EM Applications Alpha Toolbox

EM Applications Alpha Toolbox is a MATLAB^® based toolbox used to build factor models that have been designed to test and create optimal investment strategies. The toolbox incorporates advances in latent factor estimation methods as well as valuation and trading model testing.

The Alpha Toolbox models correct for estimation bias so you can use full-information maximum likelihood (FIML) estimation techniques for risk-adjusted testing of valuation and trading models. FIML estimation helps you avoid the issues associated with having to divide data sets into two groups - one for risk-parameter estimation (beta) and a second for performance measurement (alpha). FIML estimation allows you to use securities with partially missing returns histories.

The MATLAB interface provides direct access to the Alpha Toolbox methods. The interface can be used with the wide array of data analysis and computational finance tools in MATLAB.