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st: Portfolio performance measurement
From
Dawood Ashraf <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: Portfolio performance measurement
Date
Mon, 30 May 2011 12:25:13 -0700 (PDT)
I am trying to do some standard performance measurement of mutual funds with some screens. My data is divided into two groups one with screen and the other is general group. Now I want to calculate the Sharpe ratio, Treynor ratio, Jensen�alpha, and information ratio.
Sharpe ratio = (mean group1 – rf)/standard deviation group 1 (same thing for group 2)
Treynor ratio = (mean group1 – rf)/beta of portfolio (same thing for group 2)
Beta can be obtained from OLS regression
Information ratio = (Rp-Ri)/(SDp-SDi)
I can simply do these calculation by picking up numbers from summarize command and regression output but I am sure there is some better way to do all this automatically rather than hand picking. If somebody can help with this.
Dawood
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