Financial formulas

• CAGR
• Sharpe & Sortino ratio
• Drawdown
• Investment Strategy
• RSI
• FRA contracts

CAGR (Compound Annual Growth Rate)

CAGR

Use one of these user defined formula:

.CAGR(series, years) = Pow(series / At(series, AddYears(-years)), 1/years) - 1

.CQGR(series, quarters) = Pow(series / At(series, AddMonths(-3 * quarters)), 1 / quarters) - 1

.CMGR(series, months) = Pow(series / At(series, AddMonths(-months)), 1/months) - 1

.CAGRobs(series, observation) = Pow(CutStart(series, observation+1) / At(series, observation), 1/Years(observation, Counter())) - 1

Sharpe & Sortino ratio

Sharpe ratio vs Sortino ratio

These are User defined function which can be copied to documents on to your organization's account. For full formulas see file above.

.Sharpe(Portfolio, RiskFreeRate, Window)

.SortinoRatio(Portfolio, RiskFreeRate, Window)

Drawdown

Drawdown

Use formula:

Drawdown(series)

For other drawdown examples see Mixing analyses and formulas' Drawdown.

Investment Strategy

Investment Strategy

Use one of these formulas:

InvestmentStrategy(marketValue, conditionWhenInMarket)

Investment strategy - compound return when in market

InvestmentStrategy(marketValue, buyCondition, sellCondition)

Investment strategy - compound return during periods

InvestmentStrategy(inMarketValue, outOfMarketValue, buyCondition, sellCondition)

Investment strategy - compound return during periods with outOfMarketValue

RSI

RSI

Use formula:

Rsi(series, window)

FRA contracts

STIBOR and FRA views using ImmAhead

Appends values of the FRA contracts to the NIBOR 3 month curve. Use user defined formula:

.extended(observation) =
let
  .e1 = .fwd(CutEnd(se3mibr, observation+1), fra_c1_cl, 0, observation)
 .e2 = .fwd(.e1, fra_c2_cl, 1, observation) 
 .e3 = .fwd(.e2, fra_c3_cl, 2, observation) 
 .e4 = .fwd(.e3, fra_c4_cl, 3, observation) 
 .e5 = .fwd(.e4, fra_c5_cl, 4, observation) 
in 
  .e5
end