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
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Longest profit period (in periods) in period
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Longest loss period (in periods) in period
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Maximum profit in period
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Maximum loss in period
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Maximum continuous profit in the period
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Maximum continuous loss in the period
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Probability of a winning period
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Probability of a loss period
Key figures for comparing a security with a benchmark (market)
Basic key figures
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Outperformance
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Stability of outperformance
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Probability of outperformance
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Tracking error
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Positive elasticity
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Negative elasticity
Portfolio theory and risk
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Jensen-Alpha
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Jensen beta
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Sharpe ratio
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Calmar ratio
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Modigliani measure
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Treynor ratio
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Information ratio (variant with tracking error)