Investment Performance Metrics
Use functions to analyze asset performance metrics, including risk-adjusted alphas, maximum drawdown, and Sharpe ratio.
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 |
Topics
- Performance Metrics Illustration
The functions for investment performance metrics are illustrated using three financial time series objects and associated performance data.
- Using the Sharpe Ratio
This example shows how to use the Sharpe ratio to calculate the ratio of an asset's excess return divided by the asset's standard deviation of returns.
- Using the Information Ratio
This example shows how to use the information ratio to calculate the ratio of relative return to relative risk.
- Using Tracking Error
This example shows how to use tracking error to measure the variation of a portfolio's return relative to its benchmark index.
- Using Risk-Adjusted Return
This example shows how to 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.
- Performance Metrics Overview
Overview for performance metrics supported by Financial Toolbox™ software.
