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分析资产绩效指标,包括风险调整后的 alpha 值、最大回撤率和夏普比率


elpmCompute expected lower partial moments for normal asset returns
emaxdrawdownCompute expected maximum drawdown for Brownian motion
inforatioCalculate information ratio for one or more assets
lpmCompute sample lower partial moments of data
maxdrawdownCompute maximum drawdown for one or more price series
portalphaCompute risk-adjusted alphas and returns for one or more assets
sharpeCompute Sharpe ratio for one or more assets


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

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

Use the information ratio to calculate the ratio of relative return to relative risk.

Using Tracking Error

Use tracking error to measure the variation of a portfolio's return relative to its benchmark index.

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.