Performance analysis

Time-series summary

• 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.

Factors

Select factors as shown in the moment estimation module. 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.

Split

Selects a date to split all assets into two parts, the first before the split date and the second after the split date.

Highlight

Chooses a [CD_] object type to show the characteristics of certain datasets, e.g. strategy for the hedge fund dataset.

Moving window

Calculates the factor model in the moving window length.