Benchmarking

Select Benchmark 
This is required to compare the selected dataset with a benchmark asset.
Active return summary 
Shows the summary statistics after using the asset return series minus the benchmark asset return series, under the following conditions:
Active mean is equal to the excess mean above Rf in the performance analysis module.
Tracking error is the standard deviation of the active mean.
The information ratio is the active mean divided by the tracking error.
Original return summary 
Shows the summary statistics without comparing them to the benchmark.
Time series plot 
Shows the tracking error bar plot.
Split and other functions 
For more information on these functions, see the performance analysis module.

Performance analysis

Carry trade strategies

Last modified 4mo ago