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Investment Performance Metrics

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

Functions

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 Compute maximum drawdown for one or more price series
portalpha Compute risk-adjusted alphas and returns for one or more assets
sharpe Compute Sharpe ratio for one or more assets
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