WebCab Portfolio for COM v5.0 Demo

PerformanceEvaluation Class

Within this class we offer a number of procedures which assist in accessing the return and risk-adjusted return on an investment portfolio.

For a list of all members of this type, see PerformanceEvaluation Members.

System.Object
   PerformanceEvaluation

public class PerformanceEvaluation

Remarks

In particular, we offer:

  1. Non-Risk Adjusted Measures - These measures do not take into account the risk of a portfolio when accessing its `return'
    1. PortfolioReturn - Direct evaluation of the real or expect return of a portfolio.
    2. TotalReturn - Evaluates the total return of an investment taking into account dividends, loan notes and rights issues which can have a significant effect on the over-all level of return.
    3. GeometricMeanReturn - Averages out the effect of compounding and returns an equivalent average per period return when the return is known over several consecutive periods.

  2. Risk Adjusted Measures - These measures take into account the `risk' of a portfolio when accessing its `return'
    1. SharpesRatio - Sharpe's Ratio evaluates the excess return over the risk free rate which a portfolio achieves per unit of risk when the risk is measured in terms of the standard deviation of the historical process.
    2. TreynorsMeasure - Treynors Measure evaluates the excess return over the risk free rate which a portfolio achieves per unit of risk when the risk is measured in terms of the beta (with respect to a suitable market index) of the portfolio.

Requirements

Namespace: WebCab.COM.Finance.Portfolio

Assembly: WebCab.COM.PortfolioDemo (in WebCab.COM.PortfolioDemo.dll)

See Also

PerformanceEvaluation Members | WebCab.COM.Finance.Portfolio Namespace