Modern Finance SummarizeReturns

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SummarizeReturns

Returns total and yearly return, volatility, Sharpe, Sortino and drawdown in one call.

Syntax

SummarizeReturns( periodReturns( ), riskFreePerPeriod, frequency )

Examples

#import "std/money"
using money

'' Every headline figure in one call.  It is a CONVENIENCE, not a second
'' implementation -- each field equals its own standalone function.
dim as float64 r( 0 to 11 ) = { 0.02, -0.01, 0.03, 0.015, -0.025, 0.04, _
                               0.01, -0.005, 0.02, 0.03, -0.015, 0.025 }
dim as float64 b( 0 to 11 ) = { 0.018, -0.012, 0.025, 0.012, -0.02, 0.035, _
                               0.008, -0.004, 0.018, 0.028, -0.012, 0.022 }

var s = SummarizeReturns( r( ), 0.0002, RETURN_MONTHLY )

print s.Value( ).Observations_           '' 12
print s.Value( ).Total_                  '' 0.1410864155548182
print s.Value( ).Volatility_             '' 0.07088723439378913
print s.Value( ).Sharpe_                 '' 1.870576573257002
print s.Value( ).MaxDrawdown_            '' 0.02500000000000009

'' The same number, from the standalone function.
print TimeWeightedReturn( r( ) ).Value( )                '' 0.1410864155548182

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Library: Finance
Category: Finance
Documented under: Nothing Becomes A Keyword
Source: pkg/std/money/finport.tiko in the tiko repository.