Performance analysis
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Annualised return: the return series or average return is converted to the annualised return by multiplying the input value by a factor dependent on the frequency of the input:
Daily: 252
Weekly: 52
Monthly: 12
Quarterly: 4
Excess mean above risk-free rate: this requires selecting the risk-free rate series in the factors tab.
Sharpe ratio: uses the excess mean above rf divided by the standard deviation.
Select factors as shown in the . After running calculate factor model regression, the visualisation mode shows the following options:
Model statistics: shows alpha, beta, R-square, R-square, standard error, etc.
Confidence interval plot: creates a box plot for the selected factor coefficient and its corresponding confidence interval at the 95% level.
XY plot: creates a scatter plot between selected coefficients for all assets.
Beta bar chart: plots selected coefficients in a stack bar plot.
Return decomposition: draws the stack bar plot of all coefficients multiplying the factor risk premium plus alpha.
Parallel plot: can show the coefficient comparison between assets and across split periods.
Selects a date to split all assets into two parts, the first before the split date and the second after the split date.
Chooses a [CD_] object type to show the characteristics of certain datasets, e.g. strategy for the hedge fund dataset.
Calculates the factor model in the moving window length.