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.