Portfolio Analysis
This section of the reference manual covers NumXL's portfolio performance and risk analysis functions, including value-at-risk (VaR), downside deviation (DWS), Sharpe ratio, Calmar ratio, Treynor ratio, market capture ratio (MCR), and more.
- 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