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  3. Portfolio Analysis

Portfolio Analysis

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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
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