Benchmark is a standard that is used to measure the performance of your portfolio. While evaluating performance of your investment or portfolio, it is important to use a benchmark to compare it.
4. Calmar Ratio
Calmar ratio is used to compare average annual return rate and maximum risk of the drawdown. High calmar ratio means that the investment work better on the risk-adjusted basis and vice versa. It is traditionally based on short term and recent data.
5. Cumulative Return
An aggregate amount that is gained or lost from an investment over time. Cumulative return is not dependent on the time period involved. It is also usually presented as percentage.
6. Downside Deviation
The standard deviation for all negative returns in your portfolio in the specific time. There are some limitations in Downside Deviation since it treats positive and negative deviations as same. Downside deviation focuses only on the downside risks.
7. Max Drawdown
The maximum loss percentage of a portfolio from the peak to trough before new peak is reached. Max Drawdown can be used as stand alone measure as well as an input to other metrics. It is indicator of the downside risk over some certain period of time.
8. Mean Return
It is the mean or expected value of all returns from the investments in a portfolio. It attempts to define relationship between risks of portfolio of securities as well as its returns.
9. Money Weighted Return (MWR)
It is used to measure rate of return for an portfolio of asset or an asset during certain report period. MWR is influenced by the time of decisions to contribute or to withdraw funds as well as the decisions made by the portfolio manager of the fund.
10. Net Asset Value (NAV)
Net asset value is the total value of the investor's account. It is calculated once a day on the bases of closing prices of the market of securities in portfolio.
Peak-to-valley is the time period during which the largest cumulative percentage decline in the NAV has occurred. It is a statistical evaluation method used for different investment strategies . Funds that have existed for long time periods usually have more than one peak-to-valley drawdowns.
12. Period Return
It is a performance measure that is used to calculate the return any investor has received over a specific period of time. It refers to time between the purchase and sale of an asset.
It is the total time that took for the Net asset value of investor's account to recover from the valley back to peak.
Sectors are different parts or areas of a business like financial sector, communication sector and so on. Typically, different sectors of a business are interconnected with each other.
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