EDHECinfra performance analytics include times series of market risk premia and credit spreads, Sharpe ratios, Index IRRs and IRR quantiles, Cash yield and capital returns.
Risk metrics covered include index duration, one-year VaR, Max Drawdown, default frequencies and index-level expected loss.
They also include index breakdowns by TICCS® segments (business risk, sectors, corporate governance), risk factor loadings and risk premia contributions.
With TICCS® contributions find out how different business risk segments. industrial sectors and corporate formats impact the returns and risk of each index.
The EDHECinfra valuation technology is also documented with time series of factor loadings and contributions to risk premia.