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)