Return-oriented fund key figures
The key figures in this category refer to a period [From;To] and are based on the logarithmic returns of the underlying time series.
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.
Time series.LongestContinuousNegativeReturnPeriod
[From;To]→number
From (date): Start date.
Until (date): End date.
Result: The LongestContinuousNegativeReturnPeriod
function returns the longest loss period. Corresponds to the maximum length of a phase of continuous losses (in the sense of a negative return) in a period. It is specified in the number of such periods and is therefore directly dependent on the consolidation.
Time series.LongestContinuousPositiveReturnPeriod
[From;To]→number
From (date): Start date.
Until (date): End date.
Result: The LongestContinuousPositiveReturnPeriod
function returns the longest winning period. Corresponds to the maximum length of a phase of continuous gains (in the sense of a positive return) over a period of time. It is specified in the number of such periods and is therefore directly dependent on the consolidation.
Time series.MaximumContinuousReturn
[From;To]→Number
From (date): Start date.
Until (date): End date.
Result: The MaximumContinuousReturn
function returns the maximum continuous profit (in the sense of a positive return) in a period of time. Corresponds to the largest increase in value achieved without interim loss during this period.
Time series.MaximumReturn
[From;To]→Number
From (date): Start date.
Until (date): End date.
Result: The MaximumReturn
function returns the maximum profit (in the sense of a positive return) in a period of time. This indicates the greatest possible increase in value during this period.
Time series.MinimumContinuousReturn
[From;To]→Number
From (date): Start date.
Until (date): End date.
Result: The MinimumContinuousReturn
function returns the maximum continuous loss (in the sense of a negative return) in a period. Corresponds to the largest reduction in value achieved without interim profit in this period.
Time series.minimumReturn
[From;To]→Number
From (date): Start date.
Until (date): End date.
Result: The MinimumReturn
function returns the maximum loss (in the sense of a negative return) in a period. This indicates the greatest possible reduction in value during this period. If a value exists at the time <From>, the period that ends at the time <From> is also taken into account (provided a value exists before <From>).
Time series.ProbabilityOfNegativeReturnPeriod
[From;To]→number
From (date): Start date.
Until (date): End date.
Result: The ProbabilityOfNegativeReturnPeriod
function returns the probability of a loss period. It indicates the probability of a loss (in the sense of a negative return) being achieved in the period.
TimeSeries.ProbabilityOfPositiveReturnPeriod
[From;To]→number
From (date): Start date.
Until (date): End date.
Result: The ProbabilityOfPositiveReturnPeriod
function returns the probability of a winning period. It indicates the probability with which a profit (in the sense of a positive return) could be achieved in the period.