This issue involves implementing a set of widely used financial performance metrics in PQF.
Cumulative Return: Total return of an investment over a specific period.
Annualized Return: Average return per year, taking into account compounding.
Volatility: Measure of the price fluctuations of an asset over time.
Maximum Drawdown: The maximum observed loss from a peak to a trough of a portfolio, helping assess downside risk.
Sortino Ratio: A variation of the Sharpe Ratio that only considers downside risk.
Calmar Ratio: The ratio of annualized return to the maximum drawdown, providing insight into return versus risk.
GetLouied
commented
1 month ago
This issue involves implementing a set of widely used financial performance metrics in PQF.
Cumulative Return: Total return of an investment over a specific period. Annualized Return: Average return per year, taking into account compounding. Volatility: Measure of the price fluctuations of an asset over time.
Maximum Drawdown: The maximum observed loss from a peak to a trough of a portfolio, helping assess downside risk. Sortino Ratio: A variation of the Sharpe Ratio that only considers downside risk. Calmar Ratio: The ratio of annualized return to the maximum drawdown, providing insight into return versus risk.
These likely belong in the statistics module