Annualized Volatility and Performance Metrics for Fund Returns

Summary

This brief coding question outlines a way to calculate fund performance statistics from a price series. It first derives periodic returns from price changes, then uses a performance-analysis library to compute cumulative return, annualized return, Sharpe ratio, annualized volatility, and maximum drawdown. The Sharpe calculation includes a stated daily risk-free rate assumption.

The document provides metric names and a partial workflow, but no completed implementation, fund data, output, or comparison of results. It does not specify the return frequency beyond the daily risk-free-rate adjustment, and it leaves the requested code modification unfinished. Treat it as a list of intended measures rather than a validated calculation guide; return conventions and annualization settings should be checked for the data being analyzed.

Key ideas

• Periodic returns can be calculated from successive price observations.
• The requested performance measures include cumulative return, annualized return, Sharpe ratio, volatility, and maximum drawdown.
• The example uses a daily risk-free rate assumption in its Sharpe calculation.
• No finished code or calculation results are supplied.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.