Risk-Adjusted Performance metrics

Mark B18 февраля 24 г. | Опубликовано в Улучшения Платформы

What is the historical range for risk adjusted performance metrics? Since inception, last x number of years? --There is an unfair bias for components incepted after 'events' such as rate hikes or the covid crash.

It would be great to have a selectable range for Risk-Adjusted Performance sections in Portfolio, Stock Comparison, etc. A rolling Sortino, Omega, etc., similar to the rolling Sharpe, would also be helpful.

2 комментария

Сортировать по

Dmitry Shevchenko19 февраля 24 г.

The values are calculated using data from the past 12 months. If a stock lacks sufficient historical data for the metrics calculation, we skip it. This ensures there are no situations of unequal comparison.

Thank you for the suggestion; I agree that having more controls on comparison/portfolio pages would be helpful. Added that to our product backlog.

Scott Allen04 июня 24 г.

I'd like to second this request. The data is clearly there, from the rolling window chart. What I find a really interesting idea is using risk-adjusted return metrics to identify "stable" breakouts, e.g., within a universe of assets with high risk-adjusted returns over, say, three years, identify those that have an annualized 3-month value higher than the annualized 3-year value (or 1 month vs 1 year, you get the idea).

Категория

Улучшения Платформы

Просмотры

120