投资业绩度量
使用函数分析资产绩效度量,包括风险调整后的 alpha 值、最大回撤率和夏普比率。
函数
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 | 计算一个或多个价格序列的最大回撤 |
portalpha | Compute risk-adjusted alphas and returns for one or more assets |
sharpe | 计算一个或多个资产的夏普比率 |
主题
- Performance Metrics Illustration
The functions for investment performance metrics are illustrated using three financial time series objects and associated performance data.
- 使用夏普比率
使用夏普比率来计算资产超额收益除以资产收益标准差得到的比率。
- Using the Information Ratio
Use the information ratio to calculate the ratio of relative return to relative risk.
- 使用跟踪误差
使用跟踪误差测量投资组合的收益相对于其基准指数的变化。
- Using Risk-Adjusted Return
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.