Portfolio Analysis
Analyze the portfolio for returns, variance, and covariance, simulate asset correlation, and calculate portfolio value at risk (VaR).
- NxVaR - Calculates the Portfolio Value at Risk (VaR)
- NxDWS - Calculates the Downside Deviation
- NxCVaR - Calculates the Conditional Value at Risk
- NxCAPM - Calculates the Capital Asset Pricing Model (CAPM) Beta
- NxCalmar - Calculates the Calmar Ratio
- NxSharpe - Calculates the Sharpe Ratio
- NxMCR - Calculate the Up/Down Market Capture Ratio
- NxJensen - Calculates Jensen's Measure (Alpha)
- NxMDD - Calculates the Maximum Drawdown
- NxCAGR - Calculates the Compound Annual Growth Rate
- NxTreynor - Calculates the Treynor Ratio