Multi-Asset Portfolio

SPDR S&P 500 ETF TRUSTArca

Deskripsi

⋅ 15 Okt 2020 pukul 21.21

With thanks to luminaryfi for tradingview.com/script/0T7X2HEB-Portfolio-Metrics-α-Jensen-s-β-CAPM-Ra-Sharpe-Treynor/, this indicator calculates basic metrics and statistics for a multi-asset portfolio. Note that returns are plotted after being multiplied by 100 in order allow the series to be visible against the other statistics.

⋅ 15 Okt 2020 pukul 21.24

Chart updated to better reflect indicator

⋅ 16 Okt 2020 pukul 07.16

returns to logreturns across the board

⋅ 16 Okt 2020 pukul 23.02

Typo fix