Performance Computations
|
 |
| THIperf |
Performance of an instrument or a fund |
| THIperfptd |
Period-to-date performance of an instrument or a fund |
| THIperfp |
Performance of an instrument or a fund during a specified calendar period |
| THIperfannu |
Average annualized performance of an instrument or a fund |
| THIpfcagr |
Compound annual growth rate |
| THIperiodtag |
Returns date tagging a particular calendar period |
Performance Statistics
|
|
| THIpfalpha |
Alpha |
| THIpfavg |
Average performance conditioned by reference index |
| THIpfavggain |
Arithmetic average of positive performances in a series |
| THIpfavloss |
Arithmetic average of the negative performances in a series |
| THIpfbest |
Best performance in a sequence |
| THIpfbeta |
Beta |
THIpfcorr |
Correlation |
THIpfcovar |
Covariance |
THIpfdowndev |
Downside deviation |
THIpfjens |
Jensen measure |
THIpfkurts |
Kurtosis |
| THIpfmaxdrawdn |
Computes maximum drop in net asset value |
| THIpfneg |
Relative number of time intervals when performance is negative |
| THIpfpeakvalley |
Total performance between (absolute) maximum and following minimum |
| THIpfpos |
Relative number of time intervals when performance is positive |
| THIpfrecov |
Time lapse from minimum to maximum |
| THIpfrsqr |
Coefficient of determination (R-squared) |
| THIpfsharpe |
Sharpe measure |
| THIpfsigma |
Standard deviation |
| THIpfskew |
Skewness |
| THIpfsortino |
Sortino measure |
| THIpftrackerr |
Tracking error |
| THIpftreyn |
Treynor measure |
| THIpfworst |
Worst performance in a sequence |
