DazRatio 3.2 provides risk and performance measurement and analysis for returns.
These kinds of ratios are widely used to provide summary measures for comparative analysis of investment returns
DazRatio provides the broadest range of these measures to accommodate your preferences but also to make it easy for you to look at multiple measures and see if they are consistent, or not.
DazRatio also provides the intermediary components of the ratios since the final ratios for an investment may look comparable but the intermediary values could be significantly different.
Structure
DazRatio(Ratio, Active, Level, Freq, cMAR, Pct, Label)
Ratio: an integer indicating which DazRatio result to return. Flip this switch to move between any results!
Active: a row or column range of returns, may contain blank cells at the start and end of the range.
Level: an optional confidence level used for certain ratios, defaults to 0.95 (95%)
Freq: an optional integer indicating the number of return periods in a year, defaults to 12.
cMAR: an optional double indicating the Minimum Acceptable Return in percentage (i.e. 0.035), default is 0.00.
Pct: an optional Boolean indicating if the data is in percent (0.035 or 3.50% – True) or float (3.50 – False), default is True.
Label: an optional Boolean indicating if the result is the function result or label, default is False (result).
Ratios
0 Sharpe Ratio – return over standard deviation
1 Sortino Ratio – return over downside deviation
2 Calmar Ratio – return over maximum drawdown
3 Omega Ratio – return over the cumulative return distribution with no assumption of Normal distributions
4 Kappa Ratio – return over the 3rd lower partial moment
5 STARR Ratio – return over Conditional VaR
6 Bias Ratio – observations +/- one standard deviation around 0
7 VaR – periodic return at the confidence level of a standard deviation
8 Conditional VaR – expected shortfall at the confidence level
9 Cornish-Fisher VaR – VaR adjusted for skew and kurtosis at the confidence level
10 Rank VaR – non-parametric VaR at the confidence level
11 Downside Volatility – annualized downside volatility
12 Upside Volatility – annualized upside volatility
13 Downside Deviation – annualized downside deviation
A total of 23 results are returned when using the arrays.
Results
An individual result may be a label (the name of the function) or an analytical result value.
The analytical result could be a label, a value or a columnar array. For example, the STARR Ratio test individual result is a value for the ratio at the 5% significance level for Conditional VaR. The same test returns an array of two values: the Starr Ratio at 5% and 1% Conditional VaR.
DazRatio can also be used as a single array, in column or row orientation, for all results at one time. This is more efficient than entering each Ratio in individual cells.
Individual array results may be returned by using =Index(DazRatio(function), Array Number).
Example
The DazRatio Examples worksheet contains different returns and an example of how to use DazRatio simply and powerfully.
The returns may have different start and end periods and be in either rows or columns.
The results are shown in individual cells and as a single array result.
The Ratio switch can be outside the function, giving you direct control of which results you see.