Performance Metrics Illustration

To illustrate the functions for investment performance metrics, you work with three financial time series objects using performance data for:

  • An actively managed, large-cap value mutual fund

  • A large-cap market index

  • 90-day Treasury bills

The data is monthly total return prices that cover a span of five years.

The following plot illustrates the performance of each series in terms of total returns to an initial $1 invested at the start of this 5-year period:

load FundMarketCash
plot(TestData)
hold on
title('\bfFive-Year Total Return Performance');
legend('Fund','Market','Cash','Location','SouthEast');
hold off

The mean (Mean) and standard deviation (Sigma) of returns for each series are

Returns = tick2ret(TestData);
Assets
Mean = mean(Returns)
Sigma = std(Returns, 1)

which gives the following result:

Assets = 
    'Fund'    'Market'    'Cash'
Mean =
    0.0038    0.0030    0.0017
Sigma =
    0.0229    0.0389    0.0009

Note

Functions for investment performance metrics use total return price and total returns. To convert between total return price and total returns, use ret2tick and tick2ret.

See Also

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