Analysis

<< Click to Display Table of Contents >>

Navigation:  Reports > Risk >

Analysis

The risk analysis report contains three parts. The first (top) part is chart which shows the a VAMI chart for your portfolio compared to the benchmarks.

The second part(bottom left) is the report itself, which contains a lot of risk measurement values. The third part(bottom right) is the monthly return of the total equity.

 

Financial formulas used in the risk analysis:

 

Standard Deviation of monthly returnsStandard Deviation

 

Mean returnMean Return

 

Annualized returnAnnualized Return

 

Annualized Standard DeviationAnnualized SD

 

Excess Return (Risk Free Rate)Excess Return (RFR)

 

Sharpe ratioSharpe Ratio

 

Downside Deviation (Minimum Acceptable Return)Downside Deviation (MAR)

 

Downside Deviation (Risk Free Rate)Downside Deviation (RFR)

 

Downside Deviation (0%)Downside Deviation (0%)

 

Sortino Ratio (Minimum Acceptable Return)Sortino Ratio (MAR)

 

Sortino Ratio (Risk Free Rate)Sortino Ratio (RFR)

 

Sortino Ratio (0%)Sortino Ratio (0%)