Portfolio Theory
Sharpe Ratio
Sortino Ratio
Tracking Error
CAPM Alpha
CAPM Beta
Jenson's Alpha
Markowitz Mean-Variance Model
Active Premium
Information Ratio
Treynor Ratio
Annualized Returns
Risk Premium of a Security
Semi Deviation/ Down side Deviation
Collection of tools to calculate portfolio performance metrics. Portfolio performance is a key measure for investors. These metrics are important to analyse how effectively their money has been invested. This package uses portfolio theories to give investor tools to evaluate their portfolio performance. For more information see, Markowitz, H.M. (1952), <doi:10.2307/2975974>. Analysis of Investments & Management of Portfolios [2012, ISBN:978-8131518748].