet and Turbulent Risk
    • Series Filter
    • Views (Risk and Correlation)
  • Expected Returns
    • Historical Returns
    • Equilibrium Returns
    • Implied Returns
    • Black-Litterman
    • Blend
    • Estimating Future Value: Arithmetic or Geometric
  • Optimization
    • Multi-goal Optimization
    • Transaction Costs and Turnover Controls
    • Risk Aversion
    • Full-Scale Optimization
  • Simulation
    • Simulation Methods
  • Exposure to Loss
    • Value at Risk
    • Probability of Loss
  • Risk Budgets
    • Risk Budgets
    • Value at Risk Sensitivities
  • Factor Analysis
    • Windham Factors
    • Factor Analysis
  • Cash Flow Analysis
    • Cash Flow Rules
    • Distribution of Wealth
    • Target Wealth Probability
  • Miscellaneous
    • Effective Tax Rates
    • Shadow Assets, Shadow Liabilities, and Illiquidity
    • Asset-liability Optimization
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  1. Expected Risk

Series Filter

A conditional model for estimating expected risk and correlations.

PreviousQuiet and Turbulent RiskNextViews (Risk and Correlation)

Last updated 4 years ago

The Series Filter model partitions the full historical asset sample conditioned on the time series properties of a single reference asset within the portfolio.

For example, a client can use this risk model to test the hypothesis that the correlation between an asset pair increases when the S&P 500 has a negative return.

The investor must first specify which asset is the reference asset. Second, the investor must specify the threshold, or filter, to apply. The WPA allows users to specify filters in return or standard deviation units.

Using the model parameters, the WPA estimates risk and correlations based on the sub-sample of asset returns.

Series Filter Model Parameters