Portfolio Performance Measurement › Key Parameters
Michael BrenndoerferDecember 16, 20251 min read
Quantitative FinanceAll chapters Part 9 of 15Portfolio Theory and Investment Analysis
Portfolio Performance Measurement › Key ParametersOne section · Sections in this chapter8 / 11 ↓
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The key parameters used in the performance measurement code are:
- returns: Array or Series of periodic asset returns.
- benchmark_returns: Returns of the benchmark index for relative performance comparison.
- risk_free_rate: The return on a risk-free asset (e.g., T-bills) used to calculate excess returns.
- mar: Minimum Acceptable Return, the threshold used in the Sortino ratio calculation.
- periods_per_year: Annualization factor (), typically 252 for daily data or 12 for monthly data.
- window: The lookback period (number of observations) for rolling window analysis.