Measures and the Interactive Statistics Analysis Resource.

The following table details all of the measures that can be supplied by the Interactive Statistics Analysis resource.

Measures Table

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