The following table details all of the measures that can be supplied by the Interactive Statistics Analysis resource.
Identifier | Name | Table Type | Sub-Category | Data Type | Suggested Title | Is Relative? | Risk Free Required? | Is Logged? | Measure Format | Depends On RP ShareClass & ReturnDefinition? |
---|---|---|---|---|---|---|---|---|---|---|
Perf.PercentNegativePeriods | % Negative Sub-Periods | PortfolioDrillDown | Interactive Statistics | Real | % Negative Periods | No | No | No | Percentage | No |
Perf.PercentNegativePeriodsRel | % Negative Sub-Periods, Relative. (Batting Average) | PortfolioDrillDown | Interactive Statistics | Real | Batting Average | Yes | No | No | Percentage | No |
Perf.PercentPositivePeriods | % Positive Sub-Periods (Gain Frequency) | PortfolioDrillDown | Interactive Statistics | Real | % Positive Periods | No | No | No | Percentage | No |
Perf.PercentPositivePeriodsRel | % Positive Sub-Periods, Relative | PortfolioDrillDown | Interactive Statistics | Real | % Relative Positive Periods | Yes | No | No | Percentage | No |
Perf.AdjustedInfoRatioRel | Adjusted Information Ratio (Geometric) (Log) | PortfolioDrillDown | Interactive Statistics | Real | Adjusted Information Ratio | Yes | No | Yes | Ratio | No |
Perf.AdjustedInfoRatioXS | Adjusted Information Ratio (Log) | PortfolioDrillDown | Interactive Statistics | Real | Adjusted Information Ratio | Yes | No | Yes | Percentage | No |
Perf.AdjustedMSquaredAnn | Adjusted M² (Ann.) (Log) | PortfolioDrillDown | Interactive Statistics | Real | Adjusted M² | Yes | Yes | Yes | Percentage | No |
Perf.AdjustedSharpe | Adjusted Sharpe (Log) | PortfolioDrillDown | Interactive Statistics | Real | Adjusted Sharpe | No | Yes | Yes | Ratio | No |
Perf.AnnualAlpha | Alpha (Ann.) (Log) | PortfolioDrillDown | Interactive Statistics | Real | Annual Alpha | Yes | No | Yes | Percentage | No |
Perf.Alpha | Alpha (Log) | PortfolioDrillDown | Interactive Statistics | Real | Alpha | Yes | No | Yes | Percentage | No |
Perf.AnnAveToMaxLoss | Ann Average : Max Loss | PortfolioDrillDown | Interactive Statistics | Real | Ann Average : Max Loss | No | No | No | Ratio | No |
Perf.AppraisalRatioAnn | Appraisal Ratio (Ann.) (Log) | PortfolioDrillDown | Interactive Statistics | Real | Appraisal Ratio | Yes | Yes | Yes | Ratio | No |
Perf.BearBeta | Bear-Market Beta (Log) | PortfolioDrillDown | Interactive Statistics | Real | Bear Beta | Yes | No | Yes | None | No |
Perf.BearCaptureRatio | Bear-Market Capture Ratio | PortfolioDrillDown | Interactive Statistics | Real | Bear Capture Ratio | Yes | No | No | Ratio | No |
Perf.BearCorrelation | Bear-Market Correlation (Log) | PortfolioDrillDown | Interactive Statistics | Real | Bear Correlation | Yes | No | Yes | None | No |
Perf.BearCovariance | Bear-Market Covariance (Log) | PortfolioDrillDown | Interactive Statistics | Real | Bear Covariance | Yes | No | Yes | None | No |
Perf.BearGeomeanReturn | Bear-Market Geomean Return | PortfolioDrillDown | Interactive Statistics | Real | Bear Mean Return | Yes | No | No | Percentage | No |
Perf.BearGeomeanReturnRel | Bear-Market Geomean Return (Geometric) | PortfolioDrillDown | Interactive Statistics | Real | Bear Mean Relative Return | Yes | No | No | Percentage | No |
Perf.BearMeanReturnXS | Bear-Market Mean Excess Return | PortfolioDrillDown | Interactive Statistics | Real | Bear Mean Excess Return | Yes | No | No | Percentage | No |
Perf.BearMeanReturn | Bear-Market Mean Return | PortfolioDrillDown | Interactive Statistics | Real | Bear Mean Return | Yes | No | No | Percentage | No |
BenchmarkId | Benchmark Id | PortfolioDrillDown | Settings | String | Benchmark Id | None | No | |||
AtEnd.MarketCap | Benchmark Market Cap at End | PortfolioDrillDown | Interactive Data | Real | Market Cap at End | Monetary | No | |||
AtStart.MarketCap | Benchmark Market Cap at Start | PortfolioDrillDown | Interactive Data | Real | Market Cap at Start | Monetary | No | |||
Perf.Beta | Beta (Log) | PortfolioDrillDown | Interactive Statistics | Real | Beta | Yes | No | Yes | None | No |
Perf.TestedBeta | Beta (Tested) (Log) | PortfolioDrillDown | Interactive Statistics | Real | Beta | Yes | No | Yes | None | No |
Perf.BetaTiming | Beta (Timing) (Log) | PortfolioDrillDown | Interactive Statistics | Real | Beta | Yes | No | Yes | None | No |
Perf.BiasRatio | Bias Ratio (Log) | PortfolioDrillDown | Interactive Statistics | Real | Bias Ratio | No | No | Yes | Ratio | No |
Perf.BullBeta | Bull-Market Beta (Log) | PortfolioDrillDown | Interactive Statistics | Real | Bull Beta | Yes | No | Yes | None | No |
Perf.BullCaptureRatio | Bull-Market Capture Ratio | PortfolioDrillDown | Interactive Statistics | Real | Bull Capture Ratio | Yes | No | No | Ratio | No |
Perf.BullCorrelation | Bull-Market Correlation (Log) | PortfolioDrillDown | Interactive Statistics | Real | Bull Correlation | Yes | No | Yes | None | No |
Perf.BullCovariance | Bull-Market Covariance (Log) | PortfolioDrillDown | Interactive Statistics | Real | Bull Covariance | Yes | No | Yes | None | No |
Perf.BullGeomeanReturn | Bull-Market Geomean Return | PortfolioDrillDown | Interactive Statistics | Real | Bull Mean Return | Yes | No | No | Percentage | No |
Perf.BullGeomeanReturnRel | Bull-Market Geomean Return (Geometric) | PortfolioDrillDown | Interactive Statistics | Real | Bull Mean Relative Return | Yes | No | No | Percentage | No |
Perf.BullMeanReturnXS | Bull-Market Mean Excess Return | PortfolioDrillDown | Interactive Statistics | Real | Bull Mean Excess Return | Yes | No | No | Percentage | No |
Perf.BullMeanReturn | Bull-Market Mean Return | PortfolioDrillDown | Interactive Statistics | Real | Bull Mean Return | Yes | No | No | Percentage | No |
Perf.BurkeRatio | Burke Ratio | PortfolioDrillDown | Interactive Statistics | Real | Burke Ratio | No | Yes | No | Ratio | No |
Perf.Calmar | Calmar | PortfolioDrillDown | Interactive Statistics | Real | Calmar | No | No | No | Ratio | No |
Perf.Correlation | Correlation (Log) | PortfolioDrillDown | Interactive Statistics | Real | Correlation | Yes | No | Yes | None | No |
Perf.TestedCorrelation | Correlation (Tested) (Log) | PortfolioDrillDown | Interactive Statistics | Real | Correlation | Yes | No | Yes | None | No |
Perf.Covariance | Covariance (Log) | PortfolioDrillDown | Interactive Statistics | Real | Covariance | Yes | No | Yes | None | No |
Perf.EndDateFound | Date Found at End | PortfolioDrillDown | Interactive Statistics | Date | Date Found at End | No | No | No | None | No |
Perf.StartDateFound | Date Found at Start | PortfolioDrillDown | Interactive Statistics | Date | Date Found at Start | No | No | No | None | No |
Perf.DownsidePotential | Downside Potential | PortfolioDrillDown | Interactive Statistics | Real | Downside Potential | No | Yes | No | Percentage | No |
Perf.DownSideRiskAnnualised | Downside Risk (Ann.) (Log) | PortfolioDrillDown | Interactive Statistics | Real | Annualised Downside Risk | No | Yes | Yes | Percentage | No |
Perf.DownSideRisk | Downside Risk (Log) | PortfolioDrillDown | Interactive Statistics | Real | Downside Risk | No | Yes | Yes | Percentage | No |
Perf.EarliestPerformanceDate | Earliest Performance Date | PortfolioDrillDown | Interactive Statistics | Date | Earliest Performance Date | No | No | No | None | No |
EndDate | End Date | PortfolioDrillDown | Settings | Date | End Date | None | No | |||
Perf.ExcessKurtosis | Excess / Fisher's Kurtosis (Log) | PortfolioDrillDown | Interactive Statistics | Real | Excess / Fisher's Kurtosis | No | No | Yes | None | No |
Perf.XSTotalReturn | Excess Return | PortfolioDrillDown | Interactive Statistics | Real | Excess Return | Yes | No | No | Percentage | No |
Perf.XSReturnAnnIfGtYr | Excess Return (Ann. if > 1 Year) | PortfolioDrillDown | Interactive Statistics | Real | Excess Annual Return | Yes | No | No | Percentage | No |
Perf.RelReturnAnnIfGtYr | Excess Return (Ann. if > 1 Year) (Geometric) | PortfolioDrillDown | Interactive Statistics | Real | Annual Excess Return | Yes | No | No | Percentage | No |
Perf.XSAnnualAverage | Excess Return (Ann.) | PortfolioDrillDown | Interactive Statistics | Real | Excess Annual Return | Yes | No | No | Percentage | No |
Perf.RelAnnualAverage | Excess Return (Ann.) (Geometric) | PortfolioDrillDown | Interactive Statistics | Real | Annual Excess Return | Yes | No | No | Percentage | No |
Perf.RelTotalReturn | Excess Return (Geometric) | PortfolioDrillDown | Interactive Statistics | Real | Excess Return (Geometric) | Yes | No | No | Percentage | No |
Perf.XSPeriodAverage | Excess Return (Sub-Period Average) | PortfolioDrillDown | Interactive Statistics | Real | Average Excess Return | Yes | No | No | Percentage | No |
Perf.RelPeriodAverage | Excess Return (Sub-Period Average) (Geometric) | PortfolioDrillDown | Interactive Statistics | Real | Average Excess Return | Yes | No | No | Percentage | No |
Perf.ExPostConditionalSharpe | Ex-post Conditional Sharpe | PortfolioDrillDown | Interactive Statistics | Real | Conditional Sharpe | No | Yes | No | Ratio | No |
Perf.ExPostExpectedShortfall | Ex-post Expected Shortfall | PortfolioDrillDown | Interactive Statistics | Real | Ex-post Expected Shortfall | No | No | No | Percentage | No |
Perf.ExPostExpectedShortfallRel | Ex-post Expected Shortfall, Relative | PortfolioDrillDown | Interactive Statistics | Real | Ex-post Expected Relative Shortfall | Yes | No | No | Percentage | No |
Perf.ExPostExpectedUpside | Ex-post Expected Upside | PortfolioDrillDown | Interactive Statistics | Real | Ex-post Expected Upside | No | No | No | Percentage | No |
Perf.ExPostParametricMethodModifiedVar | Ex-post Modified VaR (Parametric Method) (Log) | PortfolioDrillDown | Interactive Statistics | Real | Modified VaR | No | No | Yes | Percentage | No |
Perf.ExPostParametricMethodModifiedVarRel | Ex-post Modified VaR, Relative (Parametric Method) (Log) | PortfolioDrillDown | Interactive Statistics | Real | Modified Relative VaR | Yes | No | Yes | Percentage | No |
Perf.ExPostPotentialUpside | Ex-post Potential Updside | PortfolioDrillDown | Interactive Statistics | Real | Ex-post Potential Upside | No | No | No | Percentage | No |
Perf.ExPostRachevRatio | Ex-post Rachev Ratio | PortfolioDrillDown | Interactive Statistics | Real | Ex-post Rachev Ratio | No | No | No | Ratio | No |
Perf.ExPostTailRatio | Ex-post Tail Ratio | PortfolioDrillDown | Interactive Statistics | Real | Ex-post Tail Ratio | No | Yes | No | Ratio | No |
Perf.ExPostTailRisk | Ex-post Tail Risk | PortfolioDrillDown | Interactive Statistics | Real | Ex-post Tail Risk | No | No | No | Percentage | No |
Perf.ExPostVar | Ex-post VaR | PortfolioDrillDown | Interactive Statistics | Real | Ex-post VaR | No | No | No | Percentage | No |
Perf.ExPostParametricMethodVar | Ex-post VaR (Parametric Method) (Log) | PortfolioDrillDown | Interactive Statistics | Real | Ex-post VaR | No | No | Yes | Percentage | No |
Perf.ExPostVarRel | Ex-post VaR, Relative | PortfolioDrillDown | Interactive Statistics | Real | Ex-post Relative VaR | Yes | No | No | Percentage | No |
Perf.ExPostParametricMethodVarRel | Ex-post VaR, Relative (Parametric Method) (Log) | PortfolioDrillDown | Interactive Statistics | Real | Ex-post Relative VaR | Yes | No | Yes | Percentage | No |
Perf.FamaDiversification | Fama Diversification (Log) | PortfolioDrillDown | Interactive Statistics | Real | Diversification | Yes | Yes | Yes | Ratio | No |
Perf.FamaNetSelectivity | Fama Net Selectivity (Log) | PortfolioDrillDown | Interactive Statistics | Real | Net Selectivity | Yes | Yes | Yes | Ratio | No |
Perf.FamaSystematicRisk | Fama Systematic Risk (Log) | PortfolioDrillDown | Interactive Statistics | Real | Systematic Risk | Yes | Yes | Yes | Ratio | No |
Perf.FarinelliTibilettiRatio | Farinelli Tibiletti Ratio (Log) | PortfolioDrillDown | Interactive Statistics | Real | Farinelli Tibiletti Ratio | No | Yes | Yes | Percentage | No |
Perf.GainsToLosses | Gains : Losses (Arithmetic) | PortfolioDrillDown | Interactive Statistics | Real | Gains : Losses | No | No | No | Ratio | No |
Perf.GainsToLossesGeometric | Gains : Losses (Geometric) | PortfolioDrillDown | Interactive Statistics | Real | Gains : Losses | No | No | No | Ratio | No |
Perf.HalfVariance | Half Variance (Log) | PortfolioDrillDown | Interactive Statistics | Real | Half Variance | No | No | Yes | None | No |
Perf.XS1PeriodHigh | Highest Sub-Period Excess Return | PortfolioDrillDown | Interactive Statistics | Real | Highest Excess Return | Yes | No | No | Percentage | No |
Perf.OnePeriodHigh | Highest Sub-Period Return | PortfolioDrillDown | Interactive Statistics | Real | Highest Return | No | No | No | Percentage | No |
Perf.Rel1PeriodHigh | Highest Sub-Period Return (Geometric) | PortfolioDrillDown | Interactive Statistics | Real | Highest Relative Return | Yes | No | No | Percentage | No |
Perf.HurstRatio | Hurst Ratio (Log) | PortfolioDrillDown | Interactive Statistics | Real | Hurst Ratio | No | No | Yes | Ratio | No |
Perf.IndexedReturnAtEnd | Indexed Return at End | PortfolioDrillDown | Interactive Statistics | Real | Indexed Return | No | No | No | None | No |
Perf.IndexedReturnAtStart | Indexed Return at Start | PortfolioDrillDown | Interactive Statistics | Real | Indexed Return | No | No | No | None | No |
Perf.InfoRatioRel | Information Ratio (Ann.) (Geometric) (Log) | PortfolioDrillDown | Interactive Statistics | Real | Information Ratio | Yes | No | Yes | Ratio | No |
Perf.InfoRatioXS | Information Ratio (Ann.) (Log) | PortfolioDrillDown | Interactive Statistics | Real | Information Ratio | Yes | No | Yes | Ratio | No |
Perf.PeriodInfoRatioRel | Information Ratio (Geometric) (Log) | PortfolioDrillDown | Interactive Statistics | Real | Information Ratio | Yes | No | Yes | Ratio | No |
Perf.PeriodInfoRatioXS | Information Ratio (Log) | PortfolioDrillDown | Interactive Statistics | Real | Information Ratio | Yes | No | Yes | Ratio | No |
RP.IsPrecalculated | Is Precalculated? | PortfolioDrillDown | Revolution Performance | Boolean | Is Precalculated? | None | Yes | |||
Perf.IsraelsensMeasure | Israelsens Measure (Log) | PortfolioDrillDown | Interactive Statistics | Real | Israelsons Measure | No | Yes | Yes | None | No |
Perf.JarqueBeraTest | Jarque Bera Test (Log) | PortfolioDrillDown | Interactive Statistics | Real | Jarque Bera Test | No | No | Yes | None | No |
Perf.JensensAlpha | Jensens Alpha (Log) | PortfolioDrillDown | Interactive Statistics | Real | Jensens Alpha | Yes | Yes | Yes | Percentage | No |
Perf.JensensSpecificRiskAnn | Jensens Specific Risk (Ann.) (Log) | PortfolioDrillDown | Interactive Statistics | Real | Jensens Specific Risk | Yes | No | Yes | Percentage | No |
Perf.JensensSystematicRiskAnn | Jensens Systematic Risk (Ann.) (Log) | PortfolioDrillDown | Interactive Statistics | Real | Jensens Systematic Risk | Yes | No | Yes | Percentage | No |
Perf.Kappa3 | Kappa 3 (Log) | PortfolioDrillDown | Interactive Statistics | Real | Kappa 3 | No | Yes | Yes | Percentage | No |
Perf.Kappa4 | Kappa 4 (Log) | PortfolioDrillDown | Interactive Statistics | Real | Kappa 4 | No | Yes | Yes | Percentage | No |
Perf.Kurtosis | Kurtosis (Log) | PortfolioDrillDown | Interactive Statistics | Real | Kurtosis | No | No | Yes | None | No |
Perf.LargestUninterruptedDrawdown | Largest Uninterrupted Drawdown | PortfolioDrillDown | Interactive Statistics | Real | Largest Uninterrupted Drawdown | No | No | No | Percentage | No |
Perf.LatestPerformanceDate | Latest Performance Date | PortfolioDrillDown | Interactive Statistics | Date | Latest Performance Date | No | No | No | None | No |
Perf.XS1PeriodLow | Lowest Sub-Period Excess Return | PortfolioDrillDown | Interactive Statistics | Real | Lowest Excess Return | Yes | No | No | Percentage | No |
Perf.OnePeriodLow | Lowest Sub-Period Return | PortfolioDrillDown | Interactive Statistics | Real | Lowest Return | No | No | No | Percentage | No |
Perf.Rel1PeriodLow | Lowest Sub-Period Return (Geometric) | PortfolioDrillDown | Interactive Statistics | Real | Lowest Relative Return | Yes | No | No | Percentage | No |
MainId | Main Id | PortfolioDrillDown | Settings | String | Main Id | None | No | |||
AtEnd.MarketValueBest | Market Value Best Available at End | PortfolioDrillDown | Interactive Data | Real | Market Value at End | Monetary | No | |||
AtStart.MarketValueBest | Market Value Best Available at Start | PortfolioDrillDown | Interactive Data | Real | Market Value at Start | Monetary | No | |||
AtEnd.MarketValueExternal | Market Value External at End | PortfolioDrillDown | Interactive Data | Real | Market Value at End | Monetary | No | |||
AtStart.MarketValueExternal | Market Value External at Start | PortfolioDrillDown | Interactive Data | Real | Market Value at Start | Monetary | No | |||
AtEnd.MarketValueInternal | Market Value Internal at End | PortfolioDrillDown | Interactive Data | Real | Market Value Internal at End | Monetary | No | |||
AtStart.MarketValueInternal | Market Value Internal at Start | PortfolioDrillDown | Interactive Data | Real | Market Value Internal at Start | Monetary | No | |||
Perf.MartinRatio | Martin Ratio | PortfolioDrillDown | Interactive Statistics | Real | Martin Ratio | No | Yes | No | Ratio | No |
Perf.MaxLoss | Maximum Loss | PortfolioDrillDown | Interactive Statistics | Real | Maximum Loss | No | No | No | Percentage | No |
Perf.MaxLossEndDate | Maximum Loss, End Date of | PortfolioDrillDown | Interactive Statistics | Date | Maximum Loss, End Date of | No | No | No | None | No |
Perf.MaxLossRel | Maximum Loss, Relative | PortfolioDrillDown | Interactive Statistics | Real | Maximum Relative Loss | Yes | No | No | Percentage | No |
Perf.MaxLossStartDate | Maximum Loss, Start Date of | PortfolioDrillDown | Interactive Statistics | Date | Maximum Loss, Start Date of | No | No | No | None | No |
Perf.MeanAbsoluteDeviation | Mean Absolute Deviation | PortfolioDrillDown | Interactive Statistics | Real | Mean Absolute Deviation | No | No | No | None | No |
Perf.ModifiedSharpe | Modified Sharpe (Log) | PortfolioDrillDown | Interactive Statistics | Real | Modified Sharpe | No | Yes | Yes | Ratio | No |
Perf.MSquaredAnn | Modigliani (Ann.) (Log) | PortfolioDrillDown | Interactive Statistics | Real | Modigliani | Yes | Yes | Yes | Percentage | No |
Perf.MSquared | Modigliani (Log) | PortfolioDrillDown | Interactive Statistics | Real | Modigliani | Yes | Yes | Yes | Percentage | No |
Perf.MSquaredExcessAnnGeo | Modigliani Excess (Ann.) (Geometric) (Log) | PortfolioDrillDown | Interactive Statistics | Real | Modigliani Excess | Yes | Yes | Yes | Percentage | No |
Perf.MSquaredExcessAnn | Modigliani Excess (Ann.) (Log) | PortfolioDrillDown | Interactive Statistics | Real | Modigliani Excess | Yes | Yes | Yes | Percentage | No |
Perf.MSquaredExcessGeo | Modigliani Excess (Geometric) (Log) | PortfolioDrillDown | Interactive Statistics | Real | Modigliani Excess | Yes | Yes | Yes | Percentage | No |
Perf.MSquaredExcess | Modigliani Excess (Log) | PortfolioDrillDown | Interactive Statistics | Real | Modigliani Excess | Yes | Yes | Yes | Percentage | No |
Perf.Moment3 | Moment 3 | PortfolioDrillDown | Interactive Statistics | Real | 3rd Moment | No | No | No | None | No |
Perf.Moment4 | Moment 4 | PortfolioDrillDown | Interactive Statistics | Real | 4th Moment | No | No | No | None | No |
RP.MoneyWeightedReturn.Gross | Money-Weighted Gross Return | PortfolioDrillDown | Revolution Performance | Real | Money-Weighted Gross Return | Percentage | Yes | |||
RP.MoneyWeightedReturn.GrossAnnualised | Money-Weighted Gross Return (Ann.) | PortfolioDrillDown | Revolution Performance | Real | Annualised Money-Weighted Gross Return | Percentage | Yes | |||
RP.MoneyWeightedReturn.Net | Money-Weighted Net Return | PortfolioDrillDown | Revolution Performance | Real | Money-Weighted Net Return | Percentage | Yes | |||
RP.MoneyWeightedReturn.NetAnnualised | Money-Weighted Net Return (Ann.) | PortfolioDrillDown | Revolution Performance | Real | Annualised Money-Weighted Net Return | Percentage | Yes | |||
Perf.NumberOfSubPeriods | Number of Sub-Periods | PortfolioDrillDown | Interactive Statistics | Integer | Number of Sub-Periods | No | No | No | Integer | No |
Perf.OmegaRatio | Omega Ratio | PortfolioDrillDown | Interactive Statistics | Real | Omega Ratio | No | Yes | No | Ratio | No |
Perf.PainIndex | Pain Index | PortfolioDrillDown | Interactive Statistics | Real | Pain Index | No | No | No | Ratio | No |
Perf.PainRatio | Pain Ratio | PortfolioDrillDown | Interactive Statistics | Real | Pain Ratio | No | Yes | No | Ratio | No |
PeriodName | Period Name | PortfolioDrillDown | Settings | String | Period Name | None | No | |||
Perf.RSquared | R² (Log) | PortfolioDrillDown | Interactive Statistics | Real | R² | Yes | No | Yes | Percentage | No |
Perf.RecoveryPeriod | Recovery Days after Max Loss | PortfolioDrillDown | Interactive Statistics | Integer | Recovery Period | No | No | No | Integer | No |
Perf.RecoveryPeriodRel | Recovery Days after Max Relative Loss | PortfolioDrillDown | Interactive Statistics | Integer | Relative Recovery Period | Yes | No | No | Integer | No |
Perf.KurtosisRel | Relative Kurtosis (Geometric) (Log) | PortfolioDrillDown | Interactive Statistics | Real | Relative Kurtosis | Yes | No | Yes | None | No |
Perf.KurtosisXS | Relative Kurtosis (Log) | PortfolioDrillDown | Interactive Statistics | Real | Relative Kurtosis | Yes | No | Yes | None | No |
Perf.SkewnessRel | Relative Skewness (Geometric) (Log) | PortfolioDrillDown | Interactive Statistics | Real | Relative Skewness | Yes | No | Yes | None | No |
Perf.SkewnessXS | Relative Skewness (Log) | PortfolioDrillDown | Interactive Statistics | Real | Relative Skewness | Yes | No | Yes | None | No |
Perf.ReturnOut | Return | PortfolioDrillDown | Interactive Statistics | Real | Return | No | No | No | Percentage | No |
Perf.ReturnAnnIfGtYr | Return (Ann. if > 1 Year) | PortfolioDrillDown | Interactive Statistics | Real | Annual Return | No | No | No | Percentage | No |
Perf.ReturnAnn | Return (Ann.) (Daily Data) | PortfolioDrillDown | Interactive Statistics | Real | Annual Return | No | No | No | Percentage | No |
Perf.PeriodReturnAnn | Return (Ann.) (Monthly/Weekly Data) | PortfolioDrillDown | Interactive Statistics | Real | Annual Return | No | No | No | Percentage | No |
Perf.PeriodAverage | Return (Sub-Period Average, Geomean) | PortfolioDrillDown | Interactive Statistics | Real | Average Return | No | No | No | Percentage | No |
Perf.PeriodAverageArithmetic | Return (Sub-Period Average, Mean) (Log) | PortfolioDrillDown | Interactive Statistics | Real | Average Return | No | No | Yes | Percentage | No |
Perf.PeriodAverageMedian | Return (Sub-Period Average, Median) (Log) | PortfolioDrillDown | Interactive Statistics | Real | Median Return | No | No | Yes | Percentage | No |
Perf.RiskFreeRateAtEndDate | Risk Free Rate at End | PortfolioDrillDown | Interactive Statistics | Real | Risk Free Rate | No | Yes | No | Percentage | No |
Perf.RiskFreeReturnOut | Risk Free Return | PortfolioDrillDown | Interactive Statistics | Real | Risk Free Return | No | Yes | No | Percentage | No |
Perf.RiskFreeReturnAnn | Risk Free Return (Ann.) (Daily Data) | PortfolioDrillDown | Interactive Statistics | Real | Annual Risk Free Return | No | Yes | No | Percentage | No |
Perf.PeriodRiskFreeReturnAnn | Risk Free Return (Ann.) (Monthly/Weekly Data) | PortfolioDrillDown | Interactive Statistics | Real | Annual Risk Free Return | No | Yes | No | Percentage | No |
Perf.RiskFreeReturnPeriod | Risk Free Return (Sub-Period Average) | PortfolioDrillDown | Interactive Statistics | Real | Average Risk Free Return | No | Yes | No | Percentage | No |
Perf.SharpeRatioGeo | Sharpe Ratio (Ann.) (Geometric) (Log) | PortfolioDrillDown | Interactive Statistics | Real | Sharpe Ratio | No | Yes | Yes | Ratio | No |
Perf.SharpeRatio | Sharpe Ratio (Ann.) (Log) | PortfolioDrillDown | Interactive Statistics | Real | Sharpe Ratio | No | Yes | Yes | Ratio | No |
Perf.PeriodSharpeGeo | Sharpe Ratio (Geometric) (Log) | PortfolioDrillDown | Interactive Statistics | Real | Sharpe Ratio | No | Yes | Yes | Ratio | No |
Perf.PeriodSharpe | Sharpe Ratio (Log) | PortfolioDrillDown | Interactive Statistics | Real | Sharpe Ratio | No | Yes | Yes | Ratio | No |
Perf.Skewness | Skewness (Log) | PortfolioDrillDown | Interactive Statistics | Real | Skewness | No | No | Yes | None | No |
Perf.SortinoRatioAnnualised | Sortino Ratio (Ann.) (Log) | PortfolioDrillDown | Interactive Statistics | Real | Sortino Ratio | No | Yes | Yes | Ratio | No |
Perf.SortinoRatio | Sortino Ratio (Log) | PortfolioDrillDown | Interactive Statistics | Real | Sortino Ratio | No | Yes | Yes | Ratio | No |
Perf.StandardError | Standard Error (Log) | PortfolioDrillDown | Interactive Statistics | Real | Standard Error | Yes | No | Yes | None | No |
StartDate | Start Date | PortfolioDrillDown | Settings | Date | Start Date | None | No | |||
Perf.StdDevAnn | Std. Dev. Volatility (Ann.) (Log) | PortfolioDrillDown | Interactive Statistics | Real | Annualised Volatility | No | No | Yes | None | No |
Perf.StdDevPeriod | Std. Dev. Volatility (Log) | PortfolioDrillDown | Interactive Statistics | Real | Volatility | No | No | Yes | None | No |
Perf.SterlingRatio | Sterling Ratio | PortfolioDrillDown | Interactive Statistics | Real | Sterling Ratio | No | Yes | No | Ratio | No |
Perf.TrackingErrorRel | Tracking Error (Ann.) (Geometric) (Log) | PortfolioDrillDown | Interactive Statistics | Real | Annualised Tracking Error | Yes | No | Yes | None | No |
Perf.TrackingErrorXS | Tracking Error (Ann.) (Log) | PortfolioDrillDown | Interactive Statistics | Real | Annualised Tracking Error | Yes | No | Yes | None | No |
Perf.PeriodTrackErrRel | Tracking Error (Geometric) (Log) | PortfolioDrillDown | Interactive Statistics | Real | Tracking Error | Yes | No | Yes | None | No |
Perf.PeriodTrackErrXS | Tracking Error (Log) | PortfolioDrillDown | Interactive Statistics | Real | Tracking Error | Yes | No | Yes | None | No |
Perf.TreynorRatio | Treynor Ratio (Ann.) (Log) | PortfolioDrillDown | Interactive Statistics | Real | Treynor Ratio | Yes | Yes | Yes | Ratio | No |
Perf.PeriodTreynor | Treynor Ratio (Log) | PortfolioDrillDown | Interactive Statistics | Real | Treynor Ratio | Yes | Yes | Yes | Ratio | No |
Perf.TStatBeta2 | T-stat (Beta-2) (Log) | PortfolioDrillDown | Interactive Statistics | Real | T-stat (Beta-2) | Yes | No | Yes | None | No |
Perf.TStatCorrel2 | T-stat (Correl.-2) (Log) | PortfolioDrillDown | Interactive Statistics | Real | T-stat (Correl.-2) | Yes | No | Yes | None | No |
Perf.UlcerIndex | Ulcer Index | PortfolioDrillDown | Interactive Statistics | Real | Ulcer Index | No | No | No | None | No |
AtEnd.UnitPrice | Unit Price at End | PortfolioDrillDown | Interactive Data | Real | Unit Price at End | Monetary | No | |||
AtStart.UnitPrice | Unit Price at Start | PortfolioDrillDown | Interactive Data | Real | Unit Price at Start | Monetary | No | |||
AtEnd.Units | Units at End | PortfolioDrillDown | Interactive Data | Real | Units at End | None | No | |||
AtStart.Units | Units at Start | PortfolioDrillDown | Interactive Data | Real | Units at Start | None | No | |||
Perf.UpsidePotential | Upside Potential | PortfolioDrillDown | Interactive Statistics | Real | Upside Potential | No | Yes | No | Percentage | No |
Perf.UpsidePotentialRatio | Upside Potential Ratio (Log) | PortfolioDrillDown | Interactive Statistics | Real | Upside Potential Ratio | No | Yes | Yes | Ratio | No |
Perf.UpsideRiskAnnualised | Upside Risk (Ann.) (Log) | PortfolioDrillDown | Interactive Statistics | Real | Annualised Upside Risk | No | Yes | Yes | Percentage | No |
Perf.UpsideRisk | Upside Risk (Log) | PortfolioDrillDown | Interactive Statistics | Real | Upside Risk | No | Yes | Yes | Percentage | No |
RP.ValuationDateFoundAtEnd | Valuation Date Found at End | PortfolioDrillDown | Revolution Performance | Date | Valuation Date Found at End | None | Yes | |||
RP.ValuationDateFoundAtStart | Valuation Date Found at Start | PortfolioDrillDown | Revolution Performance | Date | Valuation Date Found at Start | None | Yes | |||
Perf.Variance | Variance (Log) | PortfolioDrillDown | Interactive Statistics | Real | Variance | No | No | Yes | None | No |