General information
The key figures in this category relate to a period [from;to] and are based on logarithmic returns. Since the logarithm is a strictly monotonic function, this does not represent a restriction of the generality, but leads in this context to the same results as a calculation on the absolute returns of the underlying time series.
Evaluations
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Key risk figures portfolio
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Key risk figures for segments
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Key risk figures for securities
All key figures can be found in these evaluations. Use the corresponding parameter to select whether the return figures should be displayed in absolute (default) or logarithmic form.
MM-Talk functions
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MaximumReturn -
MaximumContinuousReturn -
MinimumReturn -
MinimumContinuousReturn -
LongestContinuousPositiveReturnPeriod -
LongestContinuousNegativeReturnPeriod -
ProbabilityOfPositiveReturnPeriod -
ProbabilityOfNegativeReturnPeriod
Maximum (continuous) profit/loss in the period
Maximum profit
The maximum profit (in the sense of a positive return) in a period [from; to] indicates the greatest possible increase in value in this period:
MM-Talk: TimeSeries.MaximumReturn[$From;$To]
Maximum loss
The maximum loss (in the sense of a negative return) in a period [from; to] indicates the greatest possible reduction in value in this period:
MM-Talk: TimeSeries.MinimumReturn[$From;$To]
Maximum continuous profit
The maximum continuous profit (in the sense of a positive return) in a period [from; to] is the greatest possible increase in value achieved without interim loss in this period:
MM-Talk: TimeSeries.MaximumContinuousReturn[$From;$To]
Maximum continuous loss
The maximum continuous loss (in the sense of a negative return) in a period [from; to] is the largest reduction in value achieved without an interim gain in this period:
MM-Talk: TimeSeries.MinimumContinuousReturn[$From;$To]
Longest profit/loss period
Longest winning period
The longest profit period is the maximum length of a phase of continuous profits (in the sense of a positive return) in a period [from; to]. It is specified in the number of such periods and is therefore directly dependent on the consolidation.
MM-Talk: TimeSeries.LongestContinuousPositiveReturnPeriod[$From;$To]
Longest loss period
The longest loss period is the maximum length of a phase of continuous losses (in the sense of a negative return) in a period [from; to]. It is specified in the number of such periods and is therefore directly dependent on the consolidation.
MM-Talk: TimeSeries.LongestContinuousNegativeReturnPeriod[$From;$To]
Probability of a profit/loss period
Probability of a winning period
The probability of a profit period indicates the probability with which a profit (in the sense of a positive return) could be achieved in the period [from; to].
MM-Talk: TimeSeries.ProbabilityOfPositiveReturnPeriod[$From;$To]
Probability of a loss period
The probability of a loss period indicates the probability of a loss (in the sense of a negative return) being achieved in the period [from; to].
MM-Talk: TimeSeries.ProbabilityOfNegativeReturnPeriod [$From;$To]