Correlating my portfolio's performance to a major index

[tomseeley]

Here's a tweak suggestion, unless FM already does this and I missed it. It's frivolous, but I'm just curious enough to want to know the answer.

Suppose I'd like to see how well my portfolio's performance over a time period correlates with some of the major indexes, such as DJIA, S&P500, Russell 2000, etc. IF I could get my hands on a file of how those indexes have performed, would FM do the statistical math for me, and show me a correlation coefficient for my portfolio vs. each of those indexes?

[Mark]

Hi tomseeley,

The Professional and Advisor versions do calculate:

Alpha
Beta
Sharpe Ratio
R-Squared
Correlation

which are all relative to any benchmark you select. Just create an investment for any benchmark you want, and retrieve historical prices for it. You can get historical pricing on benchmarks from either Yahoo (Historical) or Bloomberg (Historical). Once you have your index set up, assign it in Fund Manager under "Options / Report Preferences... / Benchmark". Fund Manager can calculate any of those above metrics for investments, portfolios, asset types, investment goals, investment types, etc. For more, see the documentation linked to from the above statistics.