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.