This portfolio analysis tool allows you to backtest portfolio returns, drawdowns, various risk characteristics, and compare them to a benchmark.
Portfolio Performance is a tool that helps you visualize a portfolio's gains or losses over a given period and easily compare them to a selected benchmark.
Relative Performance shows how an index, stock, or portfolio is performing relative to another index, stock, or portfolio.
Sharpe Ratio is a performance indicator that shows the investment portfolio's efficacy relative to its risk. It helps investors understand whether a higher portfolio's return is due to a higher risk or a result of a better investment decision.
Sortino Ratio is an indicator that measures a portfolio's risk-adjusted performance. It is similar to the Sharpe ratio but uses downside deviation as a measure of risk.
Drawdown is a risk measure that shows how deep an asset or portfolio has fallen from its maximum and how long it has taken to recover.
Value at Risk (VaR) is a risk measure that measures the loss in a portfolio over a pre-specified time horizon, assuming some level of probability.
Expected Shortfall is a risk measure that shows the amount of loss if the loss exceeds VaR. Expected Shortfall is known by other names, such as tail VaR, CVaR, and tail loss.
Close-to-Close volatility is a classic and most commonly used volatility measure, sometimes referred to as historical volatility.
Parkinson volatility is a volatility measure that uses the stock’s high and low price of the day.
Garman Klass is a volatility estimator that incorporates open, low, high, and close prices of a security.
Rogers-Satchell is an estimator for measuring the volatility of securities with an average return not equal to zero.
Yang Zhang is a historical volatility estimator that handles both opening jumps and the drift and has a minimum estimation error.
Asset correlation is a measure that shows how prices of two securities move in relation to each other.
Portfolio Optimization is a tool that helps you find the best asset allocation according to your objectives.
Alpha is a measure indicating how well a stock or portfolio has performed in comparison to the broad market or a benchmark index.
Beta is a popular risk measure of a security or portfolio used in the capital asset pricing model (CAPM). It shows how asset price moves in comparison to its reference market.