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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