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Investment Performance Metrics
Functions
elpm | Compute expected lower partial moments for normal asset returns |
emaxdrawdown | Compute expected maximum drawdown for Brownian motion |
inforatio | Calculate information ratio for one or more assets |
lpm | Compute sample lower partial moments of data |
maxdrawdown | Compute maximum drawdown for one or more price series |
portalpha | Compute risk-adjusted alphas and returns for one or more assets |
sharpe | Compute Sharpe ratio for one or more assets |
Examples and How To
Performance Metrics Illustration
The functions for investment performance metrics are illustrated using three financial time series objects and associated performance data.
Use the Sharpe ratio to calculate the ratio of an asset's excess return divided by the asset's standard deviation of returns.
Use the information ratio to calculate the ratio of relative return to relative risk.
Use tracking error to measure the variation of a portfolio's return relative to its benchmark index.
Use the risk-adjusted return to shift the risk of a portfolio to match the risk of a market portfolio or fund.
Using Sample and Expected Lower Partial Moments
Use sample and expected lower partial moments to model moments of asset returns that fall below a minimum acceptable level of return.
Using Maximum and Expected Maximum Drawdown
Use maximum drawdown to calculate drop from maximum to minimum return over a period of time and expected maximum drawdown of a linear Brownian motion with drift.
Concepts
Overview for performance metrics supported by Financial Toolbox™ software.
