Fund key figures

The key figures in this section are traditionally referred to as fund key figures. However, these are also applied to other securities and securities accounts.

TimeSeries.CalmarRatioTimeSeries[Consolidation;Periods;RiskFreeRateSeries;LogReturns]→TimeSeries

Consolidation (time series consolidation type [Weekly]): Daily, weekly or monthly consolidation.

Periods (figure [52]).

RiskFreeRateSeries (time series): Risk-free interest rate index time series.

LogReturns (Boolean[True]).

Result: The CalmarRatioTimeSeries function returns the Calmar ratio. The function calculates this key figure as the quotient of the annualized excess return against the risk-free interest rate and the maximum drawdown of the returns.

Object.ConsolidatedTimeSeries[Start;End;Currency;Consolidation]→Time series

Start (date): Start date according to consolidation parameters.

End (date): Closing date according to consolidation parameters.

Currency: Evaluation currency.

Consolidation (time series consolidation type): Daily, weekly or monthly consolidation.

Result: The ConsolidatedTimeSeries macro returns a consolidated time series. If the input object is a holder, portfolio or securities account, the returned time series is the time series of the time-weighted performance (with evaluation currency <Currency>) plus 100 with values between the start of the period containing <Start> (according to consolidation parameter <Consolidation>) and the end of <End> (according to consolidation parameter). If the input object is a security, a consolidated time series of prices (spot for funds, otherwise close) in currency <Currency> is returned. The time series contains a value on every last day according to <Consolidation> - i.e. on every Friday if <Consolidation>="Week". If the input object is a portfolio segment, the time series of the unweighted performance is calculated, reconsolidated and returned. Attention: The consolidation of the time series of the portfolio segment is limited by the parameters of the portfolio valuation from which the segment was generated. If "Week" has been used as the interval there, then ConsolidatedTimeSeries also delivers at most a weekly consolidated time series, but never a daily consolidated one. In the same way, time series that are not price time series are thinned out at most to the specified consolidation. Gaps in price time series are filled with interpolated values.

Object.ModiglianiMeasureTimeSeries[Consolidation;Periods;RiskFreeRateSeries;BenchSeries;RiskFreeRateSeriesBench;LogReturns]→TimeSeries

Consolidation (time series consolidation type [Weekly]): Daily, weekly or monthly consolidation.

Periods (figure [52]): The number of periods used to calculate the standard deviation and mean value (e.g. the number of weeks for weekly consolidation).

RiskFreeRateSeries (time series): Risk-free interest rate index time series.

BenchSeries (time series): Benchmark time series.

RiskFreeRateSeriesBench: Risk-free interest rate index time series of the benchmark.

LogReturns (Boolean[True]).

Result: The ModiglianiMeasureTimeSeries function returns the Modigliani measure.

TimeSeries.SharpeRatioTimeSeries[Consolidation;Periods;RiskFreeRateSeries;LogReturns]→TimeSeries

Consolidation (time series consolidation type [Weekly]): Daily, weekly or monthly consolidation.

Periods (figure [52]): The number of periods over which the Sharpe ratio is to be calculated (number of measured values in standard deviation and average).

RiskFreeRateSeries (time series): Risk-free interest rate index time series. The values are interpreted on a base of 100. Interest means "annual interest". The interest rate is scaled down to the consolidation level.

LogReturns (Boolean[True]).

Result: The SharpeRatioTimeSeries function returns the Sharpe ratio. The function calculates this key figure as the quotient of the annualized average excess return and the annualized standard deviation of the excess return as a time series. Excess return" is to be understood as excess return against the safe interest rate. The input object is a consolidated time series.