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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)
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