Key risk figures
The key figures shown below can be calculated and displayed in the Infront Portfolio Manager. MM-Talk functions are available for this purpose, and there are also standard evaluations (tables and diagrams) that display these key figures.
The key figures can be divided into 2 main categories:
Return-oriented key figures for time series
- Longest profit period (in periods) in period
- Longest loss period (in periods) in period
- Maximum profit in period
- Maximum loss in period
- Maximum continuous profit in the period
- Maximum continuous loss in the period
- Probability of a winning period
- Probability of a loss period
Key figures for comparing a security with a benchmark (market)
Basic key figures
- Outperformance
- Stability of outperformance
- Probability of outperformance
- Tracking error
- Positive elasticity
- Negative elasticity
Portfolio theory and risk
- Jensen-Alpha
- Jensen beta
- Sharpe ratio
- Calmar ratio
- Modigliani measure
- Treynor ratio
- Information ratio (variant with tracking error)