Compute expected maximum drawdown for Brownian motion Calculate information ratio for one or more assets Compute sample lower partial moments of data Compute maximum drawdown for one or more price series Compute risk-adjusted alphas and returns for one or more assets Compute Sharpe ratio for one or more ais
abs2active active2abs arith2geom corr2cov cov2corr ewstats frontcon frontier geom2arith holdings2weights pcalims pcgcomp pcglims pcpval periodicreturns portalloc portcons portopt portrand portror portsim portstats portvar portvrisk ret2tick ret2tick (fts) selectreturn targetreturn tick2ret tick2ret (fts) totalreturnprice weights2holdings Back to Top of Section
Performance Metrics
emaxdrawdown inforatio lpm maxdrawdown portalpha sharpe
Convert constraints from absolute to active format Convert constraints from active to absolute format Arithmetic to geometric moments of asset returns Convert standard deviation and correlation to covariance Convert covariance to standard deviation and correlation coefficient Expected return and covariance from return time series Mean-variance efficient frontier Rolling efficient frontier Geometric to arithmetic moments of asset returns Portfolio holdings into weights Linear inequalities for individual asset allocation Linear inequalities for asset group comparison constraints Linear inequalities for asset group minimum and maximum allocation Linear inequalities for fixing total portfolio value Periodic total returns from total return prices Optimal capital allocation to efficient frontier portfolios Portfolio constraints Portfolios on constrained efficient frontier Randomized portfolio risks, returns, and weights Portfolio expected rate of return Monte Carlo simulation of correlated asset returns Portfolio expected return and risk Variance for portfolio of assets Portfolio value at risk (VaR) Convert return series to price series Convert return series to price series for time series object Portfolio configurations from 3-D efficient frontier Portfolio weight accuracy Convert price series to return series Convert price series to return series for time series object Total return price time series Portfolio values and weights into holdings