Performance Metric Calculations
Hi,
I need to calculate the ANNUALIZED performance metrics for the following set of data.
Month //% Return //Risk Free Rate %
Jan //9.378 //0.02
Feb // 2.145 //0.02
Mar //1.669 //0.02
Apr //2.384 //0.03
May //3.143 //0.07
Jun //1.521 //0.02
July //0.433 //0.02
Aug //2.211 //0.12
Sep //3.099 //0.23
Oct //5.126 //0.26
Nov //10.274 //0.31
Dec //3.392 //0.29
Jan //0.71 //0.23
Feb //12.129 //0.27
Mar //3.844 //0.27
Apr //0.435 //0.3
May //-0.315 //0.3
Jun //2.319 //0.29
Jul //4.059 //0.33
Aug //3.024 //0.45
Sep //0.192 //0.51
Oct //2.346 //0.51
Nov //7.187 //0.52
Dec //0.185 //0.74
Jan //4.489 //0.8
Feb //3.033 //0.89
Mar //0.166 //0.98
Apr //-0.339 //1.07
May //7.865 //1.01
Jun //3.121 //1.03
Jul //2.813 //1.07
Aug //5.378 //1.23
Sep //2.413 //1.32
Oct //5.184 //1.41
Nov //5.032 //1.57
Dec //-1.477 //1.7
Jan //3.248 //1.76
With regards to this data set, the risk free rates above are the historical quotes taken from the corresponding time period. Are these ok to use?
The metrics I need to calculate are;
Metric //Calculation //Answer
Average Return //=average(cells) 3.292%
Variance //=var(cells) 0.092%
St. Dev //=st.dev.(cells) 3.026%
Beta // ""
Unsystematic Risk // ""
Downside Deviation// ""
VAR 5% // ""
Sharpe // ""
M^2 // ""
Treynor // ""
Jensens Alpha // ""
Information Ratio // ""
Sortino // ""
RAROC // ""
Compounded Annual Return// ""
Max Drawdown // ""
Id be extremely grateful for your explanations & help to solve these. Thanks!
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