# 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.

Last updated