We propose a golf inspired Advisor Assessment Framework with a Scorecard, Fairway Average and Handicap as performance measures to assess an Advisor’s investment recommendations. The Scorecard measures the performance of an Advisor in relation to a benchmark at each interval of the evaluation...

Principal Component Analysis (PCA) is an important methodology to reduce and extract meaningful signals from large data-sets. Financial markets introduce time and non stationarity aspects, where applying standard PCA methods may not give stable results. We propose robust rolling PCA (R2-PCA)...