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Investment Performance Metrics

Analyze asset performance metrics, including risk-adjusted alphas, maximum drawdown, and Sharpe ratio

Functions

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

Examples and How To

Concepts