Performance Data

[oyz79]

I am looking for a way to calculate the following metrics for portfolios, I apologize if these should have been separated out in unique posts:

Max drawdown of a portfolio
Annualized portfolio volatility
Sharpe ratio of a portfolio
Plot the moving average of a portfolios value on the price+distributions graph

[Mark]

Hi oyz79,

For the maximum drawdown, that is only available for investments, not a portfolio. The field is "Maximum Drawdown" in a Custom report.

See "Standard Deviation of Monthly Returns" or "Beta" for volatility of a portfolio. These are also Custom report fields.

See "Sharpe Ratio" in a Custom report for the sharpe ratio of your portfolio.

There is no option to plot the moving average of a portfolio's value...

[oyz79]

Thanks, I get "N.A." for Beta (end) and Sharpe Ratio (end) for both the investments and portfolio.

Max drawdown of a portfolio would be a nice feature to add on a future release and I would think would be relatively easy to implement since you have the how and low value data

[Mark]

Hi oyz79,

Do you have a benchmark assigned? Do you have price data in the benchmark and investment/portfolio for the full comparison period? See:

http://fundmanagersoftware.com/help/def ... ation.html

and

http://fundmanagersoftware.com/help/dlg ... hmark.html

and

http://fundmanagersoftware.com/help/def ... ratio.html

For a portfolio value max drawdown it isn't clear what to do when you add or remove money from the portfolio. I guess FM could display a number only if there were no external contributions/withdrawals within the reporting period.

[oyz79]

Got it, I had the benchmark assigned but the comparison period was too long, prior to the portfolio inception

[oyz79]

I have noticed on a few portfolios, certain investments still have "n.a." for sharpe and beta. This seems to render the portfolio beta and sharpe "n.a." See attached

[Mark]

Hi oyz79,

Try retrieving historical prices for those investments. You need to have sufficient pricing data every month within the comparison period. If you're missing some prices, you can get an N/A. You can also experiment with the "Yield Interpolation Range" settings to loosen up the interpolation rules. A better solution is to just get all the historical prices for these investments.

[oyz79]

Thanks, got it.

One final question - are all the calculations for the period the report was run, or for the period the stock was held?

[Mark]

These calculations are for the comparison period back from the ending report date.