投资业绩指标 -凯发k8网页登录

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

函数

	compute expected lower partial moments for normal asset returns
	compute expected maximum drawdown for brownian motion
	calculate information ratio for one or more assets
	compute sample lower partial moments of data
	计算一个或多个价格序列的最大回撤
	compute risk-adjusted alphas and returns for one or more assets
	计算一个或多个资产的夏普比率

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.
use sample and expected lower partial moments to model moments of asset returns that fall below a minimum acceptable level of return.
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.
overview for performance metrics supported by financial toolbox™ software.