Performance Computations
|
 |
| perf |
Performance of an instrument or a fund |
| perfptd |
Period-to-date performance of an instrument or a fund |
| perfp |
Performance of an instrument or a fund during a specified calendar period |
| perfannu |
Average annualized performance of an instrument or a fund |
| pfcagr |
Compound annual growth rate |
| periodtag |
Returns date tagging a particular calendar period |
Performance Statistics
|
|
| pfalpha |
Alpha |
| pfavg |
Average performance conditioned by reference index |
| pfavggain |
Arithmetic average of positive performances in a series |
| pfavloss |
Arithmetic average of the negative performances in a series |
| pfbest |
Best performance in a sequence |
| pfbeta |
Beta |
pfcorr |
Correlation |
pfcovar |
Covariance |
pfdowndev |
Downside deviation |
pfjens |
Jensen measure |
pfkurts |
Kurtosis |
| pfmaxdrawdn |
Computes maximum drop in net asset value |
| pfneg |
Relative number of time intervals when performance is negative |
| pfpeakvalley |
Total performance between (absolute) maximum and following minimum |
| pfpos |
Relative number of time intervals when performance is positive |
| pfrecov |
Time lapse from minimum to maximum |
| pfrsqr |
Coefficient of determination (R-squared) |
| pfsharpe |
Sharpe measure |
| pfsigma |
Standard deviation |
| pfskew |
Skewness |
| pfsortino |
Sortino measure |
| pftrackerr |
Tracking error |
| pftreyn |
Treynor measure |
| pfworst |
Worst performance in a sequence |
