投资业绩度量

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

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

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
maxdrawdown计算一个或多个价格序列的最大回撤
portalphaCompute 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

    此示例说明如何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

    This example shows how to use the information ratio to calculate the ratio of relative return to relative risk.

  • 使用跟踪误差

    此示例说明如何使用跟踪误差来测量投资组合的收益相对于其基准指数的变化。

  • 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.