Investments can be evaluated according to multiple key metrics.

# DynAssMgmt.PerfStats — Type.

PerfStats(vals::Array{Float64, 1}, statNams::Array{Symbol, 1})

Performance statistics type, collecting risk / return metrics for single realized portfolio price path.

source

Fields of composite types

julia> using DynAssMgmt

julia> fieldnames(PerfStats)
9-element Array{Symbol,1}:
 :FullPercRet
 :SpMuPerc
 :SpSigmaPerc
 :MuDailyToAnnualPerc
 :SigmaDailyToAnnualPerc
 :SpVaRPerc
 :MaxDD
 :VaR
 :GeoMean

Functions

evalPerf
evalDdowns
evalPerfStats